VOO Options History — August 2021

In August 2021, VOO traded between $402.32 and $416.04. ATM implied volatility averaged 11.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 1.9% (HV 20d: 10.0%). Max pain ranged from $385.00 to $405.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2021-08-16: Highest Volume — 10,754 contracts
  • 2021-08-26: Largest IV spike — 26.9% change
  • 2021-08-19: Highest IV Rank — 23.2%
  • 2021-08-19: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$408.67$402.32$416.04$402.32$415.29
Max Pain$398.18$385.00$405.00$385.00$405.00
ATM IV11.9%9.7%15.2%14.6%10.3%
Expected Move3.5%2.8%4.4%4.2%2.9%
HV 20d10.0%6.9%14.1%13.9%7.5%
HV 60d10.4%9.6%12.2%12.2%10.0%
IV Rank11.4%3.6%23.2%21.2%5.6%
IV Percentile13.5%2.4%38.5%28.2%3.6%
Term Structure1.7%0.8%2.6%1.1%2.5%
VWIV12.9%10.2%17.0%13.3%10.3%
Skew 25d6.6%4.9%9.3%6.9%5.2%
Skew 10d12.6%9.7%16.7%13.8%10.3%
Call IV 25d9.9%8.3%12.0%11.0%8.8%
Put IV 25d16.6%13.3%21.3%17.9%14.1%
Bid-Ask Spread %74.9366.3883.7178.4978.86
Gamma HHI0.130.080.200.160.12
Net GEX14.0M-1.0M28.0M-1.0M15.5M
Net DEX-210.8M-271.3M-146.4M-146.4M-203.8M
Net VEX-1.4M-1.7M-1.3M-1.7M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.1011.790.820.26
Total Volume1,657.81852010,754638947
Total OI39,682.13625,75447,69245,64230,785

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$402.32$385.0014.6%4.2%13.9%21.2%13.3%6.9%1.1%-1.0M-146.4M-1.7M0.8278.4935028813,29432,348
2021-08-03$405.15$385.0011.7%3.4%14.1%10.9%12.4%5.8%2.3%7.0M-192.0M-1.6M0.4779.9040418813,42332,398
2021-08-04$404.20$385.0011.4%3.3%14.1%9.7%12.7%5.9%2.1%2.8M-173.3M-1.6M0.5383.7136019113,46932,466
2021-08-05$405.54$400.0011.4%3.9%13.4%9.7%14.6%7.2%1.6%9.8M-207.2M-1.5M0.4772.4440619013,53432,520
2021-08-06$406.49$400.0010.6%3.8%12.7%6.9%14.0%7.2%1.2%11.2M-215.1M-1.5M0.7966.3831925313,67032,538
2021-08-09$406.51$400.0010.8%3.8%12.7%7.5%12.7%6.6%1.4%10.0M-207.1M-1.5M0.3669.4038113913,61132,683
2021-08-10$406.71$400.0010.9%3.8%12.6%7.9%12.0%6.8%1.3%16.9M-228.1M-1.4M0.7268.3469850013,71332,641
2021-08-11$407.71$400.0011.6%3.3%12.7%10.2%13.0%6.5%1.6%20.5M-243.9M-1.4M0.6569.9536824113,85932,679
2021-08-12$409.07$400.0011.5%3.3%12.5%9.9%12.7%6.3%1.7%21.3M-250.7M-1.4M0.6468.8446829914,31332,891
2021-08-13$409.73$400.0011.4%3.3%12.1%9.8%11.5%6.2%1.8%26.2M-263.7M-1.3M0.2970.3057416714,41533,008
2021-08-16$410.43$400.0012.0%3.4%9.1%11.8%11.9%6.4%1.6%28.0M-271.3M-1.3M11.7972.448419,91314,49133,110
2021-08-17$407.17$400.0014.1%4.1%7.0%19.5%13.3%7.3%1.1%22.0M-233.5M-1.4M0.8374.3289774414,57733,115
2021-08-18$405.07$400.0014.5%4.2%7.2%20.9%14.2%8.3%0.8%16.1M-215.4M-1.4M0.4779.1074034714,60724,175
2021-08-19$404.20$400.0015.2%4.4%7.2%23.2%17.0%9.3%1.5%13.8M-204.9M-1.4M0.5271.151,18861614,75924,435
2021-08-20$407.79$400.0012.3%3.5%6.9%12.8%12.3%7.4%1.8%8.3M-236.0M-1.4M0.1073.842,17922814,86024,634
2021-08-23$411.51$400.0012.4%3.6%7.5%13.2%12.2%6.1%1.6%10.8M-188.9M-1.3M0.4671.881,42165911,01114,743
2021-08-24$411.93$400.0011.9%3.4%7.1%11.6%13.0%6.3%1.9%12.5M-192.0M-1.4M2.2079.255121,12411,46014,761
2021-08-25$413.10$400.0010.1%2.9%7.1%5.0%10.7%6.0%2.2%14.4M-200.4M-1.3M5.7077.444072,31811,64815,056
2021-08-26$410.45$400.0012.8%3.7%7.6%14.6%14.5%7.8%1.4%11.2M-176.2M-1.4M1.1080.3144749311,75915,792
2021-08-27$414.23$400.009.7%2.8%7.7%3.6%14.2%5.4%2.6%14.4M-188.8M-1.5M1.6481.6656993511,73017,880
2021-08-30$416.04$400.0010.3%3.0%7.7%5.8%10.2%4.9%2.4%15.8M-198.5M-1.5M1.1480.431,0101,15311,96318,183
2021-08-31$415.29$405.0010.3%2.9%7.5%5.6%10.3%5.2%2.5%15.5M-203.8M-1.4M0.2678.8675319411,95718,828