VOO Options History — November 2021

In November 2021, VOO traded between $420.46 and $432.32. ATM implied volatility averaged 14.1%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 6.4% (HV 20d: 7.7%). Max pain ranged from $405.00 to $430.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.83.

Notable Days

  • 2021-11-24: Highest Volume — 15,876 contracts
  • 2021-11-26: Largest IV spike — 36.7% change
  • 2021-11-30: Highest IV Rank — 75.4%
  • 2021-11-30: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$428.42$420.46$432.32$422.65$420.46
Max Pain$420.95$405.00$430.00$405.00$430.00
ATM IV14.1%10.9%22.3%11.6%22.3%
Expected Move4.1%3.3%6.4%3.3%6.4%
HV 20d7.7%6.4%12.0%9.1%12.0%
HV 60d11.6%11.2%12.6%11.4%12.6%
IV Rank29.0%10.4%75.4%10.4%75.4%
IV Percentile42.5%8.3%98.0%14.7%98.0%
Term Structure0.8%-1.9%1.7%1.7%-1.9%
VWIV15.0%11.8%21.1%12.3%21.1%
Skew 25d6.8%5.0%11.2%5.6%10.5%
Skew 10d13.5%9.9%23.3%11.0%19.3%
Call IV 25d11.8%9.6%17.4%10.5%17.4%
Put IV 25d18.6%14.6%27.9%16.1%27.9%
Bid-Ask Spread %71.8465.0980.9276.3167.61
Gamma HHI0.110.070.220.070.16
Net GEX12.0M-27.7M27.3M13.2M-27.7M
Net DEX-213.0M-337.1M250.3M-232.5M250.3M
Net VEX-2.3M-3.3M-1.9M-2.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.831.1510.824.113.54
Total Volume7,678.0484,36515,8768,53911,448
Total OI49,008.85743,67662,03943,67662,039

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$422.65$405.0011.6%3.3%9.1%10.4%12.3%5.6%1.7%13.2M-232.5M-2.2M4.1176.311,6726,86716,33027,346
2021-11-02$424.67$405.0011.9%3.4%8.5%11.3%12.7%5.4%1.5%15.3M-264.0M-2.1M3.5276.401,9336,81116,67227,412
2021-11-03$427.35$405.0011.7%3.4%8.5%12.9%11.8%5.0%1.5%17.4M-306.4M-1.9M2.9580.921,6284,80416,74927,466
2021-11-04$428.32$415.0010.9%3.6%8.0%11.6%13.7%6.0%1.1%16.7M-302.6M-2.0M2.5968.051,9154,95116,83827,473
2021-11-05$430.91$415.0011.6%3.8%7.9%16.1%15.0%6.0%1.0%16.5M-314.0M-2.2M1.1567.694,5095,18117,07127,714
2021-11-08$430.95$415.0011.9%4.0%7.3%17.8%14.5%6.6%1.0%19.7M-323.7M-2.1M1.4065.093,7385,24417,51727,987
2021-11-09$429.58$420.0012.8%4.0%6.8%22.9%15.4%7.0%0.8%19.5M-304.4M-2.1M1.1767.583,8824,52318,94628,075
2021-11-10$425.74$420.0015.4%4.4%8.2%37.0%17.0%7.7%0.3%18.8M-262.9M-2.1M1.6868.932,7974,70719,04628,235
2021-11-11$426.77$420.0014.7%4.2%6.5%33.2%15.4%6.9%0.7%20.3M-264.0M-2.1M2.2766.382,0204,58019,57428,296
2021-11-12$429.54$425.0013.2%3.8%6.4%24.8%13.9%6.0%1.2%23.4M-299.3M-2.1M2.5671.471,7094,37919,65128,369
2021-11-15$429.19$425.0013.3%3.8%6.5%25.4%14.2%6.2%1.0%22.5M-287.9M-2.1M1.2672.001,9322,43319,86528,450
2021-11-16$431.89$425.0013.3%3.8%6.4%25.6%12.3%5.7%1.1%27.3M-337.1M-2.0M1.6076.552,5204,04420,01128,553
2021-11-17$430.91$425.0013.3%3.8%6.6%25.6%13.8%6.5%1.2%24.0M-290.6M-2.2M2.1275.051,9924,21420,03230,192
2021-11-18$431.91$425.0013.7%3.9%6.6%27.9%13.6%6.1%1.1%24.5M-318.8M-2.1M2.2673.461,9224,35220,27130,342
2021-11-19$431.14$425.0014.0%4.0%6.7%29.3%13.3%6.5%1.0%23.1M-301.7M-2.2M2.0473.122,0604,20120,30430,766
2021-11-22$432.32$425.0014.5%4.2%6.6%32.4%14.4%6.5%0.8%13.0M-233.5M-2.2M2.1772.092,0104,37017,33727,851
2021-11-23$430.14$430.0014.6%4.2%6.9%32.7%16.3%7.0%1.5%10.7M-211.0M-2.2M3.1672.171,4224,49817,87228,477
2021-11-24$431.23$430.0014.5%4.2%6.6%32.4%15.3%6.9%0.7%5.0M-175.3M-2.4M10.8272.801,34314,53318,00630,996
2021-11-26$423.34$430.0019.9%5.7%9.6%62.0%20.4%11.2%-0.7%-25.5M197.5M-3.3M3.7473.801,4145,29018,15341,648
2021-11-29$427.83$425.0016.4%4.7%10.2%42.4%17.9%8.3%-0.1%-26.6M109.4M-3.1M3.2371.201,7495,64218,40942,845
2021-11-30$420.46$430.0022.3%6.4%12.0%75.4%21.1%10.5%-1.9%-27.7M250.3M-3.2M3.5467.612,5208,92818,82043,219