VOO Options History — December 2021

In December 2021, VOO traded between $414.21 and $439.55. ATM implied volatility averaged 16.8%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.2% (HV 20d: 16.6%). Max pain ranged from $430.00 to $435.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.40.

Notable Days

  • 2021-12-20: Highest Volume — 29,060 contracts
  • 2021-12-15: Largest IV drop — 27.5% change
  • 2021-12-03: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$429.06$414.21$439.55$417.91$438.04
Max Pain$433.18$430.00$435.00$430.00$435.00
ATM IV16.8%11.3%26.8%23.1%11.3%
Expected Move4.7%3.2%7.7%6.6%3.2%
HV 20d16.6%12.0%19.6%12.0%16.6%
HV 60d13.5%12.7%14.1%12.7%12.9%
IV Rank45.0%14.2%100.0%79.8%14.2%
IV Percentile63.2%11.5%100.0%98.4%11.5%
Term Structure1.3%-3.1%2.8%-2.3%2.0%
VWIV18.2%12.7%33.7%23.2%14.9%
Skew 25d7.8%4.6%13.5%11.4%5.0%
Skew 10d14.7%9.5%26.9%21.4%10.0%
Call IV 25d13.5%10.1%20.8%19.0%10.1%
Put IV 25d21.3%15.0%34.3%30.4%15.1%
Bid-Ask Spread %71.6558.7979.4770.2079.47
Gamma HHI0.180.140.230.180.16
Net GEX-34.6M-45.1M-23.6M-35.7M-32.9M
Net DEX117.7M-139.6M461.7M393.4M-90.3M
Net VEX-3.2M-3.6M-2.9M-3.5M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.401.8211.551.973.22
Total Volume9,407.8645,66829,0606,36415,601
Total OI71,036.18263,91881,67066,39181,670

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$417.91$430.0023.1%6.6%12.0%79.8%23.2%11.4%-2.3%-35.7M393.4M-3.5M1.9770.202,1404,22419,17947,212
2021-12-02$421.29$430.0022.8%6.5%12.2%78.2%23.2%10.8%-2.2%-35.3M326.1M-3.5M2.7266.051,5234,14519,87247,370
2021-12-03$414.21$430.0026.8%7.7%13.4%100.0%33.7%13.5%-3.1%-34.0M461.7M-3.6M3.7269.101,4495,39019,97147,600
2021-12-06$421.66$435.0022.9%5.9%14.9%78.4%22.2%10.6%0.6%-36.7M315.4M-3.4M2.2658.792,0274,59020,19048,447
2021-12-07$429.36$435.0017.6%4.9%16.4%49.0%20.5%8.4%2.1%-36.2M147.6M-3.4M2.1465.722,0844,46820,50248,881
2021-12-08$431.60$435.0015.5%4.5%16.4%37.4%21.0%7.2%2.4%-39.6M98.4M-3.3M2.1764.841,9784,30020,38648,932
2021-12-09$429.77$435.0016.0%4.6%16.2%40.4%18.2%8.0%2.4%-37.8M128.5M-3.2M1.8270.232,2374,06720,74649,002
2021-12-10$432.27$435.0014.7%4.3%16.3%33.1%14.9%7.3%2.8%-39.8M59.3M-3.1M1.9569.932,1844,25421,21949,080
2021-12-13$430.52$435.0017.5%4.4%16.2%48.8%16.7%7.4%2.8%-41.5M104.3M-3.1M2.6371.751,8784,94721,39749,734
2021-12-14$425.71$435.0021.4%4.9%16.7%70.3%18.7%8.4%1.9%-41.9M225.3M-3.1M2.3371.031,7994,19921,51649,941
2021-12-15$431.03$435.0015.5%4.5%17.1%37.8%15.8%7.1%2.6%-39.4M81.1M-3.0M1.9575.972,2794,43321,52150,049
2021-12-16$429.26$435.0016.0%4.6%17.2%40.3%17.8%7.3%1.5%-40.0M135.4M-3.1M2.0674.552,1634,46121,77950,086
2021-12-17$425.44$435.0017.3%5.0%17.4%47.5%18.0%7.8%1.3%-45.1M243.9M-3.0M2.5874.731,9565,04521,72550,210
2021-12-20$418.97$435.0019.0%5.5%18.2%57.0%16.8%8.5%0.7%-40.9M368.3M-2.9M11.5565.962,31626,74417,25046,668
2021-12-21$424.27$430.0017.4%5.0%18.8%48.2%16.9%7.9%0.9%-25.1M98.8M-2.9M3.6770.381,5135,54817,10746,909
2021-12-22$429.21$430.0014.8%4.2%19.3%33.9%19.5%7.4%1.5%-27.2M32.9M-3.0M5.5271.301,4668,09717,42349,073
2021-12-23$433.86$430.0012.9%3.7%19.6%23.3%14.8%6.2%2.1%-26.8M-49.1M-3.0M3.8876.612,0728,03917,75951,261
2021-12-27$438.15$430.0012.2%3.5%18.6%19.1%14.5%5.6%2.1%-23.6M-130.2M-3.1M2.9075.132,9148,44518,36054,882
2021-12-28$439.02$430.0012.2%3.5%18.3%19.6%13.3%5.3%2.1%-23.7M-137.2M-3.3M3.7378.032,5969,69419,02157,976
2021-12-29$439.55$435.0011.7%3.4%16.9%16.7%13.8%4.6%2.1%-26.4M-139.6M-3.3M5.2977.842,27212,03019,18160,229
2021-12-30$438.30$435.0011.6%3.3%16.7%16.2%12.7%4.8%2.1%-31.6M-83.5M-3.6M4.6978.662,35611,05019,32062,160
2021-12-31$438.04$435.0011.3%3.2%16.6%14.2%14.9%5.0%2.0%-32.9M-90.3M-3.5M3.2279.473,69511,90619,50662,164