VOO Options History — January 2022

In January 2022, VOO traded between $397.64 and $439.88. ATM implied volatility averaged 19.5%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.0% (HV 20d: 14.4%). Max pain ranged from $420.00 to $435.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.05.

Notable Days

2022-01-21: Highest Volume — 16,252 contracts
2022-01-05: Largest IV spike — 39.9% change
2022-01-24: Highest IV Rank — 100.0%
2022-01-25: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$419.18	$397.64	$439.88	$438.73	$412.14
Max Pain	$430.50	$420.00	$435.00	$435.00	$420.00
ATM IV	19.5%	11.2%	28.1%	11.3%	22.4%
Expected Move	5.6%	3.2%	8.1%	3.3%	6.4%
HV 20d	14.4%	13.1%	17.2%	15.1%	17.2%
HV 60d	13.8%	12.8%	15.6%	12.8%	15.6%
IV Rank	57.8%	13.9%	100.0%	14.6%	70.7%
IV Percentile	75.9%	11.1%	100.0%	12.7%	94.8%
Term Structure	-0.0%	-2.6%	2.2%	2.0%	-1.3%
VWIV	20.4%	13.8%	29.7%	15.4%	23.9%
Skew 25d	8.1%	4.7%	10.8%	5.0%	8.0%
Skew 10d	15.2%	8.7%	21.4%	9.0%	13.1%
Call IV 25d	16.0%	9.8%	23.1%	10.0%	18.4%
Put IV 25d	24.1%	14.4%	33.3%	15.0%	26.3%
Bid-Ask Spread %	63.94	55.25	79.56	75.50	68.05
Gamma HHI	0.15	0.07	0.22	0.16	0.07
Net GEX	-52.3M	-83.3M	-27.5M	-36.4M	-27.5M
Net DEX	314.3M	-134.0M	692.3M	-107.0M	271.4M
Net VEX	-4.0M	-4.6M	-3.4M	-3.4M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.05	1.53	4.60	4.60	3.22
Total Volume	12,145.8	6,654	16,252	13,866	13,135
Total OI	87,332.75	67,908	99,790	85,128	75,919

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-01-03	$438.73	$435.00	11.3%	3.3%	15.1%	14.6%	15.4%	5.0%	2.0%	-36.4M	-107.0M	-3.4M	4.60	75.50	2,474	11,392	20,662	64,466
2022-01-04	$439.88	$435.00	11.2%	3.2%	14.0%	13.9%	14.2%	4.7%	2.2%	-35.7M	-134.0M	-3.4M	4.45	77.83	2,369	10,546	20,979	66,271
2022-01-05	$432.35	$435.00	15.7%	4.5%	14.3%	38.6%	13.9%	6.7%	0.8%	-59.0M	131.3M	-3.9M	3.01	79.56	2,740	8,240	20,990	68,858
2022-01-06	$430.41	$435.00	15.7%	4.7%	14.2%	38.7%	15.7%	8.1%	1.3%	-62.6M	188.6M	-3.9M	3.48	55.91	2,612	9,098	21,311	69,051
2022-01-07	$429.18	$435.00	14.1%	4.5%	14.2%	29.9%	15.5%	7.7%	1.6%	-69.0M	215.5M	-3.9M	2.92	56.91	2,722	7,951	21,525	69,282
2022-01-10	$426.32	$435.00	16.8%	4.8%	14.2%	44.7%	20.3%	7.9%	1.2%	-68.6M	299.1M	-3.7M	3.01	60.12	3,546	10,674	21,750	69,472
2022-01-11	$431.28	$435.00	15.2%	4.5%	14.8%	35.7%	16.2%	7.3%	1.4%	-64.3M	106.4M	-3.6M	3.04	60.61	2,985	9,085	22,549	69,746
2022-01-12	$433.24	$435.00	14.1%	4.1%	14.2%	30.0%	16.6%	6.8%	1.8%	-67.2M	57.2M	-3.7M	4.06	63.50	3,117	12,646	22,933	70,650
2022-01-13	$427.69	$435.00	16.1%	4.6%	14.3%	40.7%	17.6%	7.9%	1.1%	-74.9M	271.2M	-4.1M	4.18	66.71	2,552	10,668	23,633	73,753
2022-01-14	$427.27	$435.00	16.6%	4.8%	14.3%	43.8%	13.8%	7.3%	1.1%	-83.3M	302.8M	-4.0M	1.93	59.42	4,823	9,289	23,797	74,490
2022-01-18	$419.12	$435.00	19.8%	5.7%	15.5%	61.0%	20.6%	8.1%	-0.3%	-69.1M	550.8M	-3.9M	3.48	61.51	3,366	11,720	24,810	74,633
2022-01-19	$417.39	$435.00	20.6%	5.9%	14.6%	65.7%	20.5%	8.0%	-0.5%	-58.9M	608.9M	-3.9M	2.97	57.95	2,976	8,852	25,345	74,445
2022-01-20	$412.81	$430.00	20.6%	5.9%	14.3%	65.7%	22.1%	8.3%	-0.3%	-47.0M	529.2M	-4.0M	2.42	62.91	3,244	7,857	25,632	70,971
2022-01-21	$404.26	$430.00	25.5%	7.3%	15.0%	92.9%	25.5%	9.7%	-2.3%	-56.9M	692.3M	-4.1M	2.87	66.52	4,196	12,056	25,825	70,953
2022-01-24	$401.10	$430.00	27.5%	7.9%	14.2%	100.0%	29.0%	10.7%	-2.2%	-33.7M	475.7M	-4.5M	2.37	55.25	3,935	9,307	15,526	52,382
2022-01-25	$401.03	$420.00	28.1%	8.1%	13.3%	100.0%	29.7%	10.4%	-2.6%	-31.6M	447.8M	-4.6M	1.53	60.05	3,295	5,031	17,034	54,172
2022-01-26	$397.64	$420.00	27.1%	7.8%	13.1%	94.7%	28.2%	9.9%	-2.2%	-32.1M	482.0M	-4.6M	2.85	62.62	2,804	7,984	18,323	54,425
2022-01-27	$398.37	$420.00	27.6%	7.9%	13.2%	97.5%	24.8%	10.8%	-2.2%	-34.5M	484.4M	-4.6M	2.76	65.43	1,856	5,119	19,223	55,618
2022-01-28	$403.31	$420.00	23.5%	6.8%	14.5%	76.6%	24.3%	8.6%	-0.9%	-33.3M	412.3M	-4.5M	1.94	62.42	2,262	4,392	19,388	55,863
2022-01-31	$412.14	$420.00	22.4%	6.4%	17.2%	70.7%	23.9%	8.0%	-1.3%	-27.5M	271.4M	-4.4M	3.22	68.05	3,112	10,023	19,847	56,072