VOO Options History — October 2013

In October 2013, VOO traded between $151.62 and $162.39. ATM implied volatility averaged 12.8%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.5% (HV 20d: 12.3%). Max pain ranged from $150.00 to $162.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 5.37.

Notable Days

  • 2013-10-03: Highest Volume — 88 contracts
  • 2013-10-16: Largest IV drop — 20.5% change
  • 2013-10-08: Highest IV Rank — 47.2%
  • 2013-10-08: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$157.37$151.62$162.39$155.18$160.88
Max Pain$154.81$150.00$162.00$152.00$161.00
ATM IV12.8%10.1%18.0%12.2%10.7%
Expected Move3.7%2.9%5.1%3.5%3.1%
HV 20d12.3%9.1%13.9%9.5%13.4%
HV 60d10.5%9.2%11.4%9.4%11.2%
IV Rank22.1%10.9%47.2%13.4%14.1%
IV Percentile54.0%15.9%98.8%53.6%26.2%
Term Structure0.7%-1.2%2.0%1.3%1.3%
VWIV13.9%9.5%19.9%13.8%10.2%
Skew 25d3.9%-2.1%6.3%4.7%2.6%
Skew 10d9.0%-1.3%14.0%11.9%4.9%
Call IV 25d11.4%9.2%14.8%10.8%9.7%
Put IV 25d15.3%11.9%21.2%15.6%12.3%
Bid-Ask Spread %39.0219.4792.0892.0840.91
Gamma HHI0.210.120.480.140.25
Net GEX7.0K-119.5K222.3K-15.1K-4.2K
Net DEX-71.5K-1.5M1.1M285.9K-105.6K
Net VEX-6.0K-9.1K0-6.7K-850
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.370.0057.000.380.00
Total Volume27.136088101
Total OI354.273058537742

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$155.18$152.0012.2%3.5%9.5%13.4%13.8%4.7%1.3%-15.1K285.9K-6.7K0.3892.0873114263
2013-10-02$154.98$152.0014.6%4.2%9.1%20.3%14.6%5.0%-0.3%-20.2K323.7K-6.7K2.7533.61411116263
2013-10-03$153.60$152.0014.7%4.2%9.8%20.7%15.2%4.7%0.1%-37.7K518.0K-6.9K57.0030.07286120273
2013-10-04$154.72$152.0014.2%4.3%10.1%30.1%0.0%5.2%0.1%-26.7K329.8K-6.7K0.0023.7500121270
2013-10-07$153.40$152.0016.3%4.6%10.0%39.3%17.2%5.8%-0.2%-45.8K512.1K-6.6K10.1439.15436121270
2013-10-08$151.62$152.0018.0%5.1%10.4%47.2%15.4%6.3%-1.2%-119.5K1.1M-7.2K0.6530.844429124303
2013-10-09$151.62$152.0016.9%4.9%10.3%42.2%19.9%5.9%-0.6%-116.4K1.1M-8.2K9.0037.52218157320
2013-10-10$155.04$150.0013.9%4.0%13.2%28.6%19.7%5.5%0.3%-32.3K285.5K-8.2K3.0641.65928159328
2013-10-11$155.96$150.0013.5%3.9%13.4%26.7%17.9%5.4%1.0%21.1K12.3K-8.0K1.2840.51912161329
2013-10-14$156.64$150.0013.9%4.0%13.3%28.7%14.9%5.1%0.3%45.4K-170.0K-8.2K1.2832.772025170339
2013-10-15$155.48$154.0015.2%4.3%13.5%34.3%16.9%6.1%-0.4%-48.3K235.4K-9.1K1.9527.232141186364
2013-10-16$157.60$154.0012.0%3.5%13.7%20.0%12.3%4.8%0.9%54.2K-468.4K-8.5K0.3453.612910193392
2013-10-17$158.68$154.0011.2%3.2%13.9%16.2%11.9%3.5%1.5%158.1K-1.1M-7.9K0.4235.542912209363
2013-10-18$159.74$156.0010.1%2.9%13.7%11.1%12.6%2.7%2.0%222.3K-1.5M-7.9K0.0744.01141214366
2013-10-21$159.82$158.0010.1%2.9%13.3%10.9%9.5%2.7%1.3%31.6K-743.5K-7.5K2.5542.24614144193
2013-10-22$160.68$158.0010.8%3.1%13.3%14.2%9.8%2.3%1.1%27.0K-874.3K-7.5K0.0040.2350147207
2013-10-23$159.94$158.0010.5%3.0%13.4%13.0%10.8%2.6%1.6%33.0K-748.0K-7.7K1.1047.141112151207
2013-10-25$161.20$0.0010.3%2.9%13.5%11.8%10.0%2.4%1.6%0000.0026.7822000
2013-10-28$161.40$162.0010.6%3.0%13.3%13.4%10.6%2.5%1.3%26.9K-214.8K-5440.0019.4709220
2013-10-29$162.39$161.0010.9%3.1%13.1%14.7%10.2%-2.1%1.5%4.0K-178.0K-64710.0049.81110229
2013-10-30$161.48$161.0011.2%3.2%13.3%16.0%0.0%2.6%0.9%-3.2K-124.3K-8530.0029.44002319
2013-10-31$160.88$161.0010.7%3.1%13.4%14.1%0.0%2.6%1.3%-4.2K-105.6K-8500.0040.91102319