VOO Options History — October 2014

In October 2014, VOO traded between $170.72 and $184.99. ATM implied volatility averaged 15.7%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.2% (HV 20d: 16.9%). Max pain ranged from $183.00 to $183.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.98.

Notable Days

  • 2014-10-31: Highest Volume — 1,371 contracts
  • 2014-10-09: Largest IV spike — 30.6% change
  • 2014-10-10: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$177.59$170.72$184.99$178.22$184.99
Max Pain$183.00$183.00$183.00$183.00$183.00
ATM IV15.7%12.0%24.2%15.0%12.0%
Expected Move4.6%4.2%5.4%4.5%4.2%
HV 20d16.9%11.1%20.1%11.1%19.4%
HV 60d12.4%9.9%14.0%10.0%13.5%
IV Rank59.3%29.6%100.0%69.2%29.6%
IV Percentile90.5%70.2%100.0%95.2%70.2%
Term Structure0.3%-1.7%1.6%0.0%1.3%
VWIV15.6%14.1%19.8%15.2%15.4%
Skew 25d5.1%3.1%7.9%4.9%3.5%
Skew 10d8.8%5.4%11.9%8.8%7.1%
Call IV 25d12.7%10.6%16.7%12.4%10.6%
Put IV 25d17.8%14.1%24.1%17.3%14.1%
Bid-Ask Spread %8.496.1313.346.927.48
Gamma HHI0.170.090.250.240.15
Net GEX126.3K-846.5K1.4M-714.4K1.3M
Net DEX-1.1M-21.5M12.6M5.5M-21.5M
Net VEX-57.3K-83.2K-36.0K-43.0K-75.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.087.872.251.58
Total Volume692.08781,3711431,371
Total OI2,699.4352,1053,3772,1053,377

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$178.22$183.0015.0%4.5%11.1%69.2%15.2%4.9%0.0%-714.4K5.5M-43.0K2.256.9244997731,332
2014-10-02$178.21$183.0014.2%4.5%11.1%63.1%14.1%4.3%-0.0%-817.8K6.3M-44.5K1.556.81771198031,408
2014-10-03$180.20$183.0012.5%4.2%11.8%48.1%0.0%3.9%0.6%-369.1K2.2M-44.7K7.876.13151188661,359
2014-10-06$179.98$183.0013.2%4.3%11.8%54.6%0.0%5.1%0.7%-436.7K2.7M-43.9K3.006.64268671,411
2014-10-07$177.22$183.0015.9%4.5%12.7%76.9%14.1%4.6%0.1%-846.5K6.6M-41.4K0.127.58158198661,415
2014-10-08$180.44$183.0013.3%4.2%14.4%54.7%14.6%5.3%0.4%-50.9K-1.0M-47.1K1.327.184806351,1311,473
2014-10-09$176.68$183.0017.3%4.6%16.1%89.3%0.0%4.6%-0.4%-513.1K5.8M-46.0K0.088.906651,1031,418
2014-10-10$174.70$183.0019.1%4.9%16.3%100.0%16.2%4.3%-1.1%-612.3K8.4M-42.8K7.3910.60181331,1511,418
2014-10-13$171.83$183.0023.5%5.3%17.1%100.0%16.4%3.1%-1.0%-670.1K12.6M-36.0K1.2711.4055701,1601,464
2014-10-14$173.74$183.0019.0%5.0%17.4%73.0%15.6%5.2%-0.7%-629.4K9.6M-40.4K1.9810.513366651,3541,517
2014-10-15$170.93$183.0024.2%5.4%18.0%100.0%16.6%5.2%-1.7%-299.8K12.4M-37.0K2.4013.343899351,4291,533
2014-10-16$170.72$183.0020.1%5.4%17.7%76.5%19.8%7.4%-1.5%-96.1K8.8M-37.0K3.1411.251705331,3691,291
2014-10-17$172.83$183.0017.6%5.1%18.6%62.2%0.0%7.9%-0.3%-290.9K6.0M-44.4K1.2811.053324241,4941,720
2014-10-20$174.53$183.0015.8%4.9%18.8%51.6%15.5%6.7%0.8%302.7K-545.7K-63.1K1.059.944174391,256921
2014-10-21$177.62$183.0013.7%4.6%20.1%39.7%15.1%5.7%1.1%504.0K-5.4M-68.6K0.888.536315541,394930
2014-10-22$176.69$183.0015.8%4.8%19.8%51.8%15.7%6.3%0.5%485.0K-4.4M-76.3K1.447.684256131,5181,105
2014-10-23$178.62$183.0014.3%4.6%19.5%43.1%15.7%5.3%1.0%598.8K-7.3M-76.1K0.998.486236181,5481,105
2014-10-24$180.04$183.0014.4%4.6%19.5%43.4%15.6%5.4%1.1%1.0M-11.4M-83.2K1.037.256666851,8461,110
2014-10-27$179.85$183.0014.1%4.6%19.5%41.6%0.0%5.2%1.5%1.2M-12.1M-82.0K1.216.2253641,9531,124
2014-10-28$181.92$183.0012.4%4.3%19.9%32.1%14.6%4.7%1.5%1.4M-15.9M-79.6K1.247.311211501,9751,131
2014-10-29$181.70$183.0012.3%4.3%19.3%31.6%15.2%4.3%1.6%1.2M-15.2M-82.5K1.246.475807212,0191,278
2014-10-30$182.82$183.0012.4%4.3%19.4%32.3%15.3%4.8%1.2%1.3M-17.1M-82.0K1.287.555637212,0441,328
2014-10-31$184.99$183.0012.0%4.2%19.4%29.6%15.4%3.5%1.3%1.3M-21.5M-75.7K1.587.485328392,0521,325