VOO Options History — September 2015

In September 2015, VOO traded between $172.45 and $183.57. ATM implied volatility averaged 21.6%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.3% (HV 20d: 25.9%). Max pain ranged from $184.00 to $205.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.45.

Notable Days

  • 2015-09-01: Highest Volume — 3,591 contracts
  • 2015-09-28: Largest IV spike — 25.5% change
  • 2015-09-01: Highest IV Rank — 80.2%
  • 2015-09-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$178.49$172.45$183.57$175.83$175.79
Max Pain$188.65$184.00$205.00$205.00$184.00
ATM IV21.6%17.6%29.3%29.3%22.6%
Expected Move6.1%5.0%8.4%8.4%6.5%
HV 20d25.9%21.2%28.8%25.5%22.5%
HV 60d18.6%17.3%19.7%17.3%19.7%
IV Rank50.3%35.4%80.2%80.2%52.9%
IV Percentile93.7%85.7%99.2%99.2%94.0%
Term Structure-1.0%-3.0%0.3%-2.5%-3.0%
VWIV20.8%17.4%27.9%27.9%23.0%
Skew 25d8.2%5.8%11.5%11.5%7.8%
Skew 10d14.5%9.7%21.2%16.8%12.8%
Call IV 25d17.8%14.2%23.8%23.8%18.8%
Put IV 25d26.0%21.4%35.3%35.3%26.7%
Bid-Ask Spread %54.4944.7064.7457.8864.74
Gamma HHI0.090.060.140.080.06
Net GEX40.6K-172.0K661.8K123.4K69.6K
Net DEX27.8M6.6M45.4M44.2M7.0M
Net VEX-47.3K-57.5K-41.5K-42.8K-57.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.450.675.003.290.98
Total Volume2,353.6653,5913,5911,366
Total OI3,975.91,9705,4274,6812,717

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$175.83$205.0029.3%8.4%25.5%80.2%27.9%11.5%-2.5%123.4K44.2M-42.8K3.2957.888372,7541,6483,033
2015-09-02$178.67$205.0022.6%6.5%26.3%54.6%20.0%8.2%-0.6%16.1K44.2M-48.4K3.2762.138272,7011,6673,245
2015-09-03$179.54$189.0022.8%6.0%26.5%55.3%20.3%8.7%-0.7%89.2K43.1M-50.2K3.3044.708212,7071,6823,244
2015-09-04$177.14$189.0025.1%6.6%26.7%64.2%20.8%10.2%-1.2%-22.2K45.0M-47.0K3.2647.418292,7021,7023,255
2015-09-08$180.97$190.0023.3%5.9%27.6%57.3%19.1%9.7%-0.2%95.0K7.4M-51.5K0.6747.5739261,7091,420
2015-09-09$178.33$188.0022.4%6.4%27.9%53.9%20.7%9.3%-1.3%-94.8K44.8M-50.3K3.4947.567922,7631,7513,430
2015-09-10$179.33$189.0021.0%6.0%28.0%48.6%21.1%8.4%-0.6%-172.0K45.2M-50.9K3.3347.678012,6711,7283,522
2015-09-11$180.01$188.0020.6%5.9%28.1%47.2%20.2%9.3%-0.6%-148.0K45.4M-50.1K3.2247.168262,6631,7393,549
2015-09-14$179.45$188.0020.7%5.9%28.0%47.4%21.1%8.2%-0.6%-165.7K45.1M-47.6K3.2448.998222,6651,7603,556
2015-09-15$181.98$188.0019.1%5.5%28.5%41.1%18.4%8.2%-0.2%159.8K6.6M-47.3K0.9650.0756541,7531,563
2015-09-16$183.57$186.0018.0%5.2%28.8%36.9%18.2%8.3%-1.4%382.9K40.2M-46.6K3.3348.988162,7191,8063,602
2015-09-17$182.93$187.0017.6%5.0%28.8%35.4%18.1%6.8%-0.7%661.8K40.6M-44.7K3.5364.467732,7291,8263,601
2015-09-18$180.12$187.0019.3%5.5%28.4%41.9%19.3%5.8%-0.9%34.0K45.0M-41.5K5.0053.015672,8331,8313,583
2015-09-21$179.89$187.0017.7%5.1%26.3%35.9%17.4%7.9%0.3%-81.3K6.6M-44.0K1.2855.175016439491,021
2015-09-23$177.55$185.0019.4%5.6%23.7%40.3%19.4%6.5%-0.6%31.5K7.8M-46.6K1.4557.894476501,1271,104
2015-09-24$176.85$185.0020.2%5.8%23.4%43.4%21.1%7.0%-0.4%11.0K8.5M-45.5K1.4558.014516531,1601,115
2015-09-25$176.84$185.0020.3%5.8%21.4%43.8%21.1%7.6%-0.1%46.1K8.2M-47.1K1.4161.864686601,1951,129
2015-09-28$172.60$184.0025.4%7.3%21.2%64.3%24.9%7.6%-3.0%-86.6K10.2M-43.4K1.4761.314416501,2301,149
2015-09-29$172.45$184.0025.0%7.2%21.2%62.7%24.6%7.6%-2.1%-138.9K11.0M-42.9K1.0063.256736761,2341,183
2015-09-30$175.79$184.0022.6%6.5%22.5%52.9%23.0%7.8%-3.0%69.6K7.0M-57.5K0.9864.746906761,5041,213