VOO Options History — October 2015

In October 2015, VOO traded between $174.62 and $191.55. ATM implied volatility averaged 15.2%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.8% (HV 20d: 18.0%). Max pain ranged from $176.00 to $183.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2015-10-16: Highest Volume — 1,714 contracts
  • 2015-10-29: Largest IV drop — 19.0% change
  • 2015-10-01: Highest IV Rank — 54.6%
  • 2015-10-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.38$174.62$191.55$174.62$191.04
Max Pain$179.41$176.00$183.00$183.00$182.00
ATM IV15.2%12.1%23.0%23.0%12.5%
Expected Move4.4%3.5%6.6%6.6%3.6%
HV 20d18.0%12.9%21.4%19.6%12.9%
HV 60d20.4%19.6%20.8%19.6%20.7%
IV Rank23.6%11.3%54.6%54.6%13.1%
IV Percentile65.8%36.9%94.8%94.8%42.5%
Term Structure0.2%-2.6%2.0%-2.4%1.8%
VWIV16.0%10.9%22.1%22.1%13.7%
Skew 25d5.5%3.5%7.2%5.3%3.5%
Skew 10d11.3%7.1%17.8%7.1%9.0%
Call IV 25d12.6%8.5%19.6%19.6%10.0%
Put IV 25d18.1%13.5%24.9%24.9%13.5%
Bid-Ask Spread %61.4928.4493.5469.9687.12
Gamma HHI0.090.050.220.060.07
Net GEX671.7K-122.7K1.6M49.7K804.8K
Net DEX-1.9M-7.9M7.5M7.5M-7.9M
Net VEX-62.3K-66.2K-57.1K-57.1K-63.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.411.290.981.09
Total Volume1,325.51341,7141,3671,237
Total OI2,676.7272,0443,2622,7422,491

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$174.62$183.0023.0%6.6%19.6%54.6%22.1%5.3%-2.4%49.7K7.5M-57.1K0.9869.966906771,5301,212
2015-10-02$178.28$183.0019.2%5.5%20.2%39.7%20.6%6.3%0.2%212.8K5.2M-58.0K1.0071.766886911,5321,212
2015-10-05$181.92$176.0016.5%5.0%21.4%28.9%15.7%7.2%0.2%582.7K1.0M-59.8K0.4133.9795391,5511,220
2015-10-06$181.36$176.0017.6%5.1%20.8%33.2%18.6%6.2%-0.1%648.8K1.5M-61.3K0.9828.447257141,6071,238
2015-10-07$182.56$176.0015.3%4.8%19.5%24.1%16.9%5.6%0.2%811.2K223.4K-61.4K1.0539.967277661,6541,267
2015-10-08$184.33$178.0014.6%4.8%18.9%21.5%14.9%6.0%-0.6%1.1M195.1K-65.4K1.0655.117147601,6601,383
2015-10-09$184.41$178.0014.2%4.6%18.9%19.7%16.3%6.7%0.1%1.0M-1.3M-66.2K1.0644.977207641,6831,396
2015-10-12$184.70$178.0016.1%4.4%18.8%27.2%16.4%5.8%0.5%1.2M-2.0M-65.3K1.0637.947227651,7021,371
2015-10-13$183.62$178.0015.7%4.4%19.0%25.7%15.7%6.0%0.8%1.4M-1.3M-63.0K1.1152.527218021,6971,370
2015-10-14$182.52$178.0016.4%4.7%18.5%28.5%16.3%6.7%-0.3%1.3M214.4K-63.0K1.1151.127208021,7031,410
2015-10-15$185.45$179.0015.3%4.4%19.1%24.1%16.5%6.0%0.1%1.6M-3.4M-58.7K1.2762.617339311,7041,406
2015-10-16$186.21$179.0013.8%3.9%19.1%18.0%15.9%5.9%0.8%-122.7K-5.4M-62.9K1.2957.557489661,7251,537
2015-10-19$186.24$179.0013.6%3.9%18.1%17.3%16.5%4.1%-0.7%171.4K-1.0M-60.4K1.1160.285706339471,097
2015-10-20$185.84$179.0014.3%4.1%18.1%20.1%17.3%3.5%2.0%153.2K-868.4K-62.4K1.0576.196016339671,148
2015-10-21$184.91$179.0014.2%4.1%17.4%19.6%18.1%5.4%0.6%248.3K-1.2M-62.6K1.0073.556036031,0301,148
2015-10-22$187.98$179.0013.1%3.8%18.0%15.5%11.7%6.1%1.2%356.4K-2.8M-61.8K0.9568.246566231,0531,150
2015-10-23$190.24$179.0012.1%3.5%18.2%11.3%10.9%6.4%0.9%603.6K-5.8M-65.1K0.9677.016516261,1911,175
2015-10-26$189.89$182.0013.6%3.9%15.2%17.5%13.8%5.0%-0.4%599.9K-5.8M-63.7K0.9874.826536381,2091,178
2015-10-27$189.32$182.0014.0%4.0%15.3%19.1%15.6%3.9%0.6%577.8K-4.9M-65.9K0.9864.506556401,2151,200
2015-10-28$191.44$182.0015.8%4.5%14.5%26.0%14.0%6.0%-2.6%692.6K-7.2M-59.7K1.1093.545836431,2341,211
2015-10-29$191.55$182.0012.8%3.7%14.0%14.1%14.3%4.3%0.5%749.2K-7.7M-63.2K1.0971.585906431,2581,216
2015-10-30$191.04$182.0012.5%3.6%12.9%13.1%13.7%3.5%1.8%804.8K-7.9M-63.2K1.0987.125936441,2751,216