VOO Options History — October 2017

In October 2017, VOO traded between $231.62 and $236.53. ATM implied volatility averaged 7.4%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 3.0% (HV 20d: 4.4%). Max pain ranged from $225.00 to $230.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.48.

Notable Days

  • 2017-10-13: Highest Volume — 2,042 contracts
  • 2017-10-05: Largest IV drop — 24.3% change
  • 2017-10-25: Highest IV Rank — 25.8%
  • 2017-10-25: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$234.37$231.62$236.53$231.62$236.18
Max Pain$229.32$225.00$230.00$225.00$230.00
ATM IV7.4%5.9%8.8%7.3%8.3%
Expected Move2.2%2.0%2.5%2.1%2.4%
HV 20d4.4%3.5%6.0%6.0%4.4%
HV 60d6.6%6.5%6.8%6.7%6.8%
IV Rank19.0%11.6%25.8%18.7%23.7%
IV Percentile18.3%0.8%49.2%10.7%38.1%
Term Structure1.3%0.5%1.8%1.2%0.7%
VWIV10.1%6.7%12.7%6.7%12.7%
Skew 25d3.2%1.7%5.0%2.1%3.5%
Skew 10d6.8%4.7%10.4%4.7%7.1%
Call IV 25d6.7%5.9%7.9%6.1%6.9%
Put IV 25d9.8%7.7%12.9%8.2%10.3%
Bid-Ask Spread %67.5816.9193.8519.4293.85
Gamma HHI0.450.300.770.420.33
Net GEX3.6M1.8M8.4M3.3M2.0M
Net DEX-27.7M-37.6M-18.6M-24.8M-21.7M
Net VEX-98.2K-104.9K-91.9K-103.0K-96.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.482.286.532.343.18
Total Volume1,643.0919112,0421,9391,033
Total OI4,964.8183,3185,9645,2523,588

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$231.62$225.007.3%2.1%6.0%18.7%6.7%2.1%1.2%3.3M-24.8M-103.0K2.3419.425801,3592,4052,847
2017-10-03$232.15$225.007.8%2.2%5.0%20.9%7.6%2.1%1.3%3.3M-25.9M-102.5K2.2816.915981,3612,4182,863
2017-10-04$232.43$225.007.7%2.2%5.0%20.7%7.8%1.7%1.4%3.3M-26.5M-102.4K2.6420.815181,3702,4302,869
2017-10-05$233.85$230.005.9%2.1%5.2%11.6%8.5%2.6%1.7%3.7M-30.1M-102.6K2.2935.496131,4062,5142,871
2017-10-06$233.58$230.005.9%2.1%5.2%11.6%10.1%3.2%1.7%3.9M-30.1M-104.9K2.4450.915741,3982,6062,973
2017-10-09$233.18$230.006.4%2.1%4.3%14.3%11.6%3.7%1.8%3.9M-28.9M-103.5K2.8643.794911,4022,6033,018
2017-10-10$233.72$230.006.3%2.1%4.2%13.6%9.5%2.9%1.7%4.1M-30.8M-98.8K2.7243.765141,3992,6153,069
2017-10-11$234.17$230.007.3%2.1%4.2%18.4%10.0%3.0%1.7%4.4M-31.5M-97.8K2.8234.284971,4012,6193,070
2017-10-12$233.81$230.007.1%2.0%4.3%17.7%9.4%3.1%1.8%4.3M-32.6M-92.8K2.8384.145071,4332,6283,073
2017-10-13$234.02$230.006.9%2.0%4.2%16.5%9.9%3.6%1.7%4.5M-32.5M-98.5K3.4985.134551,5872,6303,098
2017-10-16$234.50$230.007.0%2.0%4.2%17.1%11.4%3.1%1.6%5.0M-33.3M-94.0K3.3685.204571,5342,6373,215
2017-10-17$234.64$230.006.8%2.0%4.2%16.3%10.2%2.9%1.8%5.3M-33.4M-95.1K2.9585.235171,5252,6413,293
2017-10-18$234.82$230.007.1%2.0%3.8%17.4%11.6%3.4%1.6%6.5M-33.9M-95.3K3.1184.944911,5262,6513,298
2017-10-19$234.78$230.007.0%2.0%3.5%17.0%10.5%2.3%1.7%8.4M-33.1M-93.8K2.7985.885001,3932,6443,300
2017-10-20$235.90$230.007.4%2.1%3.7%19.3%8.9%2.7%1.4%1.9M-37.6M-96.7K2.7586.325051,3892,6363,328
2017-10-23$235.21$230.007.9%2.3%3.7%21.4%11.9%3.7%0.7%1.8M-19.6M-97.7K6.5388.181217901,7511,567
2017-10-24$235.47$230.008.5%2.4%3.7%24.4%10.1%3.9%0.7%1.8M-20.6M-95.7K4.6587.411707901,7711,599
2017-10-25$234.53$230.008.8%2.5%4.0%25.8%11.7%5.0%0.5%1.9M-18.6M-99.2K5.1986.611668621,8241,599
2017-10-26$234.98$230.008.7%2.5%4.0%25.3%10.4%3.7%0.5%1.9M-19.6M-97.8K5.8187.221428251,8261,711
2017-10-27$236.53$230.008.2%2.4%4.4%23.1%10.6%3.9%0.8%2.0M-22.1M-99.5K5.1590.261588141,8301,730
2017-10-30$236.06$230.008.3%2.4%4.4%23.5%12.1%3.5%0.8%2.1M-21.9M-91.9K4.3190.941847931,8371,731
2017-10-31$236.18$230.008.3%2.4%4.4%23.7%12.7%3.5%0.7%2.0M-21.7M-96.0K3.1893.852477861,8521,736