VOO Options History — September 2018

In September 2018, VOO traded between $264.24 and $269.87. ATM implied volatility averaged 9.1%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 2.4% (HV 20d: 6.7%). Max pain ranged from $255.00 to $265.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.25.

Notable Days

2018-09-06: Highest Volume — 1,615 contracts
2018-09-26: Largest IV spike — 24.7% change
2018-09-04: Highest IV Rank — 18.2%
2018-09-06: Largest Expected Move — 3.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$266.87	$264.24	$269.87	$266.24	$267.02
Max Pain	$256.84	$255.00	$265.00	$265.00	$260.00
ATM IV	9.1%	7.7%	10.3%	10.0%	9.8%
Expected Move	2.6%	2.2%	3.0%	2.9%	2.8%
HV 20d	6.7%	5.4%	7.9%	7.7%	5.8%
HV 60d	7.7%	7.2%	8.1%	8.0%	7.2%
IV Rank	13.9%	8.7%	18.2%	18.2%	16.6%
IV Percentile	39.9%	18.3%	58.3%	53.2%	49.2%
Term Structure	2.1%	0.4%	3.1%	0.4%	1.2%
VWIV	11.3%	8.3%	15.8%	11.3%	9.6%
Skew 25d	3.9%	2.4%	5.0%	3.9%	3.7%
Skew 10d	8.2%	5.9%	11.0%	8.1%	7.1%
Call IV 25d	8.1%	7.4%	9.2%	8.6%	7.7%
Put IV 25d	12.0%	10.1%	14.2%	12.5%	11.4%
Bid-Ask Spread %	28.89	10.67	65.91	21.55	10.67
Gamma HHI	0.31	0.25	0.52	0.28	0.28
Net GEX	475.9K	-1.4M	4.2M	942.6K	1.1M
Net DEX	-28.8M	-50.6M	-16.4M	-28.5M	-23.3M
Net VEX	-163.9K	-192.0K	-136.2K	-177.9K	-148.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.77	1.99	1.14	1.99
Total Volume	1,343.579	1,200	1,615	1,234	1,368
Total OI	7,335.158	6,313	8,074	7,027	6,328

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$266.24	$265.00	10.0%	2.9%	7.7%	18.2%	11.3%	3.9%	0.4%	942.6K	-28.5M	-177.9K	1.14	21.55	576	658	3,152	3,875
2018-09-05	$265.57	$265.00	8.9%	2.5%	7.7%	13.0%	9.0%	3.6%	1.2%	1.0M	-27.3M	-180.5K	1.00	41.78	653	656	3,195	3,898
2018-09-06	$265.01	$255.00	10.1%	3.0%	7.8%	17.4%	13.4%	4.5%	2.1%	713.0K	-24.2M	-180.4K	1.71	32.62	597	1,018	3,216	3,917
2018-09-07	$264.24	$255.00	10.3%	3.0%	7.9%	18.2%	15.0%	5.0%	2.3%	-1.2M	-16.4M	-192.0K	1.07	25.67	591	631	3,248	4,229
2018-09-10	$264.81	$255.00	8.8%	2.8%	7.2%	12.9%	15.6%	4.3%	2.5%	-1.3M	-21.6M	-180.9K	0.97	33.58	624	607	3,261	4,244
2018-09-11	$265.76	$255.00	8.9%	2.9%	7.1%	13.3%	15.8%	4.8%	2.6%	-1.0M	-23.5M	-184.4K	0.99	26.64	626	619	3,303	4,256
2018-09-12	$265.97	$255.00	9.5%	2.7%	6.9%	15.2%	11.1%	3.9%	2.7%	-667.7K	-28.7M	-174.4K	1.29	27.87	633	818	3,404	4,252
2018-09-13	$266.91	$255.00	9.3%	2.7%	6.1%	14.6%	10.3%	3.5%	2.9%	-603.4K	-32.5M	-170.3K	1.04	19.01	622	645	3,473	4,382
2018-09-14	$267.29	$255.00	9.2%	2.6%	5.4%	14.0%	12.8%	4.3%	2.7%	-605.0K	-31.6M	-172.7K	0.82	30.29	808	661	3,458	4,393
2018-09-17	$265.62	$255.00	9.5%	2.7%	6.0%	15.3%	11.9%	3.8%	2.3%	-1.4M	-25.1M	-164.9K	1.07	23.29	605	645	3,564	4,430
2018-09-18	$267.58	$255.00	8.2%	2.4%	6.4%	10.6%	10.9%	3.8%	2.7%	123.3K	-36.1M	-157.7K	1.12	20.55	577	644	3,573	4,427
2018-09-19	$267.73	$255.00	7.7%	2.2%	6.4%	8.7%	11.3%	3.8%	3.1%	-448.9K	-33.6M	-154.3K	1.21	22.82	542	658	3,573	4,454
2018-09-20	$269.87	$255.00	8.2%	2.4%	6.8%	10.6%	9.3%	2.4%	3.1%	3.4M	-50.6M	-136.2K	0.96	15.72	701	672	3,602	4,460
2018-09-21	$269.66	$255.00	8.0%	2.3%	6.7%	9.6%	8.3%	2.5%	3.0%	4.2M	-46.8M	-139.5K	0.77	22.57	846	653	3,578	4,496
2018-09-24	$268.65	$255.00	8.4%	2.4%	6.7%	11.3%	9.2%	3.3%	1.4%	1.3M	-34.0M	-147.5K	1.43	65.91	571	816	2,934	3,379
2018-09-25	$268.50	$255.00	8.0%	2.3%	6.3%	9.7%	10.2%	4.4%	1.6%	1.3M	-26.3M	-155.1K	1.63	25.08	509	831	2,981	3,632
2018-09-26	$267.21	$260.00	10.0%	2.9%	6.5%	16.9%	9.5%	4.3%	1.1%	1.2M	-18.7M	-145.8K	1.75	32.46	516	905	2,689	3,642
2018-09-27	$266.94	$260.00	10.2%	2.9%	6.1%	17.8%	10.7%	4.1%	1.1%	919.9K	-17.8M	-151.4K	1.88	50.89	496	930	2,700	3,770
2018-09-28	$267.02	$260.00	9.8%	2.8%	5.8%	16.6%	9.6%	3.7%	1.2%	1.1M	-23.3M	-148.8K	1.99	10.67	457	911	2,734	3,594