VOO Options History — October 2018

In October 2018, VOO traded between $239.71 and $268.02. ATM implied volatility averaged 16.4%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.4% (HV 20d: 13.0%). Max pain ranged from $250.00 to $265.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.68.

Notable Days

  • 2018-10-12: Highest Volume — 2,256 contracts
  • 2018-10-04: Largest IV spike — 51.9% change
  • 2018-10-29: Highest IV Rank — 70.6%
  • 2018-10-29: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$255.64$239.71$268.02$267.56$249.73
Max Pain$257.17$250.00$265.00$260.00$250.00
ATM IV16.4%7.5%24.6%7.6%20.3%
Expected Move4.7%2.1%7.0%2.2%5.8%
HV 20d13.0%5.7%22.0%5.8%22.0%
HV 60d9.9%6.8%14.0%7.0%14.0%
IV Rank40.5%7.8%70.6%8.2%54.8%
IV Percentile78.6%11.9%98.8%13.9%94.4%
Term Structure-0.8%-3.6%2.2%1.5%-2.3%
VWIV16.6%8.5%27.6%8.5%18.6%
Skew 25d6.3%3.1%10.2%3.2%6.5%
Skew 10d12.7%5.7%18.9%5.7%12.2%
Call IV 25d14.0%7.5%28.6%7.6%17.2%
Put IV 25d20.3%10.6%32.1%10.8%23.7%
Bid-Ask Spread %49.1712.7881.4812.7862.83
Gamma HHI0.220.140.360.330.19
Net GEX-517.7K-2.4M1.7M1.4M463.2K
Net DEX74.3K-25.4M16.3M-25.4M-95.4K
Net VEX-140.9K-150.3K-123.9K-139.4K-148.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.681.142.911.681.56
Total Volume1,420.3919542,2561,4121,063
Total OI6,061.3044,1017,8206,3374,799

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$267.56$260.007.6%2.2%5.8%8.2%8.5%3.2%1.5%1.4M-25.4M-139.4K1.6812.785278852,7403,597
2018-10-02$267.92$260.007.5%2.1%5.8%7.8%9.2%3.1%2.2%1.7M-25.2M-142.0K1.7527.585018752,7743,606
2018-10-03$268.02$260.007.8%2.2%5.7%9.2%9.4%3.3%1.7%1.5M-25.3M-141.3K1.6933.505409152,8133,636
2018-10-04$265.43$255.0011.9%3.5%6.7%24.1%12.6%6.2%0.6%-7.7K-16.2M-147.4K1.6353.366039832,8163,631
2018-10-05$264.31$260.0012.4%3.6%6.8%26.0%12.6%6.3%0.3%-530.2K-13.1M-149.2K1.6720.745659432,8483,704
2018-10-08$264.77$260.0012.2%3.6%6.8%25.3%12.8%6.4%0.1%-404.3K-14.8M-140.1K1.7047.355689682,8843,676
2018-10-09$264.21$265.0012.4%3.6%6.7%26.1%12.0%6.0%0.6%-656.8K-12.9M-143.2K1.8725.825139592,9503,752
2018-10-10$256.55$265.0017.6%5.1%12.3%45.1%15.4%7.7%-1.4%-2.0M6.6M-142.7K1.5258.206179372,9723,750
2018-10-11$251.62$265.0020.8%5.9%13.6%56.6%19.1%10.2%-2.6%-1.4M16.3M-148.1K1.1672.567708902,9953,825
2018-10-12$253.32$260.0018.5%5.3%13.9%48.4%20.4%7.9%-1.9%-1.5M13.9M-150.3K1.4565.659191,3373,1003,884
2018-10-15$253.39$255.0016.4%4.7%13.9%40.4%17.0%7.2%-0.8%-1.7M16.1M-147.2K1.4651.296749823,2874,264
2018-10-16$257.52$255.0013.7%3.9%15.0%30.5%15.5%5.9%0.3%-2.3M3.9M-146.3K1.5161.246379623,2764,221
2018-10-17$257.25$255.0015.9%4.6%15.0%38.9%14.1%6.3%-0.7%-2.3M3.9M-143.1K1.1442.558169313,2974,250
2018-10-18$254.19$255.0016.9%4.8%14.9%42.3%16.0%6.0%-0.6%-1.5M12.4M-142.9K1.6761.135589303,5524,268
2018-10-19$254.24$255.0016.5%4.7%14.9%41.1%17.7%6.8%-0.7%-2.4M7.5M-140.8K1.5743.086621,0403,5564,139
2018-10-22$253.25$255.0015.6%4.5%14.9%37.8%19.9%7.0%-0.3%-178.6K5.3M-136.3K2.9119.422627631,9732,129
2018-10-23$251.79$255.0018.9%5.4%15.0%49.7%20.6%6.3%-1.7%-384.6K7.5M-139.7K2.7943.724021,1212,0162,258
2018-10-24$246.82$255.0021.1%6.1%16.1%57.9%17.6%9.4%-1.8%23.0K6.7M-124.8K1.4264.754155892,1521,949
2018-10-25$248.90$255.0020.2%5.8%16.7%54.4%19.5%7.1%-2.3%106.3K3.9M-134.5K1.8655.083496492,2451,998
2018-10-26$243.72$255.0023.8%6.8%17.7%67.6%24.2%8.7%-3.6%-135.8K11.4M-123.9K1.1663.055216022,2982,051
2018-10-29$239.71$255.0024.6%7.0%18.0%70.6%27.6%3.5%-1.1%3.6K12.4M-130.0K1.8181.483466262,6082,099
2018-10-30$245.46$250.0023.7%6.8%20.7%67.6%22.5%4.7%-3.5%176.0K7.0M-139.1K1.7663.803466082,6482,124
2018-10-31$249.73$250.0020.3%5.8%22.0%54.8%18.6%6.5%-2.3%463.2K-95.4K-148.0K1.5662.834166472,6662,133