VOO Options History — September 2019

In September 2019, VOO traded between $267.15 and $277.24. ATM implied volatility averaged 13.0%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.7% (HV 20d: 14.7%). Max pain ranged from $260.00 to $270.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.63.

Notable Days

  • 2019-09-26: Highest Volume — 1,347 contracts
  • 2019-09-27: Largest IV spike — 29.2% change
  • 2019-09-03: Highest IV Rank — 46.7%
  • 2019-09-03: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$274.04$267.15$277.24$267.15$272.84
Max Pain$265.00$260.00$270.00$265.00$270.00
ATM IV13.0%11.3%19.3%19.3%13.0%
Expected Move3.8%3.4%5.5%5.5%3.7%
HV 20d14.7%8.9%20.3%19.8%10.3%
HV 60d14.6%14.3%14.8%14.3%14.8%
IV Rank21.6%15.0%46.7%46.7%21.6%
IV Percentile37.0%25.4%81.0%81.0%39.3%
Term Structure1.8%-1.4%3.0%-1.4%1.3%
VWIV14.1%11.6%17.6%17.6%13.3%
Skew 25d6.1%4.5%7.8%7.8%6.6%
Skew 10d11.2%7.8%15.8%15.8%12.7%
Call IV 25d11.0%9.8%14.7%14.7%11.4%
Put IV 25d17.1%14.5%22.5%22.5%18.1%
Bid-Ask Spread %79.7574.3785.2078.8379.98
Gamma HHI0.190.110.560.190.12
Net GEX3.0M-3.7M11.0M-3.7M1.1M
Net DEX-23.1M-40.4M12.4M12.4M-1.6M
Net VEX-215.2K-321.6K-172.1K-297.9K-309.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.1214.380.380.34
Total Volume410.31251,347246133
Total OI14,199.457,35917,01316,3379,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$267.15$265.0019.3%5.5%19.8%46.7%17.6%7.8%-1.4%-3.7M12.4M-297.9K0.3878.83178683,91812,419
2019-09-04$269.93$265.0015.3%4.4%19.8%30.7%12.6%7.4%-0.1%1.0K-10.0M-249.7K0.1282.28564653,95312,420
2019-09-05$273.66$260.0012.4%3.7%20.3%19.5%13.3%6.9%1.7%2.2M-25.1M-221.2K0.3474.375061713,80112,423
2019-09-06$273.96$260.0011.3%3.6%19.4%15.0%14.1%6.3%2.0%2.9M-26.9M-209.9K0.7476.1172533,84812,533
2019-09-09$273.68$260.0011.6%3.6%19.4%16.4%16.6%6.7%2.1%3.1M-25.9M-202.6K0.4475.39183813,87712,547
2019-09-10$273.04$265.0011.6%3.5%18.5%16.2%14.6%6.5%2.2%3.0M-23.8M-199.4K0.7677.0996733,94212,589
2019-09-11$275.20$265.0012.5%3.6%18.0%19.9%15.8%5.9%2.0%4.3M-33.7M-192.5K0.4278.163471473,94912,589
2019-09-12$277.24$265.0012.4%3.6%14.7%19.5%14.7%5.3%2.2%4.6M-38.5M-197.0K0.4481.622351033,99212,672
2019-09-13$276.68$265.0012.1%3.5%14.8%18.3%15.4%5.5%2.6%4.4M-35.5M-198.5K0.2779.90197534,02312,750
2019-09-16$275.66$265.0012.4%3.6%14.4%19.5%13.1%6.0%2.3%4.5M-33.6M-195.8K0.1780.78249424,10012,771
2019-09-17$276.42$265.0012.5%3.6%13.8%19.9%15.2%5.5%2.7%4.8M-37.1M-193.3K0.5182.72120614,13712,788
2019-09-18$276.49$265.0012.0%3.4%13.5%17.8%12.4%5.1%2.9%5.2M-39.4M-178.1K0.9285.201621494,15712,801
2019-09-19$276.66$265.0011.8%3.4%13.4%16.9%11.6%4.5%3.0%4.6M-40.4M-172.1K0.1581.99267414,11312,824
2019-09-20$275.38$265.0012.5%3.6%13.6%19.8%12.3%5.7%2.7%11.0M-35.9M-177.9K0.4083.09208834,16512,848
2019-09-23$275.64$265.0012.2%3.5%8.9%18.5%11.9%5.4%1.5%1.8M-21.9M-173.6K0.2578.75291722,7384,621
2019-09-24$272.74$265.0013.3%3.8%10.0%22.9%15.0%6.1%2.2%1.6M-16.1M-185.9K1.0578.501751832,9514,649
2019-09-25$274.74$265.0012.6%3.6%10.2%20.3%11.8%5.6%1.5%2.2M-21.0M-180.9K14.3880.77801,1502,9884,728
2019-09-26$272.99$270.0012.4%3.6%10.5%19.5%14.2%6.2%1.5%1.6M-10.0M-246.5K7.9280.481511,1962,9015,803
2019-09-27$270.80$270.0016.0%4.6%10.0%33.7%16.6%7.0%0.4%441.5K2.0M-321.6K2.5978.96561453,0156,806
2019-09-30$272.84$270.0013.0%3.7%10.3%21.6%13.3%6.6%1.3%1.1M-1.6M-309.0K0.3479.9899342,9626,878