VOO Options History — October 2019

In October 2019, VOO traded between $264.74 and $279.19. ATM implied volatility averaged 13.5%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.1% (HV 20d: 13.6%). Max pain ranged from $270.00 to $275.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.24.

Notable Days

  • 2019-10-23: Highest Volume — 1,932 contracts
  • 2019-10-29: Largest IV spike — 36.5% change
  • 2019-10-08: Highest IV Rank — 48.0%
  • 2019-10-02: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$272.96$264.74$279.19$269.52$278.00
Max Pain$271.96$270.00$275.00$270.00$275.00
ATM IV13.5%7.4%20.3%16.4%9.9%
Expected Move3.9%2.1%5.6%4.7%2.8%
HV 20d13.6%11.0%15.3%11.2%11.2%
HV 60d15.9%14.8%16.5%15.0%14.8%
IV Rank21.4%0.0%48.0%35.2%9.9%
IV Percentile37.5%0.0%84.1%65.1%6.3%
Term Structure1.1%-0.9%2.7%-0.2%1.9%
VWIV13.4%10.3%17.9%16.7%11.5%
Skew 25d5.3%3.0%8.1%7.2%4.4%
Skew 10d9.3%4.7%13.2%12.3%7.9%
Call IV 25d11.2%8.7%16.0%13.1%9.5%
Put IV 25d16.6%12.7%22.6%20.3%13.8%
Bid-Ask Spread %78.8748.3394.2680.1786.76
Gamma HHI0.160.090.420.110.13
Net GEX567.3K-2.4M6.9M1.7K-1.3M
Net DEX1.5M-18.1M21.3M8.2M1.4M
Net VEX-344.7K-388.1K-308.6K-313.3K-388.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.1817.760.780.24
Total Volume509.9131221,932342328
Total OI11,357.7398,48712,8889,87412,888

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$269.52$270.0016.4%4.7%11.2%35.2%16.7%7.2%-0.2%1.7K8.2M-313.3K0.7880.171921502,9846,890
2019-10-02$264.74$270.0019.5%5.6%12.3%47.3%17.9%6.5%-0.7%-1.5M21.3M-327.0K0.8178.162912373,0306,951
2019-10-03$266.04$270.0019.3%5.3%11.2%45.7%17.8%8.0%-0.2%-1.3M19.5M-321.1K6.5564.721419242,9587,070
2019-10-04$270.10$270.0015.5%4.5%12.7%28.3%13.9%7.4%0.9%-171.9K9.4M-334.3K0.8267.374563762,9957,860
2019-10-07$269.71$270.0016.6%4.6%12.7%32.7%13.1%7.5%0.3%-29.3K7.4M-363.8K0.1848.33219403,3338,190
2019-10-08$265.71$270.0020.3%5.4%13.6%48.0%14.8%8.1%-0.9%-1.3M18.8M-372.1K0.6373.882131343,4328,204
2019-10-09$267.62$270.0016.6%4.8%13.6%33.0%13.6%3.0%0.1%-789.6K13.9M-379.7K1.1494.261131293,5318,254
2019-10-10$269.13$270.0016.0%4.6%13.4%30.4%16.7%7.1%0.5%147.8K7.6M-362.8K0.4070.9887353,5718,251
2019-10-11$273.12$270.0013.7%3.9%14.6%21.0%13.7%6.4%1.2%2.2M-8.3M-338.3K0.5579.403101713,6018,259
2019-10-14$271.82$270.0014.6%4.2%14.7%24.5%13.0%5.5%1.0%1.7M-2.2M-329.5K0.3475.73205703,6458,311
2019-10-15$274.74$270.0012.0%3.4%15.2%13.8%12.6%4.7%2.0%4.2M-16.6M-323.8K0.7477.05111823,7508,352
2019-10-16$273.99$275.0012.0%3.4%15.2%14.0%11.5%4.9%1.9%4.7M-13.0M-321.3K0.2578.48296753,7728,376
2019-10-17$274.99$270.0012.0%3.4%15.3%13.9%12.2%4.8%2.0%6.9M-18.1M-308.6K0.2380.25198463,6498,371
2019-10-18$274.17$270.0011.9%3.4%15.2%13.7%13.1%4.9%2.1%4.9M-11.6M-312.7K0.6178.291701033,6728,389
2019-10-21$275.54$270.0012.0%3.4%15.3%14.0%11.4%4.6%1.4%876.2K-8.9M-314.6K3.8980.602901,1292,4905,997
2019-10-22$274.77$275.0011.9%3.4%14.8%13.3%10.9%4.8%1.5%-963.7K7.2M-353.1K0.2983.213951162,7257,075
2019-10-23$275.14$275.0011.9%3.4%14.6%13.6%15.8%4.7%1.3%-364.2K7.0M-358.7K17.7680.811031,8293,0497,132
2019-10-24$275.84$275.0011.4%3.3%14.4%11.4%13.3%4.0%1.8%-2.4M9.6M-375.1K2.1281.29931973,0938,654
2019-10-25$277.12$275.0011.1%3.2%14.1%10.2%10.3%3.6%1.7%-1.6M1.9M-369.7K0.5085.442181083,1268,748
2019-10-28$278.66$275.007.4%2.1%14.0%0.0%10.3%4.0%2.7%-214.1K-7.2M-350.0K0.8690.47112963,2608,803
2019-10-29$278.33$275.0010.1%2.9%13.2%10.6%11.2%3.1%1.9%-364.4K-5.0M-364.9K1.2687.331011273,3498,848
2019-10-30$279.19$275.009.6%2.8%11.0%8.8%11.9%3.7%2.1%-290.6K-8.2M-345.6K10.5491.11798333,4038,937
2019-10-31$278.00$275.009.9%2.8%11.2%9.9%11.5%4.4%1.9%-1.3M1.4M-388.1K0.2486.76264643,4429,446