VOO Options History — September 2021

In September 2021, VOO traded between $396.05 and $416.71. ATM implied volatility averaged 14.4%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.5% (HV 20d: 9.9%). Max pain ranged from $400.00 to $405.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2021-09-20: Highest Volume — 9,419 contracts
  • 2021-09-28: Largest IV spike — 52.4% change
  • 2021-09-30: Highest IV Rank — 41.5%
  • 2021-09-30: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$408.51$396.05$416.71$415.52$396.05
Max Pain$402.14$400.00$405.00$405.00$405.00
ATM IV14.4%9.7%20.3%10.3%20.3%
Expected Move4.2%3.0%5.8%3.0%5.8%
HV 20d9.9%7.4%13.8%7.4%13.8%
HV 60d10.7%9.9%12.2%10.0%12.2%
IV Rank20.4%3.5%41.5%5.9%41.5%
IV Percentile38.1%2.0%83.3%5.2%83.3%
Term Structure1.8%-0.8%3.8%2.0%-0.8%
VWIV15.7%10.2%21.7%10.2%17.9%
Skew 25d7.7%4.9%11.2%4.9%9.3%
Skew 10d14.3%9.3%20.2%9.3%15.5%
Call IV 25d11.9%8.7%16.2%8.7%15.4%
Put IV 25d19.6%13.6%27.4%13.6%24.8%
Bid-Ask Spread %75.8271.5480.4980.4978.59
Gamma HHI0.090.070.140.120.08
Net GEX899.4K-21.2M18.3M15.2M-21.2M
Net DEX-102.4M-215.7M102.3M-192.2M102.3M
Net VEX-1.8M-2.4M-1.5M-1.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.485.841.000.49
Total Volume2,159.1436109,4191,2211,344
Total OI39,034.38131,57250,12731,57250,127

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$415.52$405.0010.3%3.0%7.4%5.9%10.2%4.9%2.0%15.2M-192.2M-1.5M1.0080.4960961212,00119,571
2021-09-02$415.89$400.0010.7%3.6%7.4%7.2%13.4%6.7%3.3%15.1M-202.8M-1.5M0.6572.4852334212,43819,612
2021-09-03$416.71$400.009.7%3.5%7.4%3.5%13.5%6.5%3.8%18.3M-215.7M-1.5M0.8076.4233927112,66720,098
2021-09-07$415.32$400.0010.9%3.7%7.5%7.9%13.9%7.0%3.5%14.1M-189.9M-1.5M0.6173.8292056412,65720,132
2021-09-08$414.40$400.0012.6%3.6%7.6%14.1%19.4%7.5%3.6%14.1M-179.9M-1.5M1.9971.549441,87712,75520,279
2021-09-09$413.57$400.0012.9%3.7%7.7%14.9%14.0%7.4%3.4%11.1M-167.6M-1.5M0.5075.8153826813,10820,557
2021-09-10$410.01$400.0014.8%4.3%8.3%22.0%14.8%8.9%2.7%3.4M-128.8M-1.6M1.6378.396751,10213,41722,176
2021-09-13$409.92$400.0014.5%4.2%8.3%20.7%14.5%8.4%2.7%4.9M-141.0M-1.5M0.6974.761,20382513,61722,210
2021-09-14$407.97$400.0014.2%4.1%8.4%19.9%19.9%8.3%2.4%769.1K-113.1M-1.6M0.7074.301,4401,01014,00923,047
2021-09-15$412.16$400.0013.4%3.8%8.7%16.8%13.5%7.0%3.4%12.4M-174.7M-1.5M0.5777.361,11964114,38623,537
2021-09-16$411.46$400.0013.4%3.8%8.5%16.9%14.3%7.0%1.7%6.2M-158.6M-1.6M1.0175.2481382515,00924,353
2021-09-17$407.24$400.0015.5%4.4%9.3%24.2%14.5%8.5%1.2%1.7M-117.0M-1.6M0.9476.4883078415,28324,359
2021-09-20$398.65$400.0020.3%5.8%11.5%41.4%21.7%11.2%-0.8%-4.1M-46.1M-1.7M5.8472.561,3788,04112,71321,427
2021-09-21$401.14$405.0018.9%5.4%11.2%36.6%20.0%9.7%-0.0%-2.8M-60.4M-1.7M5.5676.517234,01912,97121,784
2021-09-22$404.32$405.0015.4%4.4%11.7%23.9%15.6%7.9%1.2%-5.0M-46.6M-2.0M1.7277.586001,03213,33428,655
2021-09-23$409.11$405.0012.9%3.7%12.5%15.1%13.0%6.3%1.8%-8.8M-77.6M-2.0M1.8975.009801,85413,56231,666
2021-09-24$410.06$405.0012.0%3.4%12.3%11.9%15.1%5.5%2.2%-9.9M-85.4M-2.0M1.0876.8472278113,78932,474
2021-09-27$408.67$405.0012.1%3.5%11.9%12.3%12.9%6.1%2.1%-10.7M-59.5M-2.1M0.4876.6342420413,98933,997
2021-09-28$400.62$405.0018.5%5.3%13.5%35.0%18.7%8.4%-0.2%-17.8M48.5M-2.3M1.0676.861,3821,46314,33834,570
2021-09-29$399.94$405.0019.1%5.5%13.5%37.0%17.8%9.2%-0.7%-17.9M54.7M-2.4M1.3474.6456575614,36334,685
2021-09-30$396.05$405.0020.3%5.8%13.8%41.5%17.9%9.3%-0.8%-21.2M102.3M-2.4M0.4978.5990144314,80335,324