VOO Options History — October 2021

In October 2021, VOO traded between $394.29 and $421.75. ATM implied volatility averaged 14.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 0.1% (HV 20d: 14.6%). Max pain ranged from $395.00 to $405.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2021-10-29: Highest Volume — 9,553 contracts
  • 2021-10-11: Largest IV spike — 41.0% change
  • 2021-10-04: Highest IV Rank — 44.5%
  • 2021-10-04: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$408.83$394.29$421.75$399.36$421.75
Max Pain$399.76$395.00$405.00$405.00$405.00
ATM IV14.5%11.4%21.1%17.3%12.9%
Expected Move4.1%3.3%5.5%5.0%3.7%
HV 20d14.6%10.8%16.9%14.2%10.8%
HV 60d11.8%11.1%12.6%12.1%11.4%
IV Rank20.8%9.6%44.5%30.9%15.1%
IV Percentile40.7%11.9%86.9%63.9%29.8%
Term Structure1.3%-0.0%1.9%0.6%1.3%
VWIV15.1%11.9%20.4%16.4%12.2%
Skew 25d6.8%5.3%8.9%7.5%6.0%
Skew 10d13.0%10.4%17.8%12.8%11.4%
Call IV 25d11.8%9.8%15.6%14.4%10.2%
Put IV 25d18.6%15.2%24.6%21.9%16.1%
Bid-Ask Spread %70.5961.3079.7779.7775.20
Gamma HHI0.080.070.280.080.07
Net GEX1.1M-23.3M29.8M-18.2M11.5M
Net DEX-92.2M-228.7M123.8M46.2M-215.1M
Net VEX-2.3M-2.5M-2.1M-2.3M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.185.762.615.76
Total Volume4,302.198719,5533,9189,553
Total OI47,978.90539,73256,74150,86543,387

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$399.36$405.0017.3%5.0%14.2%30.9%16.4%7.5%0.6%-18.2M46.2M-2.3M2.6179.771,0862,83214,94335,922
2021-10-04$394.29$400.0021.1%5.5%14.6%44.5%19.8%8.9%-0.0%-23.3M123.8M-2.3M0.3461.302,62589615,16135,997
2021-10-05$399.26$400.0017.4%5.0%15.6%31.0%18.4%8.8%0.6%-13.8M19.8M-2.2M0.4966.461,06152015,17934,712
2021-10-06$398.99$395.0017.4%5.1%15.6%31.3%20.4%8.5%0.3%-9.9M10.3M-2.3M0.7262.751,13382017,12034,881
2021-10-07$403.26$395.0015.1%4.5%16.2%23.0%16.2%7.9%1.3%-4.9M-47.2M-2.3M2.3470.851,7944,19417,01734,884
2021-10-08$402.76$395.0013.5%4.4%16.0%17.2%15.6%7.9%1.6%-5.6M-45.4M-2.2M0.6768.391,06070717,03234,880
2021-10-11$400.43$395.0019.1%4.8%16.1%37.0%17.0%8.0%1.0%-9.1M-783.7K-2.4M0.7164.2581257417,18538,196
2021-10-12$397.99$395.0018.6%4.6%16.1%35.5%15.7%7.8%1.1%-11.4M33.6M-2.5M0.6370.1153433717,68138,527
2021-10-13$399.80$400.0015.6%4.5%15.7%24.8%15.8%7.5%1.3%-11.0M10.2M-2.4M0.9268.3192084417,64838,540
2021-10-14$406.36$400.0014.1%4.0%16.9%19.2%13.7%6.5%1.4%5.6M-94.9M-2.2M0.3168.371,39843517,84438,546
2021-10-15$409.71$400.0012.6%3.6%16.8%14.0%13.2%6.1%1.8%29.8M-137.2M-2.3M0.1874.071,91734418,10738,634
2021-10-18$411.14$400.0013.1%3.8%14.8%15.9%14.0%6.1%1.7%4.3M-115.2M-2.3M0.5466.5897252414,13925,593
2021-10-19$413.78$400.0011.9%3.4%14.8%11.4%13.5%5.7%1.9%6.4M-144.3M-2.2M0.4370.7065628314,44025,755
2021-10-20$415.61$400.0012.1%3.5%14.6%12.3%15.3%5.5%1.7%8.9M-176.1M-2.3M3.9270.841,4745,77215,36426,229
2021-10-21$416.54$400.0012.0%3.4%14.1%11.8%13.2%5.3%1.8%10.0M-187.5M-2.2M3.7071.471,4455,35115,43726,216
2021-10-22$416.63$400.0012.2%3.5%14.1%12.5%11.9%5.7%1.7%9.4M-178.3M-2.3M3.8276.031,3785,26715,52026,370
2021-10-25$418.59$400.0011.4%3.3%14.1%9.6%12.7%5.3%1.8%11.1M-201.0M-2.2M3.4770.201,6245,64315,62526,456
2021-10-26$420.36$400.0012.0%3.4%11.7%11.9%12.5%5.6%1.6%11.2M-215.7M-2.2M3.0476.521,7795,40215,87326,701
2021-10-27$418.42$405.0012.4%3.6%11.9%13.2%15.3%5.9%1.6%10.0M-192.3M-2.2M4.1474.371,3295,50115,97626,773
2021-10-28$420.36$405.0012.6%3.6%11.0%14.0%13.3%5.8%1.6%11.1M-228.7M-2.1M5.5875.781,4518,09916,04627,021
2021-10-29$421.75$405.0012.9%3.7%10.8%15.1%12.2%6.0%1.3%11.5M-215.1M-2.3M5.7675.201,4148,13916,11227,275