VOO Options History — September 2022

In September 2022, VOO traded between $330.26 and $377.39. ATM implied volatility averaged 26.0%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 3.0% (HV 20d: 23.0%). Max pain ranged from $350.00 to $375.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.02.

Notable Days

  • 2022-09-06: Highest Volume — 22,059 contracts
  • 2022-09-12: Largest IV spike — 34.6% change
  • 2022-09-13: Highest IV Rank — 83.7%
  • 2022-09-27: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$353.90$330.26$377.39$362.45$330.26
Max Pain$363.33$350.00$375.00$375.00$350.00
ATM IV26.0%20.4%31.4%24.4%29.1%
Expected Move7.2%5.9%8.7%7.0%8.4%
HV 20d23.0%18.9%25.7%19.3%25.7%
HV 60d22.0%20.9%24.1%24.1%22.1%
IV Rank62.0%39.1%83.7%57.3%74.4%
IV Percentile78.7%51.2%98.4%72.2%93.3%
Term Structure-0.2%-1.6%1.0%-0.8%-1.3%
VWIV26.0%21.5%32.2%25.5%29.9%
Skew 25d5.8%4.7%7.0%5.3%6.0%
Skew 10d11.2%9.1%15.2%10.3%12.3%
Call IV 25d22.5%18.7%27.2%21.4%25.7%
Put IV 25d28.3%24.0%34.2%26.7%31.7%
Bid-Ask Spread %60.6550.8169.1667.3460.54
Gamma HHI0.120.090.430.100.11
Net GEX-73.9M-156.9M-42.3M-80.7M-68.2M
Net DEX544.2M-10.8M822.1M574.3M811.5M
Net VEX-4.4M-4.7M-3.7M-4.6M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.589.568.031.24
Total Volume7,338.3811,48222,0599,9927,113
Total OI135,354.143125,474152,522129,220131,826

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$362.45$375.0024.4%7.0%19.3%57.3%25.5%5.3%-0.8%-80.7M574.3M-4.6M8.0367.341,1068,88632,17797,043
2022-09-02$359.35$375.0023.7%6.8%19.4%54.5%24.3%5.1%-0.5%-78.1M629.3M-4.5M1.1269.161,4771,65332,49597,887
2022-09-06$359.41$365.0025.6%6.9%19.4%62.0%27.1%6.5%0.5%-80.9M644.8M-4.4M2.3258.516,64915,41032,66098,024
2022-09-07$365.84$365.0023.7%6.5%20.7%52.3%27.3%6.3%0.6%-81.6M451.8M-4.5M0.7253.364,1973,04034,199105,975
2022-09-08$366.45$365.0022.6%6.4%18.9%47.9%21.9%5.6%0.5%-82.5M384.2M-4.3M1.3764.9262685634,561106,126
2022-09-09$374.27$365.0020.4%5.9%20.7%39.1%21.5%5.3%1.0%-74.8M95.7M-3.9M0.7565.741,00275534,654106,042
2022-09-12$377.39$365.0027.5%6.3%19.9%67.9%21.5%4.9%0.3%-64.1M-10.8M-3.7M0.5864.621,19369634,957106,081
2022-09-13$360.80$365.0031.4%7.2%24.8%83.7%26.4%5.9%-0.3%-82.8M547.3M-4.0M1.7458.598,03914,01035,262106,191
2022-09-14$362.81$365.0023.6%6.8%24.9%52.1%24.7%5.9%0.4%-93.1M558.0M-4.6M1.4964.269971,48738,634112,508
2022-09-15$359.33$365.0023.8%6.8%25.0%52.7%22.3%5.8%0.4%-95.5M674.5M-4.5M1.0964.361,5351,67639,058112,819
2022-09-16$355.57$365.0024.5%7.0%24.9%55.5%25.1%5.8%0.3%-156.9M813.1M-4.6M1.3565.265,2227,06339,651112,871
2022-09-19$358.01$365.0023.9%6.9%25.0%53.1%23.9%5.2%0.1%-42.3M275.5M-4.3M0.9259.661,1431,04731,06294,412
2022-09-20$355.49$360.0025.4%7.3%24.1%59.2%26.4%5.3%-0.4%-47.5M354.8M-4.5M2.1650.815271,14031,71694,899
2022-09-21$349.38$360.0026.5%7.6%24.6%63.8%25.9%5.3%-0.4%-51.4M465.2M-4.5M1.4464.361,1301,62631,81395,410
2022-09-22$348.26$360.0024.9%7.1%24.4%57.3%25.6%4.7%-0.1%-56.2M483.5M-4.4M1.0952.941,1321,23532,52095,695
2022-09-23$339.41$360.0027.3%7.8%24.9%67.0%27.5%6.2%-0.5%-63.4M699.9M-4.7M9.5657.391,39213,31232,92696,021
2022-09-26$337.41$360.0029.6%8.5%23.2%76.4%27.9%6.2%-1.4%-63.4M752.7M-4.6M2.4452.703,8819,46533,10997,615
2022-09-27$335.02$360.0030.5%8.7%23.2%80.0%32.2%7.0%-1.6%-65.1M822.1M-4.7M0.9359.053,5743,31933,77197,869
2022-09-28$341.67$365.0028.2%8.1%24.5%70.5%28.7%6.6%-0.8%-57.3M618.3M-4.5M0.9459.183,8993,66332,98398,489
2022-09-29$333.36$355.0029.2%8.4%25.6%74.6%29.7%6.8%-1.1%-66.5M782.9M-4.7M1.0760.893,8374,09633,61096,816
2022-09-30$330.26$350.0029.1%8.4%25.7%74.4%29.9%6.0%-1.3%-68.2M811.5M-4.7M1.2460.543,1783,93533,74598,081