VOO Options History — September 2023

In September 2023, VOO traded between $392.00 and $414.36. ATM implied volatility averaged 13.0%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.3% (HV 20d: 11.7%). Max pain ranged from $390.00 to $400.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2023-09-27: Highest Volume — 2,886 contracts
2023-09-11: Largest IV spike — 16.8% change
2023-09-27: Highest IV Rank — 23.8%
2023-09-27: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$404.89	$392.00	$414.36	$414.36	$392.36
Max Pain	$399.50	$390.00	$400.00	$390.00	$400.00
ATM IV	13.0%	9.9%	17.0%	9.9%	16.4%
Expected Move	3.8%	2.8%	4.9%	2.8%	4.7%
HV 20d	11.7%	10.4%	12.6%	11.9%	10.4%
HV 60d	10.9%	10.5%	11.2%	10.8%	10.9%
IV Rank	10.8%	0.5%	23.8%	0.5%	21.6%
IV Percentile	22.5%	0.4%	49.2%	0.4%	45.6%
Term Structure	0.8%	-0.4%	1.8%	1.8%	-0.2%
VWIV	13.4%	10.2%	16.8%	10.2%	15.0%
Skew 25d	3.8%	1.9%	4.7%	1.9%	4.2%
Skew 10d	7.6%	4.5%	10.2%	4.5%	7.6%
Call IV 25d	11.7%	9.3%	15.1%	9.3%	13.7%
Put IV 25d	15.5%	11.2%	19.8%	11.2%	17.9%
Bid-Ask Spread %	51.37	29.51	69.32	64.98	56.23
Gamma HHI	0.11	0.06	0.21	0.12	0.06
Net GEX	32.1M	13.6M	54.8M	44.5M	14.7M
Net DEX	-469.8M	-663.4M	-270.7M	-652.5M	-298.5M
Net VEX	-2.2M	-2.3M	-2.1M	-2.2M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.28	2.39	0.43	0.55
Total Volume	1,533.8	907	2,886	1,397	1,171
Total OI	52,646.9	47,093	57,146	53,766	52,148

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2023-09-01	$414.36	$390.00	9.9%	2.8%	11.9%	0.5%	10.2%	1.9%	1.8%	44.5M	-652.5M	-2.2M	0.43	64.98	975	422	33,101	20,665
2023-09-05	$413.80	$400.00	11.0%	3.4%	11.6%	4.2%	14.5%	3.6%	1.5%	46.6M	-651.5M	-2.3M	2.39	48.96	327	782	33,799	20,707
2023-09-06	$409.97	$400.00	11.8%	3.7%	12.0%	6.7%	13.1%	4.3%	1.4%	41.0M	-566.5M	-2.3M	0.50	64.26	1,045	524	33,923	20,944
2023-09-07	$409.07	$400.00	11.6%	3.6%	11.9%	6.1%	14.6%	4.1%	1.2%	41.5M	-551.3M	-2.3M	1.06	55.67	501	531	34,112	21,095
2023-09-08	$408.95	$400.00	10.8%	3.5%	11.9%	3.6%	12.1%	3.8%	1.5%	43.9M	-546.7M	-2.3M	0.36	59.61	794	284	34,132	21,298
2023-09-11	$411.98	$400.00	12.7%	3.5%	12.1%	9.5%	11.8%	3.5%	1.3%	47.9M	-614.9M	-2.2M	1.36	49.69	611	830	34,071	21,367
2023-09-12	$409.84	$400.00	13.6%	3.5%	12.2%	12.4%	12.8%	3.9%	1.3%	43.2M	-567.6M	-2.2M	0.67	29.51	543	364	34,301	21,853
2023-09-13	$410.03	$400.00	11.8%	3.4%	11.5%	6.8%	11.6%	3.3%	1.6%	47.2M	-575.8M	-2.1M	0.76	47.88	694	525	34,355	21,958
2023-09-14	$413.98	$400.00	10.8%	3.1%	11.7%	3.5%	11.2%	2.9%	1.3%	54.8M	-663.4M	-2.1M	0.28	67.98	1,537	424	34,507	22,165
2023-09-15	$408.68	$400.00	11.6%	3.3%	12.1%	5.9%	11.8%	3.4%	1.0%	43.7M	-519.6M	-2.2M	0.61	69.32	1,644	1,001	34,956	22,190
2023-09-18	$408.75	$400.00	11.9%	3.4%	12.1%	7.0%	12.5%	3.4%	0.8%	26.8M	-460.3M	-2.1M	0.46	33.59	1,158	531	28,064	19,029
2023-09-19	$408.58	$400.00	12.0%	3.4%	12.0%	7.4%	12.8%	3.5%	0.7%	27.5M	-474.9M	-2.1M	0.71	30.54	721	515	28,864	19,364
2023-09-20	$405.00	$400.00	12.9%	3.7%	12.3%	10.2%	12.6%	3.7%	0.6%	24.4M	-429.8M	-2.1M	0.45	38.01	675	301	29,039	19,558
2023-09-21	$398.72	$400.00	14.5%	4.1%	12.6%	15.4%	15.0%	4.7%	0.2%	17.4M	-334.6M	-2.2M	0.76	45.50	1,291	978	29,211	19,750
2023-09-22	$397.69	$400.00	14.1%	4.0%	11.9%	14.2%	14.4%	4.1%	0.5%	16.1M	-323.5M	-2.2M	0.40	49.42	1,227	485	29,138	20,215
2023-09-25	$397.81	$400.00	14.7%	4.2%	11.6%	16.3%	14.3%	4.2%	0.1%	16.6M	-324.6M	-2.2M	0.42	47.71	788	332	29,678	20,397
2023-09-26	$392.58	$400.00	16.6%	4.8%	12.2%	22.3%	16.8%	4.7%	-0.1%	14.0M	-274.1M	-2.2M	0.81	53.74	1,111	902	29,825	20,436
2023-09-27	$392.00	$400.00	17.0%	4.9%	10.4%	23.8%	16.8%	4.2%	-0.4%	13.6M	-270.7M	-2.2M	1.98	58.06	967	1,919	29,899	20,625
2023-09-28	$393.58	$400.00	15.3%	4.4%	10.5%	18.2%	15.3%	4.2%	-0.0%	15.6M	-294.5M	-2.3M	0.74	56.71	718	528	30,010	22,189
2023-09-29	$392.36	$400.00	16.4%	4.7%	10.4%	21.6%	15.0%	4.2%	-0.2%	14.7M	-298.5M	-2.2M	0.55	56.23	757	414	30,133	22,015