VOO Options History — September 2024

In September 2024, VOO traded between $496.98 and $527.49. ATM implied volatility averaged 14.3%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.8% (HV 20d: 13.5%). Max pain ranged from $455.00 to $495.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.06.

Notable Days

2024-09-27: Highest Volume — 21,909 contracts
2024-09-19: Largest IV drop — 14.7% change
2024-09-06: Highest IV Rank — 45.5%
2024-09-06: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$515.64	$496.98	$527.49	$505.99	$525.93
Max Pain	$473.25	$455.00	$495.00	$455.00	$495.00
ATM IV	14.3%	12.0%	18.3%	16.8%	13.5%
Expected Move	4.1%	3.4%	5.0%	5.0%	3.8%
HV 20d	13.5%	12.5%	16.0%	16.0%	12.8%
HV 60d	16.1%	15.6%	16.4%	15.6%	16.3%
IV Rank	24.4%	12.0%	45.5%	37.4%	19.9%
IV Percentile	71.4%	47.6%	94.8%	92.5%	68.3%
Term Structure	0.3%	-0.8%	2.5%	1.1%	2.5%
VWIV	14.8%	12.2%	17.3%	17.3%	15.8%
Skew 25d	5.2%	3.6%	6.8%	6.5%	6.1%
Skew 10d	10.6%	7.4%	14.9%	14.9%	12.7%
Call IV 25d	11.8%	9.8%	14.9%	13.5%	9.9%
Put IV 25d	17.1%	14.3%	20.9%	20.1%	15.9%
Bid-Ask Spread %	69.69	60.77	77.08	71.51	71.29
Gamma HHI	0.09	0.05	0.20	0.06	0.07
Net GEX	33.4M	-9.4M	67.4M	15.9M	36.9M
Net DEX	-1.08B	-1.53B	-621.0M	-1.08B	-1.13B
Net VEX	-2.6M	-3.3M	-2.4M	-2.8M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.35	4.27	1.17	4.27
Total Volume	5,089.7	1,923	21,909	3,829	8,433
Total OI	77,672.85	55,264	93,108	78,517	79,428

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
2024-09-03	$505.99	$455.00	16.8%	5.0%	16.0%	37.4%	17.3%	6.5%	1.1%	15.9M	-1.08B	-2.8M	1.17	71.51	1,765	2,064	37,898	40,619
2024-09-04	$506.30	$455.00	16.4%	4.8%	14.8%	35.3%	16.6%	6.7%	0.9%	10.7M	-1.09B	-2.8M	0.72	68.25	1,134	820	38,491	41,871
2024-09-05	$504.38	$465.00	16.7%	4.5%	14.3%	37.1%	15.3%	6.8%	-0.4%	7.3M	-1.06B	-2.7M	0.84	64.08	1,440	1,215	38,862	42,342
2024-09-06	$496.98	$465.00	18.3%	5.0%	14.3%	45.5%	16.7%	6.0%	0.3%	-9.4M	-844.6M	-2.9M	1.43	64.55	2,156	3,084	39,493	42,593
2024-09-09	$501.37	$465.00	16.8%	5.0%	14.5%	37.3%	16.1%	6.2%	0.8%	9.9M	-1.06B	-2.6M	0.70	60.77	1,940	1,355	38,604	41,024
2024-09-10	$504.13	$465.00	16.1%	4.5%	14.5%	33.5%	15.6%	5.9%	-0.5%	18.2M	-1.13B	-2.5M	2.81	65.59	834	2,340	39,701	42,443
2024-09-11	$507.99	$465.00	14.8%	4.2%	13.4%	26.7%	15.2%	5.0%	0.4%	31.7M	-1.20B	-2.5M	0.80	66.55	1,623	1,306	40,188	44,228
2024-09-12	$513.71	$465.00	14.0%	3.9%	13.9%	22.3%	14.9%	6.2%	-0.5%	48.4M	-1.33B	-2.4M	0.54	72.00	1,818	984	40,627	44,744
2024-09-13	$516.54	$465.00	13.7%	4.0%	12.7%	21.1%	14.7%	4.3%	0.7%	55.9M	-1.39B	-2.4M	0.58	69.39	3,559	2,075	40,949	45,193
2024-09-16	$517.21	$470.00	14.1%	4.1%	12.7%	23.2%	15.0%	4.7%	-0.1%	36.4M	-1.35B	-2.4M	0.79	72.95	1,075	848	40,454	42,542
2024-09-17	$516.61	$470.00	14.4%	4.1%	12.5%	24.5%	15.9%	5.0%	-0.0%	36.1M	-1.34B	-2.4M	0.92	70.59	1,629	1,502	41,061	42,990
2024-09-18	$516.68	$470.00	14.7%	4.2%	12.5%	26.2%	14.5%	4.9%	-0.8%	38.4M	-1.34B	-2.4M	0.35	75.03	6,119	2,116	41,690	43,997
2024-09-19	$525.14	$475.00	12.5%	3.6%	13.7%	14.8%	13.7%	3.8%	-0.3%	61.9M	-1.53B	-2.4M	0.59	70.78	3,661	2,175	45,834	45,346
2024-09-20	$524.64	$480.00	12.0%	3.5%	13.3%	12.0%	13.2%	3.6%	0.5%	67.4M	-1.52B	-2.5M	0.55	77.08	2,402	1,317	46,728	46,380
2024-09-23	$524.96	$480.00	12.2%	3.4%	12.9%	13.0%	12.9%	4.4%	0.7%	41.3M	-624.2M	-2.5M	0.56	66.64	1,967	1,096	28,162	27,102
2024-09-24	$526.13	$485.00	12.2%	3.4%	12.9%	12.8%	13.3%	3.9%	0.2%	45.5M	-644.1M	-2.5M	1.49	69.28	1,472	2,200	29,095	27,890
2024-09-25	$525.20	$490.00	12.3%	3.4%	12.9%	13.5%	12.3%	4.5%	0.7%	39.6M	-621.0M	-2.5M	0.79	73.64	3,381	2,678	29,454	29,394
2024-09-26	$527.49	$490.00	12.0%	3.4%	12.8%	12.2%	12.2%	4.8%	0.4%	50.0M	-689.3M	-3.1M	0.39	71.23	3,094	1,208	31,344	31,426
2024-09-27	$525.42	$495.00	13.5%	3.6%	12.9%	19.9%	13.9%	5.6%	-0.7%	25.8M	-633.6M	-3.2M	0.98	72.64	11,045	10,864	31,217	32,053
2024-09-30	$525.93	$495.00	13.5%	3.8%	12.8%	19.9%	15.8%	6.1%	2.5%	36.9M	-1.13B	-3.3M	4.27	71.29	1,601	6,832	39,591	39,837