VOO Options History — October 2024

In October 2024, VOO traded between $520.89 and $537.41. ATM implied volatility averaged 16.0%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.0% (HV 20d: 10.0%). Max pain ranged from $500.00 to $515.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.93.

Notable Days

  • 2024-10-11: Highest Volume — 60,022 contracts
  • 2024-10-07: Largest IV spike — 28.3% change
  • 2024-10-07: Highest IV Rank — 44.4%
  • 2024-10-31: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$530.84$520.89$537.41$523.17$525.03
Max Pain$507.83$500.00$515.00$512.50$515.00
ATM IV16.0%14.1%18.1%15.4%17.8%
Expected Move4.7%4.3%5.9%4.3%5.9%
HV 20d10.0%9.1%11.5%10.5%11.5%
HV 60d15.4%11.8%16.6%16.3%12.1%
IV Rank33.3%23.2%44.4%30.0%43.0%
IV Percentile86.8%74.2%97.2%83.7%97.2%
Term Structure0.1%-1.4%3.8%1.1%-0.4%
VWIV17.3%13.6%22.1%15.1%20.6%
Skew 25d6.4%4.4%8.4%7.0%5.9%
Skew 10d13.8%10.0%18.8%13.8%16.8%
Call IV 25d12.8%10.6%15.4%11.5%15.4%
Put IV 25d19.2%16.4%22.7%18.5%21.2%
Bid-Ask Spread %65.5559.9574.6071.5064.72
Gamma HHI0.110.070.170.130.07
Net GEX37.9M-36.2M111.3M7.0M-1.1M
Net DEX-2.05B-2.84B-905.5M-990.3M-2.07B
Net VEX-4.3M-5.5M-3.5M-3.6M-4.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.3018.031.140.87
Total Volume11,473.6962,24660,0225,71916,387
Total OI138,897.08786,674185,65886,674138,322

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$523.17$512.5015.4%4.3%10.5%30.0%15.1%7.0%1.1%7.0M-990.3M-3.6M1.1471.502,6713,04840,41946,255
2024-10-02$523.32$512.5015.8%4.3%10.5%32.3%16.3%8.4%1.8%5.9M-973.7M-3.8M1.0374.601,1081,14241,96347,511
2024-10-03$520.89$500.0016.7%4.9%10.6%36.8%18.9%7.4%1.8%-5.0M-905.5M-3.8M1.1462.214,3995,02942,40048,102
2024-10-04$526.14$500.0014.1%4.6%9.1%23.2%17.2%4.4%3.8%23.8M-1.27B-3.7M0.9460.876,1095,75946,05352,167
2024-10-07$521.30$500.0018.1%5.1%9.7%44.4%17.5%8.4%-0.8%1.3M-1.32B-3.8M2.2666.401,5313,46048,89254,119
2024-10-08$527.05$505.0016.4%4.8%10.2%35.5%16.6%8.0%0.2%23.9M-1.48B-3.7M0.3659.951,82966249,55556,279
2024-10-09$530.33$505.0015.7%4.6%10.1%31.7%21.5%7.9%0.6%52.4M-1.62B-3.5M18.0364.111,74231,40350,46656,649
2024-10-10$529.14$500.0016.9%4.6%9.6%37.8%16.3%8.3%-1.4%-36.2M-1.35B-4.1M0.5762.991,9301,09150,90377,059
2024-10-11$533.26$505.0016.1%4.5%9.8%33.6%13.6%7.0%-0.2%21.4M-1.58B-3.9M0.5560.7938,77021,25251,30977,374
2024-10-14$537.41$505.0015.9%4.6%10.0%32.7%17.9%5.4%-0.7%69.3M-2.79B-5.2M0.8262.502,7602,27484,80394,707
2024-10-15$532.48$505.0016.7%4.8%10.7%36.8%18.0%5.9%-0.5%28.8M-2.51B-5.5M0.9866.101,9481,90185,95895,929
2024-10-16$535.27$505.0015.5%4.5%10.8%30.8%22.1%5.2%-0.3%80.1M-2.79B-4.9M6.7362.629306,25786,45796,618
2024-10-17$535.44$505.0015.1%4.3%9.3%28.5%15.3%4.8%0.1%91.2M-2.74B-5.0M1.2568.201,5701,95886,81197,563
2024-10-18$537.01$505.0014.8%4.3%9.3%26.6%15.9%5.1%-0.4%111.3M-2.84B-4.7M1.0064.952,1742,17187,08998,569
2024-10-21$535.53$510.0015.4%4.4%9.4%29.9%16.3%6.3%-0.8%61.0M-2.53B-4.7M1.1567.151,8062,08178,77475,029
2024-10-22$536.67$510.0014.7%4.4%9.4%26.3%16.9%5.1%-0.1%76.6M-2.65B-4.4M1.0061.7019,84819,92479,84276,375
2024-10-23$531.26$510.0016.1%4.7%10.2%33.9%16.1%5.7%-0.7%23.9M-2.40B-4.7M0.6668.262,4071,59181,53778,335
2024-10-24$532.54$510.0016.2%4.7%10.1%34.5%18.4%5.5%-0.2%52.1M-2.48B-4.6M1.2464.691,0031,24382,80479,130
2024-10-25$532.53$515.0016.5%4.9%10.0%35.7%14.2%6.3%-0.8%70.9M-2.49B-4.7M0.5267.1321,55411,14383,04679,734
2024-10-28$534.49$515.0016.1%5.0%10.0%33.6%17.6%6.4%-0.2%32.1M-2.45B-3.8M0.6564.361,6131,05067,87967,139
2024-10-29$535.48$515.0015.8%5.1%9.8%31.9%18.2%6.7%-0.2%44.3M-2.49B-3.8M1.1670.021,2611,46168,85567,874
2024-10-30$533.60$515.0016.7%5.3%9.9%37.1%17.0%5.5%-0.0%35.9M-2.44B-3.8M0.3071.922,04060569,42368,556
2024-10-31$525.03$515.0017.8%5.9%11.5%43.0%20.6%5.9%-0.4%-1.1M-2.07B-4.3M0.8764.728,7657,62269,47168,851