VWO Options History — January 2017

In January 2017, VWO traded between $36.13 and $38.12. ATM implied volatility averaged 16.2%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.3% (HV 20d: 12.9%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.21.

Notable Days

  • 2017-01-13: Highest Volume — 28,769 contracts
  • 2017-01-04: Largest IV drop — 9.1% change
  • 2017-01-03: Highest IV Rank — 19.7%
  • 2017-01-05: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.25$36.13$38.12$36.13$37.84
Max Pain$36.45$36.00$37.00$36.00$37.00
ATM IV16.2%13.6%19.7%19.7%14.9%
Expected Move4.6%3.9%5.4%5.0%4.2%
HV 20d12.9%9.5%16.9%16.3%9.5%
HV 60d17.9%17.6%18.4%18.1%17.6%
IV Rank5.0%0.0%19.7%19.7%5.9%
IV Percentile4.4%0.0%35.7%35.7%2.0%
Term Structure0.6%-1.1%2.6%-1.1%0.7%
VWIV17.7%14.2%23.1%17.6%16.2%
Skew 25d3.6%2.3%4.5%3.5%2.7%
Skew 10d9.9%5.5%16.4%16.4%7.1%
Call IV 25d14.9%11.7%17.7%17.7%15.0%
Put IV 25d18.5%15.5%21.2%21.2%17.6%
Bid-Ask Spread %34.2212.3663.4643.5229.78
Gamma HHI0.180.130.280.170.13
Net GEX2.7M1.3M4.0M1.6M2.6M
Net DEX-9.2M-18.8M1.6M286.7K-6.6M
Net VEX-412.4K-549.9K-292.1K-296.7K-549.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.803.671.062.97
Total Volume18,06913,62528,76914,69319,027
Total OI66,313.155,20483,17860,64666,618

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$36.13$36.0019.7%5.0%16.3%19.7%17.6%3.5%-1.1%1.6M286.7K-296.7K1.0643.52N/AN/A7,1307,56331,70028,946
2017-01-04$36.47$36.0017.9%4.4%16.4%10.5%23.1%3.7%0.4%2.3M-6.8M-302.5K1.1555.34N/AN/A6,6127,63332,30429,393
2017-01-05$36.91$36.0017.7%5.4%16.9%9.5%21.6%3.0%-0.6%2.1M-9.6M-292.1K0.9349.90N/AN/A8,2557,63831,82729,468
2017-01-06$36.78$36.0017.4%5.0%16.0%7.9%21.8%2.7%0.4%2.3M-11.1M-301.4K0.8063.46N/AN/A8,9897,15433,10129,376
2017-01-09$36.67$36.0018.0%5.3%16.0%10.6%22.7%4.1%1.4%2.7M-10.8M-309.1K1.1054.98N/AN/A6,4947,13134,47329,369
2017-01-10$36.93$36.0017.1%5.2%16.2%6.3%20.5%3.6%0.6%3.3M-17.1M-307.8K3.3653.76N/AN/A3,93213,20434,61829,384
2017-01-11$37.17$36.0016.7%5.1%15.8%3.8%18.8%3.5%0.6%2.9M-16.7M-331.2K3.6726.09N/AN/A3,61213,25334,62232,459
2017-01-12$37.26$36.0017.2%5.1%15.4%6.8%18.6%4.1%0.7%2.9M-18.5M-333.1K3.3221.79N/AN/A3,96613,17234,68532,519
2017-01-13$37.27$36.0016.3%5.0%11.7%2.0%16.2%4.0%1.5%3.3M-18.8M-327.7K1.8826.50N/AN/A9,97518,79434,83632,573
2017-01-17$37.17$36.0017.3%5.0%11.8%7.1%17.6%4.3%0.3%3.3M-1.1M-449.9K2.9412.36N/AN/A6,38718,80940,97138,567
2017-01-18$37.05$36.0016.2%4.6%11.2%1.4%16.4%3.4%2.6%4.0M-2.9M-470.9K2.9437.41N/AN/A6,60619,43543,45338,618
2017-01-19$36.94$37.0016.0%4.6%11.1%0.4%15.9%3.8%0.5%3.9M1.6M-463.2K2.0520.30N/AN/A6,64413,60843,66939,273
2017-01-20$37.03$37.0015.0%4.2%10.8%0.0%14.5%3.6%1.3%1.3M-4.7M-459.9K1.6235.35N/AN/A8,44113,63443,86239,316
2017-01-23$37.56$37.0014.9%4.4%11.5%0.0%15.6%4.5%0.0%1.8M-1.1M-460.6K2.4317.62N/AN/A4,14810,06827,47027,734
2017-01-24$37.85$37.0014.3%4.1%10.2%0.0%15.5%3.5%0.6%2.1M-8.7M-492.1K2.4438.88N/AN/A4,16510,14330,29227,827
2017-01-25$38.12$37.0014.0%4.1%10.3%0.0%14.2%4.1%0.4%2.3M-13.6M-517.0K2.4715.60N/AN/A4,12810,18230,78627,884
2017-01-26$38.01$37.0014.4%4.0%10.6%1.8%14.7%3.8%0.4%2.4M-14.1M-521.1K1.7524.25N/AN/A5,77810,13031,07127,944
2017-01-27$38.01$37.0013.6%3.9%10.6%0.0%15.0%2.3%0.7%3.0M-15.6M-522.2K2.3833.75N/AN/A4,89011,62333,19628,035
2017-01-30$37.82$37.0014.8%4.2%10.0%5.5%16.3%3.9%0.0%3.0M-8.6M-540.4K2.9123.72N/AN/A4,86814,15934,53029,493
2017-01-31$37.84$37.0014.9%4.2%9.5%5.9%16.2%2.7%0.7%2.6M-6.6M-549.9K2.9729.78N/AN/A4,79814,22934,53032,088