VWO Options History — February 2017

In February 2017, VWO traded between $38.00 and $39.61. ATM implied volatility averaged 14.6%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 6.2% (HV 20d: 8.4%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 5.39.

Notable Days

  • 2017-02-02: Highest Volume — 19,539 contracts
  • 2017-02-03: Largest IV drop — 8.3% change
  • 2017-02-28: Highest IV Rank — 17.3%
  • 2017-02-24: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.85$38.00$39.61$38.00$38.74
Max Pain$37.00$37.00$37.00$37.00$37.00
ATM IV14.6%13.9%16.0%15.4%16.0%
Expected Move4.3%3.9%4.7%4.1%4.6%
HV 20d8.4%7.7%9.2%9.1%9.2%
HV 60d13.4%11.9%17.6%17.6%12.3%
IV Rank5.6%1.6%17.3%8.3%17.3%
IV Percentile3.3%0.4%10.7%3.2%10.7%
Term Structure0.2%-1.0%2.1%0.6%-0.2%
VWIV14.9%12.8%16.0%15.6%14.8%
Skew 25d2.7%1.2%4.6%3.2%4.6%
Skew 10d7.0%-0.7%17.2%8.6%15.2%
Call IV 25d13.8%12.1%15.5%14.1%12.8%
Put IV 25d16.5%15.2%17.5%17.3%17.4%
Bid-Ask Spread %35.9913.4870.5657.9254.32
Gamma HHI0.160.130.190.130.17
Net GEX3.4M2.7M3.7M2.7M3.7M
Net DEX-23.9M-36.0M-9.2M-9.2M-25.2M
Net VEX-553.4K-577.5K-536.9K-543.9K-558.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.392.669.792.887.93
Total Volume15,314.2118,87419,53919,12914,518
Total OI66,856.31664,62168,99666,72065,070

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$38.00$37.0015.4%4.1%9.1%8.3%15.6%3.2%0.6%2.7M-9.2M-543.9K2.8857.92N/AN/A4,92414,20534,54132,179
2017-02-02$38.08$37.0015.3%4.6%8.7%7.5%14.9%2.2%0.5%2.8M-10.7M-556.0K2.6630.68N/AN/A5,34414,19534,58532,210
2017-02-03$38.28$37.0014.0%4.5%8.0%1.6%15.8%2.2%0.5%3.0M-14.0M-564.7K2.9235.84N/AN/A4,88014,27334,76132,283
2017-02-06$38.22$37.0014.7%4.6%7.8%4.8%16.0%3.4%1.8%3.1M-13.7M-536.9K2.9722.60N/AN/A4,80214,28534,72332,339
2017-02-07$38.04$37.0014.7%4.4%8.0%5.1%15.5%2.4%0.6%3.2M-11.7M-540.0K2.7530.43N/AN/A5,17014,22934,67832,439
2017-02-08$38.37$37.0014.2%4.6%8.2%2.5%15.0%2.9%2.1%3.4M-13.7M-547.5K2.8817.42N/AN/A4,93614,22935,09432,452
2017-02-09$38.58$37.0014.3%4.1%8.1%3.3%14.7%1.2%-0.5%3.6M-20.3M-544.2K5.2832.50N/AN/A2,69514,23435,28332,452
2017-02-10$38.89$37.0014.3%4.3%8.4%2.9%15.3%2.3%1.2%3.3M-23.7M-543.9K4.8323.61N/AN/A2,94514,22535,43932,457
2017-02-13$39.12$37.0014.9%4.3%8.4%6.7%15.2%2.9%-0.5%3.3M-28.2M-540.0K4.2626.41N/AN/A2,74311,69235,60032,411
2017-02-14$39.10$37.0014.5%4.2%8.3%4.9%14.8%3.5%0.2%3.5M-28.8M-546.0K8.3126.29N/AN/A1,41111,73135,72532,437
2017-02-15$39.41$37.0014.7%4.2%8.2%6.8%14.6%1.5%-0.1%3.3M-32.2M-554.6K6.9137.82N/AN/A1,69811,73335,77632,515
2017-02-16$39.28$37.0014.3%4.1%8.3%4.6%14.9%2.1%-0.2%3.5M-35.3M-556.7K9.7916.73N/AN/A1,19711,72436,32232,517
2017-02-17$39.10$37.0013.9%3.9%8.7%1.7%14.1%2.3%0.2%3.5M-29.5M-557.6K8.2713.48N/AN/A1,40911,65336,37432,622
2017-02-21$39.51$37.0014.0%4.1%8.1%2.6%12.8%3.2%-0.5%3.6M-31.0M-553.5K6.9537.82N/AN/A1,47310,23835,47129,150
2017-02-22$39.57$37.0014.0%4.4%7.9%2.8%13.6%3.0%0.0%3.6M-34.3M-577.5K6.1070.56N/AN/A1,68110,25835,77729,203
2017-02-23$39.61$37.0014.6%4.2%7.7%7.1%15.4%2.4%-1.0%3.4M-36.0M-572.4K4.0047.22N/AN/A2,56610,25336,01729,270
2017-02-24$39.18$37.0014.5%4.7%8.8%6.7%15.2%3.2%-0.8%3.5M-28.4M-564.7K8.1848.80N/AN/A1,58412,96335,93229,273
2017-02-27$39.01$37.0015.0%4.5%9.0%10.0%14.9%2.7%-0.3%3.6M-27.6M-556.9K4.5853.36N/AN/A1,5897,28535,77729,116
2017-02-28$38.74$37.0016.0%4.6%9.2%17.3%14.8%4.6%-0.2%3.7M-25.2M-558.6K7.9354.32N/AN/A1,62512,89335,90529,165