VWO Options History — April 2017

In April 2017, VWO traded between $39.29 and $40.46. ATM implied volatility averaged 15.6%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 6.0% (HV 20d: 9.6%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 6.58.

Notable Days

  • 2017-04-13: Highest Volume — 13,437 contracts
  • 2017-04-24: Largest IV drop — 16.7% change
  • 2017-04-19: Highest IV Rank — 42.6%
  • 2017-04-19: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.95$39.29$40.46$40.00$40.32
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV15.6%12.5%19.1%14.7%12.5%
Expected Move4.4%3.4%5.5%4.0%3.4%
HV 20d9.6%5.9%13.7%13.7%8.7%
HV 60d11.4%11.3%11.6%11.5%11.5%
IV Rank18.0%0.0%42.6%10.7%0.0%
IV Percentile18.4%0.0%55.6%8.7%0.0%
Term Structure0.1%-1.5%2.1%1.3%0.1%
VWIV15.9%11.6%19.7%13.6%11.6%
Skew 25d4.0%2.1%6.0%2.9%3.4%
Skew 10d10.2%2.8%14.4%10.2%9.6%
Call IV 25d14.3%11.1%16.3%14.9%11.4%
Put IV 25d18.3%13.8%21.8%17.8%14.7%
Bid-Ask Spread %38.2616.1592.8020.6561.63
Gamma HHI0.240.220.270.230.25
Net GEX4.5M3.8M5.2M4.0M5.2M
Net DEX-22.5M-32.6M-11.4M-24.3M-25.9M
Net VEX-526.2K-563.1K-493.8K-529.3K-513.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.582.779.474.754.61
Total Volume11,538.7378,43013,4378,53111,355
Total OI66,202.10563,89568,50564,11964,492

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$40.00$39.0014.7%4.0%13.7%10.7%13.6%2.9%1.3%4.0M-24.3M-529.3K4.7520.65N/AN/A1,4837,04836,06228,057
2017-04-04$40.13$39.0015.7%4.0%13.7%17.8%12.0%3.0%-0.5%4.2M-25.5M-511.4K2.7730.36N/AN/A2,5517,06836,16028,094
2017-04-05$40.10$39.0014.7%3.6%13.3%10.7%12.6%2.5%0.9%4.7M-32.6M-532.0K2.8363.09N/AN/A2,4927,05737,43128,100
2017-04-06$39.94$39.0015.1%4.4%12.8%13.8%16.2%3.0%0.4%4.8M-27.0M-536.0K5.3447.59N/AN/A1,3297,10137,49828,111
2017-04-07$39.97$39.0015.5%4.7%12.6%16.3%17.0%3.7%-0.6%4.5M-25.8M-541.5K5.0938.96N/AN/A1,3937,09637,44728,138
2017-04-10$39.79$39.0016.5%4.7%11.9%23.6%17.9%3.8%-0.6%4.3M-23.3M-528.3K9.4721.36N/AN/A1,26011,93237,42928,033
2017-04-11$39.79$39.0016.6%4.9%11.7%24.0%17.4%5.4%0.1%4.2M-18.6M-545.6K9.2844.35N/AN/A1,28411,91237,49330,493
2017-04-12$39.85$39.0017.2%4.6%7.8%28.6%17.8%5.9%-0.7%4.5M-18.3M-563.1K8.0526.08N/AN/A1,47911,91237,56830,518
2017-04-13$39.82$39.0017.6%4.8%7.5%31.4%19.2%6.0%-0.8%4.5M-22.2M-558.6K7.8142.00N/AN/A1,52511,91237,75430,520
2017-04-17$39.84$39.0017.4%4.9%7.5%30.3%19.7%5.7%0.5%4.8M-22.9M-527.6K7.9292.80N/AN/A1,50311,89937,67830,524
2017-04-18$39.63$39.0017.7%5.0%6.6%32.2%19.1%5.5%0.4%4.3M-17.1M-537.0K7.9621.90N/AN/A1,48611,83337,78130,520
2017-04-19$39.29$39.0019.1%5.5%5.9%42.6%18.3%5.4%-1.5%3.8M-11.4M-521.4K8.1038.91N/AN/A1,45711,80337,80730,554
2017-04-20$39.76$39.0016.9%4.8%7.4%26.7%19.4%5.3%0.5%4.5M-16.6M-525.2K7.8625.31N/AN/A1,51011,86737,77830,586
2017-04-21$39.74$39.0016.6%4.6%7.4%24.2%18.6%4.4%2.1%3.9M-15.9M-497.8K7.7939.81N/AN/A1,52511,88337,84330,662
2017-04-24$40.17$39.0013.8%3.9%8.3%4.3%13.5%2.1%0.3%4.3M-21.1M-510.3K6.1616.15N/AN/A1,5219,36936,05027,845
2017-04-25$40.46$39.0012.9%3.6%8.6%0.0%12.6%2.7%0.1%5.0M-28.7M-510.0K6.6537.75N/AN/A1,4089,36436,25527,880
2017-04-26$40.31$39.0013.2%3.9%8.7%1.5%13.3%2.8%-0.0%5.0M-26.5M-493.8K6.1222.71N/AN/A1,5259,33436,36327,891
2017-04-27$40.19$39.0013.5%3.7%8.8%3.6%12.8%2.8%-0.2%4.8M-23.2M-514.9K6.3735.60N/AN/A1,4609,30036,51927,906
2017-04-28$40.32$39.0012.5%3.4%8.7%0.0%11.6%3.4%0.1%5.2M-25.9M-513.8K4.6161.63N/AN/A2,0249,33136,55827,934