VWO Options History — May 2017

In May 2017, VWO traded between $39.99 and $41.35. ATM implied volatility averaged 13.8%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.5% (HV 20d: 11.3%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 4.09.

Notable Days

  • 2017-05-18: Highest Volume — 18,679 contracts
  • 2017-05-17: Largest IV spike — 14.5% change
  • 2017-05-18: Highest IV Rank — 29.6%
  • 2017-05-18: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.67$39.99$41.35$40.51$40.72
Max Pain$37.27$37.00$39.00$39.00$37.00
ATM IV13.8%12.6%16.8%12.7%14.1%
Expected Move3.9%3.5%4.8%3.5%3.9%
HV 20d11.3%8.3%13.9%8.4%13.4%
HV 60d12.1%11.5%13.0%11.6%11.9%
IV Rank9.2%0.7%29.6%1.8%11.0%
IV Percentile7.6%0.4%33.7%0.4%11.5%
Term Structure0.2%-1.4%1.3%0.2%0.2%
VWIV14.7%11.4%17.1%11.9%14.8%
Skew 25d3.2%2.0%4.3%2.5%2.6%
Skew 10d8.2%3.0%12.4%8.5%5.1%
Call IV 25d12.6%11.8%14.8%12.6%12.8%
Put IV 25d15.8%13.9%19.0%15.1%15.5%
Bid-Ask Spread %28.0815.3157.3757.3737.17
Gamma HHI0.230.170.290.260.18
Net GEX5.0M3.6M6.4M5.7M4.0M
Net DEX-26.9M-45.5M-14.5M-29.6M-22.1M
Net VEX-507.5K-554.5K-474.5K-482.8K-521.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.090.648.585.551.54
Total Volume11,9748,64718,67910,9809,900
Total OI67,253.63664,50271,61964,50268,429

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$40.51$39.0012.7%3.5%8.4%1.8%11.9%2.5%0.2%5.7M-29.6M-482.8K5.5557.37N/AN/A1,6769,30436,61127,891
2017-05-02$40.66$39.0012.6%3.5%8.3%0.7%11.7%2.0%0.5%5.8M-30.1M-479.6K6.1824.99N/AN/A1,5139,34436,65527,884
2017-05-03$40.46$39.0013.5%3.6%8.5%6.7%12.3%4.0%0.4%5.6M-27.5M-474.5K5.9952.68N/AN/A1,5629,36136,68127,928
2017-05-04$39.99$37.0014.4%4.3%9.5%13.5%17.0%3.1%-0.2%4.7M-18.1M-489.9K5.9524.96N/AN/A1,5769,37336,72527,966
2017-05-05$40.18$37.0013.9%4.1%9.5%10.0%15.2%2.9%0.5%5.2M-19.5M-486.7K3.9626.99N/AN/A1,8387,28636,78927,988
2017-05-08$39.99$37.0013.6%4.2%9.7%7.6%15.7%2.7%1.0%5.1M-18.2M-485.7K7.5121.86N/AN/A1,64812,37037,01128,348
2017-05-09$40.36$37.0013.2%4.1%10.1%5.0%15.7%2.6%1.3%5.2M-22.1M-525.2K6.8324.95N/AN/A1,79512,26236,96730,875
2017-05-10$40.74$37.0013.3%3.7%10.5%5.7%15.5%2.8%-0.1%5.9M-29.4M-505.6K8.1917.47N/AN/A1,50712,34337,17530,902
2017-05-11$40.69$37.0013.2%3.7%10.6%5.0%15.7%3.0%-0.4%6.0M-29.6M-505.1K7.6723.91N/AN/A1,47611,31837,24830,976
2017-05-12$40.94$37.0012.9%3.8%10.7%2.8%16.0%3.0%0.9%6.3M-34.6M-507.9K8.0715.31N/AN/A1,40911,36837,27031,008
2017-05-15$41.27$37.0013.2%3.9%10.9%4.9%15.7%3.9%-0.1%6.2M-42.7M-502.7K8.5817.18N/AN/A1,30811,22537,23231,067
2017-05-16$41.35$37.0013.4%3.9%10.6%6.6%13.5%2.8%0.7%6.4M-45.5M-503.2K2.0222.37N/AN/A5,54611,21837,37031,120
2017-05-17$40.77$37.0015.4%4.4%11.5%19.9%17.1%4.3%-0.0%5.7M-31.2M-554.5K1.7124.72N/AN/A5,7969,91938,48331,130
2017-05-18$40.04$37.0016.8%4.8%12.9%29.6%17.0%4.2%-1.4%4.0M-14.5M-504.4K1.4222.99N/AN/A7,72310,95638,62231,243
2017-05-19$40.66$37.0014.6%4.1%13.9%14.4%15.9%3.7%0.4%3.9M-25.4M-526.6K0.6424.99N/AN/A7,6204,90339,06932,550
2017-05-22$40.72$37.0014.5%4.1%13.4%14.1%15.7%4.0%-0.1%3.9M-22.7M-508.4K1.3628.79N/AN/A3,6885,00435,03329,681
2017-05-23$40.65$37.0014.3%4.0%13.2%12.5%13.8%3.3%0.7%3.6M-20.1M-523.9K1.3329.84N/AN/A3,7604,98935,10731,679
2017-05-24$40.81$37.0013.3%3.7%13.2%5.7%13.9%2.8%0.4%3.9M-23.9M-514.2K1.3435.38N/AN/A3,7004,94735,19631,723
2017-05-25$41.03$37.0013.8%3.7%13.2%8.8%13.1%2.9%-0.3%4.1M-28.2M-521.7K1.3122.23N/AN/A4,5425,94935,25431,772
2017-05-26$41.06$37.0013.2%3.5%13.2%4.8%11.4%3.1%-0.0%4.2M-29.4M-522.8K1.3233.98N/AN/A4,4935,93835,80632,771
2017-05-30$41.04$37.0013.9%3.7%13.1%10.0%13.9%3.4%-0.3%4.2M-28.2M-518.2K1.4727.61N/AN/A4,0445,93135,75032,595
2017-05-31$40.72$37.0014.1%3.9%13.4%11.0%14.8%2.6%0.2%4.0M-22.1M-521.6K1.5437.17N/AN/A3,9015,99935,77232,657