VWO Options History — June 2017

In June 2017, VWO traded between $40.44 and $41.24. ATM implied volatility averaged 12.8%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.2% (HV 20d: 10.6%). Max pain ranged from $37.00 to $40.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.29.

Notable Days

  • 2017-06-09: Highest Volume — 22,245 contracts
  • 2017-06-29: Largest IV spike — 16.2% change
  • 2017-06-29: Highest IV Rank — 21.6%
  • 2017-06-29: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.89$40.44$41.24$41.00$40.92
Max Pain$39.89$37.00$40.50$37.00$40.50
ATM IV12.8%11.5%14.8%13.7%13.6%
Expected Move3.6%3.3%4.1%3.8%3.6%
HV 20d10.6%7.5%13.5%13.5%10.5%
HV 60d10.6%9.8%11.9%11.9%10.9%
IV Rank5.0%0.0%21.6%8.6%13.5%
IV Percentile4.3%0.0%30.2%7.5%14.3%
Term Structure0.3%-0.5%1.1%-0.4%0.4%
VWIV13.7%10.8%15.8%13.1%13.2%
Skew 25d3.2%1.8%5.3%3.3%3.5%
Skew 10d8.5%3.0%12.8%12.2%8.0%
Call IV 25d11.8%10.6%12.7%12.6%12.0%
Put IV 25d14.9%12.4%17.9%15.9%15.5%
Bid-Ask Spread %38.9618.9795.9747.8636.81
Gamma HHI0.170.100.230.190.14
Net GEX4.0M1.3M5.3M4.3M4.2M
Net DEX2.0M-31.7M33.5M-27.0M24.9M
Net VEX-536.4K-589.0K-502.1K-528.0K-578.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.531.841.491.46
Total Volume17,549.45511,26722,24512,09015,616
Total OI81,182.13668,60190,92768,60190,927

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$41.00$37.0013.7%3.8%13.5%8.6%13.1%3.3%-0.4%4.3M-27.0M-528.0K1.4947.86N/AN/A4,8577,23335,78632,815
2017-06-02$41.14$37.0013.2%3.8%12.7%5.1%12.7%2.8%-0.4%4.5M-31.3M-541.3K1.7637.12N/AN/A4,0967,21936,79334,061
2017-06-05$41.15$40.0012.9%3.8%12.6%2.8%15.2%3.0%0.2%4.5M-30.2M-534.7K1.7725.90N/AN/A4,0667,20136,77434,089
2017-06-06$41.19$40.0013.0%3.8%12.5%3.5%15.8%3.2%0.4%4.6M-31.4M-529.3K1.8240.20N/AN/A4,0027,28536,81434,095
2017-06-07$41.15$40.0013.0%3.8%12.1%3.3%15.2%3.6%-0.2%5.0M-31.7M-502.1K1.3736.29N/AN/A8,99812,34736,83234,177
2017-06-08$41.24$40.0013.1%3.7%11.7%4.5%14.0%3.9%0.3%4.9M-14.4M-528.8K1.8452.62N/AN/A6,75712,43241,83139,262
2017-06-09$40.93$40.0013.1%3.7%12.1%4.2%14.8%2.9%0.7%5.0M-7.7M-508.6K1.5444.57N/AN/A8,76613,47941,84539,349
2017-06-12$40.73$40.0013.6%3.7%12.0%7.4%15.2%3.5%-0.5%4.8M-2.1M-543.8K1.0637.51N/AN/A9,77210,34142,04740,615
2017-06-13$40.99$40.0012.6%3.8%11.9%0.8%15.0%3.4%0.9%5.1M-7.1M-504.4K1.4740.90N/AN/A7,04910,38742,09140,662
2017-06-14$40.94$40.0012.7%3.6%11.8%1.2%14.6%4.8%0.9%5.3M-8.2M-517.9K1.4695.97N/AN/A7,14010,42642,11840,810
2017-06-15$40.60$40.0012.6%3.5%11.1%1.2%13.7%3.8%-0.3%4.1M4.5M-506.7K1.3639.04N/AN/A8,73911,84542,25240,801
2017-06-16$40.74$40.0012.4%3.5%8.9%0.0%14.4%3.1%0.1%3.8M1.4M-511.2K1.4749.54N/AN/A8,20312,02443,82342,339
2017-06-19$41.02$40.0011.5%3.3%7.5%0.0%14.1%3.2%0.6%1.3M17.9M-516.8K0.8343.23N/AN/A10,2808,54534,39038,676
2017-06-20$40.59$40.0011.9%3.4%8.4%2.0%11.3%2.3%0.7%1.6M18.6M-519.7K0.7151.21N/AN/A12,1348,55937,11438,755
2017-06-21$40.44$40.0012.4%3.5%8.5%5.4%14.3%1.9%1.1%2.3M16.1M-536.0K0.7721.83N/AN/A9,0807,03138,83638,861
2017-06-22$40.59$40.5012.0%3.4%8.5%3.3%12.5%2.2%0.9%2.8M29.2M-543.9K0.6524.20N/AN/A11,2457,32443,22243,247
2017-06-23$40.73$40.5011.7%3.3%8.4%1.2%10.8%1.8%0.7%3.7M26.4M-543.4K0.5330.13N/AN/A10,7735,75345,42443,557
2017-06-26$41.15$40.5012.3%3.3%9.2%4.8%11.6%2.8%0.1%4.9M16.1M-580.5K1.1818.97N/AN/A10,02011,79646,83443,550
2017-06-27$40.82$40.5012.7%3.5%9.6%7.5%12.5%2.7%0.1%3.8M26.2M-576.4K1.3727.11N/AN/A8,55211,73247,01743,087
2017-06-28$41.02$40.5012.8%3.4%9.3%8.0%11.8%2.5%0.4%4.3M20.2M-589.0K1.0424.67N/AN/A8,5758,90447,02043,107
2017-06-29$40.53$40.5014.8%4.1%10.0%21.6%15.4%5.3%-0.2%2.9M33.5M-559.3K1.4731.43N/AN/A6,2799,22647,13543,167
2017-06-30$40.92$40.5013.6%3.6%10.5%13.5%13.2%3.5%0.4%4.2M24.9M-578.6K1.4636.81N/AN/A6,3579,25947,37743,550