VWO Options History — July 2017

In July 2017, VWO traded between $40.51 and $43.01. ATM implied volatility averaged 12.6%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.7% (HV 20d: 11.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.50.

Notable Days

  • 2017-07-21: Highest Volume — 20,915 contracts
  • 2017-07-10: Largest IV drop — 10.1% change
  • 2017-07-07: Highest IV Rank — 20.0%
  • 2017-07-07: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.09$40.51$43.01$41.02$43.01
Max Pain$40.15$40.00$41.00$40.50$40.00
ATM IV12.6%11.5%14.6%13.8%11.9%
Expected Move3.5%3.0%4.0%3.8%3.0%
HV 20d11.9%10.3%13.2%10.6%10.3%
HV 60d11.4%10.8%11.8%10.8%11.2%
IV Rank7.1%0.0%20.0%14.8%2.6%
IV Percentile7.3%0.0%27.0%16.3%3.2%
Term Structure0.1%-1.6%0.9%0.5%0.2%
VWIV12.6%9.9%14.9%13.5%10.8%
Skew 25d2.9%1.6%3.8%3.3%3.2%
Skew 10d8.7%4.3%12.7%11.0%7.8%
Call IV 25d11.6%10.3%13.7%12.6%10.8%
Put IV 25d14.5%12.8%17.0%15.8%14.0%
Bid-Ask Spread %27.338.8375.2036.3949.09
Gamma HHI0.190.140.230.150.19
Net GEX4.9M3.3M6.3M4.4M5.1M
Net DEX-2.3M-19.2M32.0M21.0M-13.6M
Net VEX-574.8K-619.6K-525.7K-580.5K-586.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.501.042.281.461.55
Total Volume17,450.715,08120,91515,15618,160
Total OI91,598.689,65793,16290,94091,326

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$41.02$40.5013.8%3.8%10.6%14.8%13.5%3.3%0.5%4.4M21.0M-580.5K1.4636.39N/AN/A6,1698,98747,35743,583
2017-07-05$40.95$40.5013.3%3.9%10.6%11.6%13.4%3.8%-1.6%4.3M20.9M-572.8K1.4647.40N/AN/A6,1919,06747,45143,593
2017-07-06$40.51$40.0014.4%4.0%11.2%19.0%14.9%3.4%0.9%3.3M30.9M-545.5K1.5029.68N/AN/A6,0429,03947,49643,704
2017-07-07$40.60$40.0014.6%4.0%11.2%20.0%14.8%3.3%-0.2%3.4M32.0M-525.7K1.3728.48N/AN/A6,6349,06347,50143,725
2017-07-10$40.90$40.0013.1%3.7%11.3%10.4%12.9%3.3%-0.1%4.6M25.6M-532.7K1.3521.32N/AN/A6,7449,07747,26543,761
2017-07-11$41.21$40.0013.4%3.9%11.4%12.2%13.6%2.6%0.4%5.4M15.9M-547.7K1.3428.62N/AN/A6,7709,07347,33643,788
2017-07-12$41.98$40.0013.0%3.8%13.0%9.4%14.0%3.1%0.2%5.9M-4.2M-577.3K1.3325.70N/AN/A6,9059,15147,42343,784
2017-07-13$42.09$40.0011.9%3.5%12.9%2.4%13.3%3.1%0.3%6.0M-7.4M-576.6K1.3218.99N/AN/A6,9539,15647,44243,885
2017-07-14$42.56$40.0011.5%3.2%12.8%0.0%12.6%3.6%-0.5%5.5M-19.2M-566.2K1.3216.26N/AN/A6,9339,17247,54743,884
2017-07-17$42.31$40.0012.2%3.5%13.2%4.6%12.4%3.0%-0.0%6.3M-10.7M-560.0K1.518.83N/AN/A6,0739,15846,67943,923
2017-07-18$42.38$40.0012.7%3.7%13.0%7.6%12.4%2.3%-0.5%5.7M-8.2M-592.3K2.2810.21N/AN/A6,10013,91146,73246,162
2017-07-19$42.74$40.0011.8%3.4%12.4%2.1%12.3%2.6%0.5%4.6M-16.3M-575.0K2.2311.39N/AN/A6,25513,92546,78246,185
2017-07-20$42.70$40.0011.8%3.4%12.3%2.3%12.5%1.9%0.8%4.5M-17.2M-607.3K2.2217.68N/AN/A6,23713,85246,91346,205
2017-07-21$42.60$40.0012.0%3.4%12.4%3.2%11.9%2.5%0.4%4.5M-17.7M-619.6K2.0511.17N/AN/A6,86714,04846,93646,226
2017-07-24$42.78$40.0011.7%3.2%12.4%1.6%11.4%2.9%0.2%4.7M-13.7M-581.1K1.4413.45N/AN/A7,12210,23346,18343,474
2017-07-25$42.70$40.0012.3%3.3%12.1%5.4%9.9%2.6%-0.1%4.6M-13.3M-558.0K1.0434.06N/AN/A10,21410,67147,00043,488
2017-07-26$42.97$41.0012.4%3.1%11.6%5.9%10.4%1.6%-0.1%5.0M-18.4M-592.9K1.1375.20N/AN/A9,04810,20648,20943,781
2017-07-27$42.80$41.0011.8%3.4%11.8%2.3%12.2%2.8%0.5%5.2M-14.7M-603.6K1.0427.10N/AN/A8,7399,11848,69943,821
2017-07-28$42.94$40.0012.2%3.3%10.6%4.3%12.1%3.5%-0.4%5.2M-18.4M-594.7K1.0435.64N/AN/A8,7829,16948,80943,914
2017-07-31$43.01$40.0011.9%3.0%10.3%2.6%10.8%3.2%0.2%5.1M-13.6M-586.2K1.5549.09N/AN/A7,12111,03947,42043,906