VWO Options History — September 2017

In September 2017, VWO traded between $43.14 and $45.07. ATM implied volatility averaged 12.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.8% (HV 20d: 10.9%). Max pain ranged from $40.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 3.22.

Notable Days

  • 2017-09-15: Highest Volume — 29,335 contracts
  • 2017-09-25: Largest IV spike — 11.3% change
  • 2017-09-25: Highest IV Rank — 20.9%
  • 2017-09-05: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.36$43.14$45.07$44.65$43.63
Max Pain$44.70$40.00$48.00$40.00$46.00
ATM IV12.7%10.8%14.3%12.8%13.1%
Expected Move3.6%3.0%4.3%3.0%3.6%
HV 20d10.9%8.5%12.9%12.5%12.5%
HV 60d11.3%11.0%11.7%11.2%11.5%
IV Rank10.2%0.0%20.9%8.9%14.5%
IV Percentile16.5%0.0%38.9%13.9%21.4%
Term Structure0.3%-1.1%1.3%0.2%0.2%
VWIV14.0%11.5%16.9%12.3%12.6%
Skew 25d4.0%2.5%5.1%4.5%2.5%
Skew 10d9.7%5.2%12.7%12.7%9.7%
Call IV 25d11.3%9.0%13.3%10.6%11.7%
Put IV 25d15.3%13.3%17.9%15.1%14.3%
Bid-Ask Spread %25.9015.6053.7415.6020.48
Gamma HHI0.180.120.260.260.13
Net GEX2.7M603.8K4.4M2.9M2.2M
Net DEX-3.1M-37.4M40.0M-28.5M25.6M
Net VEX-745.4K-774.3K-697.0K-697.0K-748.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.939.413.761.71
Total Volume21,113.058,27529,33520,7998,275
Total OI104,294.899,465112,39999,994107,151

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$44.65$40.0012.8%3.0%12.5%8.9%12.3%4.5%0.2%2.9M-28.5M-697.0K3.7615.60N/AN/A4,36716,43250,43249,562
2017-09-05$44.30$44.0014.3%4.3%12.8%18.2%16.9%4.6%0.2%2.8M-19.6M-710.4K4.4425.48N/AN/A4,80421,33050,27849,187
2017-09-06$44.59$44.0013.7%3.8%12.9%14.5%16.0%3.7%-0.3%2.7M-21.3M-734.1K6.9120.37N/AN/A3,12021,55150,78553,471
2017-09-07$44.81$44.0012.7%3.8%12.7%8.1%16.3%3.6%-0.2%2.7M-27.0M-739.6K9.4123.38N/AN/A2,31721,80551,15554,016
2017-09-08$44.51$44.0013.4%3.8%9.7%12.5%16.4%5.1%0.6%2.8M-19.7M-752.6K5.4030.55N/AN/A4,05121,89251,49054,403
2017-09-11$45.02$44.0012.5%3.7%10.2%6.8%14.9%4.2%-0.0%3.1M-37.4M-770.8K5.8128.48N/AN/A3,67221,31953,44554,458
2017-09-12$44.97$44.0012.1%3.5%10.1%4.2%15.7%3.7%-0.2%3.1M-35.2M-772.7K3.4330.32N/AN/A6,25321,45953,56754,465
2017-09-13$44.67$44.0011.8%3.2%10.6%2.1%12.5%3.4%-1.1%3.6M-27.5M-734.9K3.3131.03N/AN/A6,52721,59053,49154,634
2017-09-14$44.75$44.0011.3%3.1%10.0%0.0%12.4%3.8%-0.4%3.9M-28.3M-758.8K3.2425.57N/AN/A6,73821,84356,04655,332
2017-09-15$45.04$44.0010.8%3.1%8.8%0.0%11.5%4.8%0.2%3.9M-34.0M-770.3K3.0434.05N/AN/A7,26122,07456,48455,915
2017-09-18$45.07$44.0011.1%3.2%8.5%2.0%13.5%4.4%0.3%3.6M-452.8K-771.6K0.9339.27N/AN/A12,56411,67449,02450,497
2017-09-19$45.04$44.0011.5%3.3%8.6%4.6%15.5%4.7%0.9%4.4M1.7M-766.0K1.2527.24N/AN/A9,56911,98853,44150,697
2017-09-20$44.40$48.0012.7%3.6%10.0%11.9%14.0%3.3%0.6%2.6M18.4M-770.9K1.3053.74N/AN/A9,39012,18249,57251,136
2017-09-21$44.45$46.0011.8%3.4%9.9%6.8%13.3%3.2%0.6%3.0M15.8M-754.4K1.4018.20N/AN/A8,97812,53649,66950,743
2017-09-22$44.21$46.0012.7%3.6%10.2%12.0%12.8%3.5%1.0%3.0M17.6M-774.3K1.9622.91N/AN/A6,19112,13151,19851,036
2017-09-25$43.38$46.0014.1%3.9%11.8%20.9%13.9%5.1%0.3%1.4M33.8M-725.4K1.8317.05N/AN/A5,97410,94051,22150,093
2017-09-26$43.40$46.0013.7%3.8%11.8%18.6%14.0%4.4%0.3%1.5M30.0M-717.3K2.3420.24N/AN/A3,0267,07551,17349,618
2017-09-27$43.14$46.0014.1%4.0%11.9%20.6%12.6%4.2%0.7%974.2K34.4M-715.6K1.8318.24N/AN/A3,3816,17751,41349,919
2017-09-28$43.17$46.0013.5%3.8%11.9%16.8%12.3%3.6%1.3%603.8K40.0M-722.0K1.1115.80N/AN/A4,6385,16751,78753,892
2017-09-29$43.63$46.0013.1%3.6%12.5%14.5%12.6%2.5%0.2%2.2M25.6M-748.7K1.7120.48N/AN/A3,0595,21653,23053,921