VWO Options History — October 2017

In October 2017, VWO traded between $43.57 and $45.17. ATM implied volatility averaged 12.8%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.4% (HV 20d: 11.4%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2017-10-09: Highest Volume — 18,360 contracts
  • 2017-10-23: Largest IV spike — 9.8% change
  • 2017-10-26: Highest IV Rank — 20.5%
  • 2017-10-26: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.55$43.57$45.17$43.57$44.60
Max Pain$44.27$44.00$46.00$46.00$44.00
ATM IV12.8%11.5%14.1%13.0%13.2%
Expected Move3.7%3.3%4.2%3.8%3.8%
HV 20d11.4%8.8%13.0%12.1%8.8%
HV 60d11.2%11.0%11.8%11.5%11.5%
IV Rank12.5%4.7%20.5%14.1%14.9%
IV Percentile20.3%2.0%46.4%21.4%30.2%
Term Structure0.2%-0.4%1.0%0.9%1.0%
VWIV13.2%7.9%15.5%13.0%13.7%
Skew 25d3.2%2.5%4.1%4.1%4.0%
Skew 10d8.7%4.6%12.1%11.3%6.8%
Call IV 25d11.6%10.8%12.4%11.8%11.8%
Put IV 25d14.8%13.3%16.1%15.9%15.8%
Bid-Ask Spread %20.5011.6438.7415.5311.71
Gamma HHI0.180.130.200.130.20
Net GEX6.1M2.3M7.3M2.3M7.3M
Net DEX-6.1M-26.9M23.6M23.6M-5.8M
Net VEX-767.4K-813.5K-725.8K-742.5K-725.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.542.560.541.18
Total Volume10,666.8646,47718,36014,3536,606
Total OI114,576.409107,137118,800107,137115,553

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$43.57$46.0013.0%3.8%12.1%14.1%13.0%4.1%0.9%2.3M23.6M-742.5K0.5415.53N/AN/A9,3135,04053,33253,805
2017-10-03$44.17$46.0013.5%3.7%13.0%17.1%13.8%3.5%0.3%4.8M5.7M-776.4K0.5711.64N/AN/A9,4695,37856,85453,831
2017-10-04$44.25$46.0012.8%3.7%12.7%13.0%14.3%3.0%0.2%5.0M-917.7K-795.9K0.8517.98N/AN/A6,1045,20057,15154,060
2017-10-05$44.51$44.0012.7%3.5%12.8%11.9%7.9%2.6%-0.3%6.2M-8.0M-772.4K0.8818.33N/AN/A6,1995,43557,25053,841
2017-10-06$44.34$44.0012.7%3.9%12.6%12.0%8.8%3.7%0.2%5.5M-4.2M-782.3K0.8224.08N/AN/A6,1595,04557,60454,136
2017-10-09$44.22$44.0013.5%3.8%11.9%17.1%15.5%3.0%0.0%5.1M4.2M-755.3K2.0214.77N/AN/A6,07512,28557,31354,323
2017-10-10$44.63$44.0012.9%3.6%12.4%13.5%14.5%3.3%-0.3%5.4M-4.8M-789.4K1.4915.72N/AN/A6,2069,22357,26758,162
2017-10-11$44.78$44.0012.5%3.5%12.3%11.1%13.8%3.3%-0.2%6.1M-9.9M-785.5K1.7923.65N/AN/A6,20411,07857,46158,265
2017-10-12$44.76$44.0011.8%3.5%12.3%6.8%13.4%3.2%0.5%6.3M-11.6M-797.3K1.8025.11N/AN/A6,16411,07857,66560,143
2017-10-13$45.16$44.0011.5%3.4%12.4%4.8%13.9%2.5%0.7%7.0M-26.9M-813.5K1.7625.50N/AN/A6,22510,97257,67860,143
2017-10-16$45.17$44.0012.5%3.6%12.4%10.7%12.6%3.5%-0.4%7.1M-25.2M-785.0K2.5624.73N/AN/A2,5836,60357,56260,152
2017-10-17$44.94$44.0012.3%3.5%12.6%9.8%13.3%2.6%-0.3%7.0M-18.2M-794.4K1.9628.96N/AN/A2,5715,04257,63060,120
2017-10-18$44.93$44.0012.5%3.6%11.4%11.0%13.6%2.7%-0.4%7.0M-19.0M-762.2K1.9426.14N/AN/A2,5765,00457,64360,195
2017-10-19$44.64$44.0012.0%3.4%11.7%7.7%13.4%2.9%0.9%6.3M-5.1M-755.1K1.5219.50N/AN/A2,9614,49457,67760,206
2017-10-20$44.78$44.0011.5%3.3%11.5%4.7%13.1%3.1%-0.0%6.8M-11.5M-767.3K1.3912.87N/AN/A2,8934,02358,05360,747
2017-10-23$44.43$44.0012.6%3.7%9.5%11.8%13.5%3.2%0.8%6.0M-2.8M-753.2K1.2014.72N/AN/A2,9493,52857,36655,346
2017-10-24$44.51$44.0013.0%3.7%9.5%13.9%12.7%3.3%0.3%6.3M-5.3M-756.3K1.2417.36N/AN/A2,9433,65057,70055,562
2017-10-25$44.43$44.0013.5%4.0%9.2%17.0%13.6%2.9%-0.1%6.2M-769.7K-746.1K1.1938.74N/AN/A3,1463,74457,88155,653
2017-10-26$44.24$44.0014.1%4.2%9.4%20.5%13.4%3.8%-0.1%5.9M3.0M-745.0K1.1819.76N/AN/A3,1543,73158,54556,395
2017-10-27$44.71$44.0012.9%3.8%9.4%13.2%13.8%2.8%0.4%7.2M-11.5M-744.5K1.2529.47N/AN/A3,0843,85458,65956,406
2017-10-30$44.38$44.0013.6%4.0%9.9%17.8%14.7%3.6%0.5%6.4M105.0K-737.0K1.2014.75N/AN/A3,0323,64858,76856,578
2017-10-31$44.60$44.0013.2%3.8%8.8%14.9%13.7%4.0%1.0%7.3M-5.8M-725.8K1.1811.71N/AN/A3,0303,57658,81956,734