VWO Options History — November 2017

In November 2017, VWO traded between $43.86 and $45.78. ATM implied volatility averaged 13.1%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.8% (HV 20d: 10.3%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.53.

Notable Days

  • 2017-11-17: Highest Volume — 24,127 contracts
  • 2017-11-14: Largest IV spike — 11.0% change
  • 2017-11-30: Highest IV Rank — 39.3%
  • 2017-11-30: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.86$43.86$45.78$44.72$44.41
Max Pain$42.10$42.00$44.00$44.00$42.00
ATM IV13.1%12.1%14.6%13.0%14.3%
Expected Move3.8%3.3%4.4%3.7%4.4%
HV 20d10.3%8.7%12.9%8.8%12.9%
HV 60d10.8%10.1%11.5%11.5%11.5%
IV Rank19.7%8.4%39.3%13.8%39.3%
IV Percentile32.6%10.7%61.5%26.2%60.3%
Term Structure0.2%-0.5%0.9%0.4%0.0%
VWIV13.7%11.9%15.7%15.0%14.7%
Skew 25d3.4%2.3%4.7%3.3%3.3%
Skew 10d8.6%4.4%11.4%4.7%6.3%
Call IV 25d11.8%10.4%13.4%11.4%13.4%
Put IV 25d15.2%13.9%17.2%14.8%16.8%
Bid-Ask Spread %22.5312.0850.8850.8820.27
Gamma HHI0.190.120.260.210.12
Net GEX7.7M4.9M10.1M8.3M5.1M
Net DEX-7.1M-29.6M28.0M-11.2M10.7M
Net VEX-767.5K-821.6K-701.2K-725.1K-764.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.955.471.390.95
Total Volume12,591.9526,40924,1276,6176,409
Total OI118,863.667114,487127,245115,609116,309

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$44.72$44.0013.0%3.7%8.8%13.8%15.0%3.3%0.4%8.3M-11.2M-725.1K1.3950.88N/AN/A2,7683,84958,87456,735
2017-11-02$44.86$42.0012.1%3.7%8.7%8.5%15.4%3.8%0.4%8.9M-15.9M-721.3K1.4423.19N/AN/A2,6533,81459,22057,165
2017-11-03$44.57$42.0012.9%3.7%8.9%13.3%15.7%2.5%0.1%8.5M-8.5M-701.2K1.4628.87N/AN/A2,6373,83759,32457,175
2017-11-06$45.01$42.0012.4%3.8%9.4%10.0%15.7%3.7%0.9%9.4M-21.2M-720.1K5.4733.90N/AN/A2,67414,63259,24057,229
2017-11-07$44.74$42.0013.6%3.9%9.2%17.6%13.8%3.8%-0.3%8.9M-6.6M-782.8K4.3219.88N/AN/A2,95412,76459,49061,800
2017-11-08$44.91$42.0012.1%3.7%9.2%8.4%14.3%3.2%0.8%10.1M-13.8M-774.7K4.4918.36N/AN/A2,86812,86560,02561,829
2017-11-09$44.78$42.0012.8%3.8%9.3%13.0%13.1%4.7%0.6%9.5M-4.4M-771.9K4.6023.40N/AN/A2,82312,98060,18761,976
2017-11-10$44.62$42.0012.8%3.6%8.7%12.6%13.3%3.6%-0.5%9.5M-781.0K-756.2K4.6326.17N/AN/A2,87413,30760,33162,113
2017-11-13$44.52$42.0012.7%3.7%8.7%12.4%12.2%3.4%0.7%9.5M4.1M-754.8K4.5212.08N/AN/A3,23314,61560,13062,253
2017-11-14$44.21$42.0014.1%4.1%8.9%21.1%15.4%3.9%0.1%7.7M16.1M-750.3K2.4127.73N/AN/A5,76413,91760,71163,288
2017-11-15$43.86$42.0014.6%4.2%9.2%30.2%15.0%3.8%0.5%4.9M28.0M-732.2K2.4016.13N/AN/A5,72013,74560,40163,393
2017-11-16$44.61$42.0013.5%3.8%11.0%21.6%11.9%3.9%0.8%9.6M1.5M-751.0K1.6812.80N/AN/A8,22913,80260,44863,342
2017-11-17$44.88$42.0012.7%3.6%11.2%15.2%12.3%3.0%0.3%5.0M-3.9M-801.8K1.3219.47N/AN/A10,39713,73063,75463,491
2017-11-20$45.07$42.0013.0%3.4%10.9%20.4%13.6%3.3%0.2%6.6M-10.2M-815.0K3.4013.94N/AN/A2,7109,21256,46758,020
2017-11-21$45.66$42.0013.2%3.7%11.7%21.5%13.0%3.0%-0.4%6.8M-27.0M-821.6K1.4921.45N/AN/A2,8384,23756,54358,096
2017-11-22$45.78$42.0012.7%3.3%11.7%20.9%12.0%3.3%-0.2%7.0M-29.6M-811.0K1.4237.21N/AN/A3,0104,26756,74958,173
2017-11-24$45.60$42.0012.8%3.5%11.6%22.5%11.9%2.3%-0.3%7.0M-24.9M-801.9K1.4115.53N/AN/A2,9574,18056,97358,427
2017-11-27$45.13$42.0013.7%3.7%11.9%31.7%12.9%3.0%-0.1%6.6M-10.2M-778.6K1.7812.76N/AN/A2,6614,73056,59358,307
2017-11-28$45.39$42.0013.3%3.6%11.6%27.4%12.5%3.3%0.1%7.0M-18.6M-789.6K1.2624.73N/AN/A2,9473,70156,70758,920
2017-11-29$44.78$42.0013.8%4.1%12.6%33.4%14.4%3.8%0.1%6.1M-2.6M-792.6K1.2214.38N/AN/A3,2043,91757,00458,925
2017-11-30$44.41$42.0014.3%4.4%12.9%39.3%14.7%3.3%0.0%5.1M10.7M-764.7K0.9520.27N/AN/A3,2813,12857,14559,164