VWO Options History — December 2017

In December 2017, VWO traded between $43.60 and $45.89. ATM implied volatility averaged 12.6%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.1% (HV 20d: 12.7%). Max pain ranged from $42.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.85.

Notable Days

  • 2017-12-15: Highest Volume — 20,607 contracts
  • 2017-12-28: Largest IV spike — 8.9% change
  • 2017-12-01: Highest IV Rank — 50.9%
  • 2017-12-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.66$43.60$45.89$44.10$45.89
Max Pain$45.90$42.00$50.00$42.00$44.00
ATM IV12.6%10.9%15.4%15.4%12.4%
Expected Move3.7%3.1%4.7%4.7%3.5%
HV 20d12.7%10.1%14.2%13.1%10.1%
HV 60d11.3%10.6%11.9%11.5%10.7%
IV Rank20.3%1.8%50.9%50.9%17.9%
IV Percentile24.9%0.4%76.2%76.2%19.4%
Term Structure0.4%-0.4%1.1%0.3%0.2%
VWIV12.9%10.7%16.5%16.5%12.3%
Skew 25d3.0%2.0%4.5%3.6%2.7%
Skew 10d7.9%4.2%10.7%8.7%9.1%
Call IV 25d11.5%9.9%14.0%13.8%11.1%
Put IV 25d14.5%12.0%17.3%17.3%13.8%
Bid-Ask Spread %22.069.2638.8537.7214.59
Gamma HHI0.140.120.160.120.15
Net GEX5.2M2.9M7.1M4.2M6.5M
Net DEX31.5K-67.9M36.9M19.5M-67.9M
Net VEX-779.5K-807.7K-735.2K-770.9K-804.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.674.970.671.52
Total Volume11,661.957,85220,6079,0679,516
Total OI118,429.95110,920125,634116,703112,675

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$44.10$42.0015.4%4.7%13.1%50.9%16.5%3.6%0.3%4.2M19.5M-770.9K0.6737.72N/AN/A5,4183,64957,41059,293
2017-12-04$44.23$50.0015.0%4.4%13.0%47.0%15.0%2.9%-0.4%5.2M15.3M-767.8K1.8024.31N/AN/A3,1795,71658,42859,815
2017-12-05$44.17$50.0014.5%4.3%12.4%41.6%15.8%3.9%0.3%4.9M19.9M-779.5K1.1023.50N/AN/A5,0845,60058,67761,922
2017-12-06$43.60$50.0014.7%4.1%13.0%43.7%13.8%4.5%0.3%2.9M35.5M-747.8K0.9338.85N/AN/A7,4576,96156,88162,029
2017-12-07$43.66$46.0014.3%4.0%12.9%38.9%13.7%2.6%0.3%3.0M36.9M-735.2K1.0024.39N/AN/A8,5588,54458,46462,259
2017-12-08$44.12$46.0013.1%3.8%13.6%25.9%12.9%3.0%0.2%5.1M24.0M-767.6K1.1318.77N/AN/A7,3708,35357,66663,814
2017-12-11$44.43$46.0012.2%3.8%13.8%16.1%14.7%3.4%1.1%6.5M11.2M-767.7K1.5617.11N/AN/A4,8757,62859,41763,310
2017-12-12$44.13$46.0012.7%3.8%14.0%21.2%14.5%3.2%0.4%6.4M21.7M-762.0K2.9022.51N/AN/A2,6357,65359,54863,318
2017-12-13$44.59$46.0012.4%3.6%14.2%18.6%13.6%3.6%-0.4%7.1M4.4M-773.3K3.1323.97N/AN/A2,8118,81159,68363,460
2017-12-14$44.33$46.0012.2%3.7%14.1%15.3%13.3%2.9%0.9%5.5M13.3M-760.4K2.3622.20N/AN/A3,3297,85859,89664,598
2017-12-15$44.40$46.0011.4%3.4%12.7%7.6%11.3%2.4%0.9%4.0M11.1M-762.2K4.9726.30N/AN/A3,45417,15360,59365,041
2017-12-18$44.86$46.0011.3%3.2%13.1%5.8%11.6%2.8%0.1%3.9M20.0M-784.0K1.3526.09N/AN/A6,8779,31252,56562,994
2017-12-19$44.77$46.0011.4%3.3%13.0%6.8%11.3%3.1%0.2%4.3M22.0M-806.7K0.8529.12N/AN/A6,8575,83857,06363,251
2017-12-20$44.85$46.0010.9%3.1%12.0%1.8%10.7%2.3%0.5%5.1M17.0M-807.7K1.8834.10N/AN/A2,9305,50257,24363,231
2017-12-21$45.06$46.0011.1%3.1%12.1%4.2%10.9%2.0%1.0%6.2M5.2M-804.8K1.8713.04N/AN/A2,9785,57356,65763,279
2017-12-22$45.44$44.0011.2%3.2%12.5%5.0%10.9%2.6%0.2%5.7M-49.7M-805.0K2.3612.96N/AN/A2,9226,90256,85554,065
2017-12-26$45.46$44.0011.6%3.4%11.9%9.0%11.6%2.6%0.8%5.7M-50.1M-798.9K2.169.26N/AN/A2,4835,36955,58455,434
2017-12-27$45.47$44.0011.5%3.1%11.7%8.2%11.4%3.0%0.6%5.8M-50.7M-789.1K1.9911.41N/AN/A2,7855,55155,58655,458
2017-12-28$45.68$44.0012.5%3.5%10.7%19.5%11.5%2.3%0.5%6.2M-57.9M-794.1K1.5111.02N/AN/A3,8885,86055,71655,421
2017-12-29$45.89$44.0012.4%3.5%10.1%17.9%12.3%2.7%0.2%6.5M-67.9M-804.7K1.5214.59N/AN/A3,7745,74256,64756,028