VWO Options History — January 2018

In January 2018, VWO traded between $46.71 and $50.91. ATM implied volatility averaged 13.8%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.7% (HV 20d: 10.1%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2018-01-23: Highest Volume — 28,380 contracts
  • 2018-01-29: Largest IV spike — 14.5% change
  • 2018-01-30: Highest IV Rank — 80.2%
  • 2018-01-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.86$46.71$50.91$46.71$49.90
Max Pain$44.19$44.00$45.00$44.00$45.00
ATM IV13.8%12.2%17.5%12.8%16.8%
Expected Move4.0%3.6%5.2%3.7%5.0%
HV 20d10.1%9.0%13.2%11.1%12.2%
HV 60d11.5%11.2%12.3%11.2%12.3%
IV Rank36.5%17.3%80.2%23.1%72.3%
IV Percentile51.7%16.7%98.8%32.5%96.4%
Term Structure0.2%-1.3%1.2%0.4%0.2%
VWIV15.1%12.4%22.5%14.4%16.7%
Skew 25d2.6%1.7%3.2%3.0%3.1%
Skew 10d7.5%3.8%10.1%10.1%7.4%
Call IV 25d13.1%11.4%16.9%11.5%16.0%
Put IV 25d15.7%13.7%19.7%14.4%19.1%
Bid-Ask Spread %18.849.9834.0215.9234.02
Gamma HHI0.150.100.180.140.10
Net GEX6.6M5.3M7.5M6.9M6.9M
Net DEX-151.3M-190.4M-92.3M-92.3M-151.5M
Net VEX-862.9K-1.0M-789.1K-795.3K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.244.360.660.59
Total Volume18,667.28610,59428,38014,22410,616
Total OI123,063.429100,923132,717112,339124,338

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$46.71$44.0012.8%3.7%11.1%23.1%14.4%3.0%0.4%6.9M-92.3M-795.3K0.6615.92N/AN/A8,5915,63356,54155,798
2018-01-03$47.18$44.0012.8%3.6%11.4%23.3%12.4%2.6%0.3%7.2M-114.5M-793.9K2.3520.49N/AN/A5,77313,55659,29355,826
2018-01-04$47.47$44.0012.7%3.8%11.3%22.7%16.5%2.9%0.2%6.8M-121.7M-798.2K2.2025.70N/AN/A6,15513,56359,02759,996
2018-01-05$47.89$44.0012.4%3.7%9.6%19.3%16.3%2.6%0.3%6.4M-139.7M-791.3K3.1613.41N/AN/A4,17313,17461,78560,069
2018-01-08$47.91$44.0012.2%3.6%9.6%17.3%14.6%2.5%0.3%6.8M-139.9M-789.2K4.3611.74N/AN/A3,90817,04361,83659,785
2018-01-09$47.87$44.0012.9%3.6%9.5%25.2%14.0%3.2%-0.6%6.6M-137.9M-828.5K1.8814.87N/AN/A9,19517,27562,50663,849
2018-01-10$47.66$44.0013.4%3.6%9.9%31.9%14.5%3.1%-1.3%7.4M-136.6M-840.6K2.0215.64N/AN/A6,98814,12864,72963,906
2018-01-11$47.95$44.0012.3%3.6%9.2%18.6%13.6%2.9%0.2%6.5M-142.2M-855.5K1.5523.39N/AN/A9,17614,23365,30665,353
2018-01-12$48.45$44.0012.4%3.8%9.2%20.3%15.4%2.3%1.2%6.5M-161.0M-853.1K2.0917.77N/AN/A6,33713,24067,18665,513
2018-01-16$48.23$44.0013.6%3.9%9.0%33.5%13.2%2.9%0.1%6.9M-156.1M-856.8K2.5015.84N/AN/A4,73811,85367,64864,098
2018-01-17$48.91$44.0013.3%3.8%9.6%30.7%13.4%2.4%0.3%7.5M-174.6M-836.3K2.649.98N/AN/A4,45711,78268,06264,389
2018-01-18$48.98$44.0013.4%3.8%9.4%31.1%13.8%2.1%0.1%5.9M-177.0M-824.1K2.2014.06N/AN/A5,29411,64668,03864,457
2018-01-19$49.45$44.0013.1%3.8%9.3%28.5%13.3%3.1%0.0%5.3M-187.9M-805.2K1.0721.84N/AN/A11,17811,96868,09864,619
2018-01-22$49.85$44.0013.1%3.8%9.2%28.2%14.3%2.5%0.6%5.3M-141.0M-789.1K0.4716.04N/AN/A15,8297,51248,72352,200
2018-01-23$50.03$44.0013.9%4.0%9.3%37.7%15.0%1.7%0.5%6.2M-152.8M-829.8K0.2415.54N/AN/A22,8835,49756,82052,294
2018-01-24$50.47$44.0014.0%4.1%9.3%38.9%14.5%2.1%1.1%7.0M-174.6M-904.5K0.5224.46N/AN/A15,0667,77862,81554,465
2018-01-25$50.35$44.0015.4%4.5%9.5%55.4%15.4%1.8%0.2%7.1M-173.6M-968.2K0.8021.43N/AN/A9,9407,91265,87456,810
2018-01-26$50.91$45.0015.1%4.4%9.6%51.7%16.1%1.8%-0.1%7.0M-190.4M-956.8K0.9323.37N/AN/A6,3285,88966,59457,050
2018-01-29$50.21$45.0017.3%5.1%11.8%77.7%16.5%2.7%0.7%6.9M-165.8M-994.3K0.4925.77N/AN/A7,4393,67366,71857,111
2018-01-30$49.61$45.0017.5%5.2%13.2%80.2%22.5%2.8%0.2%6.7M-146.9M-1.0M0.5814.43N/AN/A6,7073,88767,52657,281
2018-01-31$49.90$45.0016.8%5.0%12.2%72.3%16.7%3.1%0.2%6.9M-151.5M-1.0M0.5934.02N/AN/A6,6713,94567,14857,190