VWO Options History — February 2018

In February 2018, VWO traded between $45.06 and $49.37. ATM implied volatility averaged 20.8%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 4.1% (HV 20d: 24.9%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2018-02-05: Highest Volume — 21,988 contracts
  • 2018-02-05: Largest IV spike — 30.8% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.56$45.06$49.37$49.37$47.25
Max Pain$43.84$43.00$44.00$43.00$44.00
ATM IV20.8%16.7%27.7%16.7%21.2%
Expected Move5.9%4.8%7.7%4.9%6.1%
HV 20d24.9%12.9%28.8%12.9%28.8%
HV 60d17.5%12.5%19.3%12.5%19.3%
IV Rank66.1%40.1%100.0%71.4%61.4%
IV Percentile97.3%92.9%100.0%95.2%97.6%
Term Structure-0.5%-4.6%0.8%-0.3%0.3%
VWIV22.7%15.4%32.4%15.4%21.8%
Skew 25d5.6%2.6%9.3%2.6%5.4%
Skew 10d11.9%-2.0%28.7%5.0%13.7%
Call IV 25d18.6%15.5%23.8%16.2%19.0%
Put IV 25d24.2%18.9%31.7%18.9%24.4%
Bid-Ask Spread %27.7812.3465.8724.0620.95
Gamma HHI0.110.090.140.100.11
Net GEX5.5M2.9M8.0M6.8M6.0M
Net DEX-76.8M-140.2M-3.6M-140.2M-59.5M
Net VEX-1.0M-1.1M-944.7K-982.3K-944.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.121.500.680.96
Total Volume11,352.5265,76821,98810,6148,076
Total OI127,911.421122,322133,576124,767125,036

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$49.37$43.0016.7%4.9%12.9%71.4%15.4%2.6%-0.3%6.8M-140.2M-982.3K0.6824.06N/AN/A6,3284,28667,43057,337
2018-02-02$48.22$43.0019.0%5.5%15.7%98.6%23.3%4.6%0.3%6.1M-102.0M-1.0M0.5727.54N/AN/A6,4233,66567,67557,851
2018-02-05$46.90$43.0024.9%6.9%18.4%100.0%27.6%2.7%-4.6%4.7M-59.6M-1.1M0.2065.87N/AN/A18,3683,62067,13957,945
2018-02-06$48.02$44.0021.4%6.0%20.4%75.6%20.9%4.7%0.2%6.0M-96.7M-1.1M0.1259.55N/AN/A17,3962,10769,40458,251
2018-02-07$46.60$44.0023.5%6.3%23.0%90.4%22.7%7.0%-1.3%5.0M-47.5M-1.1M0.3027.24N/AN/A12,8933,87469,78758,654
2018-02-08$45.06$44.0027.7%7.7%25.7%100.0%24.7%9.3%-0.2%2.9M-3.6M-1.0M0.3940.76N/AN/A10,0133,86870,07658,603
2018-02-09$45.70$44.0027.7%7.6%26.2%100.0%32.4%8.5%-2.4%3.4M-16.1M-1.0M0.9241.10N/AN/A6,8856,31370,20758,542
2018-02-12$46.27$44.0022.3%6.5%26.4%68.0%30.0%7.0%-0.4%5.3M-37.0M-993.4K1.5027.31N/AN/A3,7945,68771,51160,866
2018-02-13$46.72$44.0020.9%6.0%26.7%60.0%27.9%7.2%0.7%7.0M-47.1M-1.0M1.4120.04N/AN/A4,1375,84671,71760,888
2018-02-14$47.62$44.0018.3%5.2%27.1%44.6%20.2%5.1%0.8%7.4M-80.8M-1.0M1.2721.47N/AN/A4,6155,84971,56861,092
2018-02-15$48.42$44.0020.0%5.8%27.9%54.4%18.0%5.1%-0.7%5.0M-119.6M-1.0M1.1212.34N/AN/A5,2935,91271,96661,159
2018-02-16$48.33$44.0019.2%5.5%27.6%49.7%19.2%5.2%0.1%4.9M-120.8M-995.2K1.0713.69N/AN/A5,2445,60772,28361,293
2018-02-20$47.87$44.0019.9%5.6%27.5%53.9%22.5%5.2%-0.1%4.0M-69.9M-964.9K0.5619.23N/AN/A7,2684,05764,71457,608
2018-02-21$47.84$44.0018.7%5.5%27.5%47.1%22.2%4.5%-0.4%4.8M-81.2M-980.5K1.0322.96N/AN/A3,7233,82668,08057,735
2018-02-22$47.88$44.0019.1%5.4%27.2%49.0%22.0%5.4%0.4%4.2M-74.8M-972.0K0.6622.68N/AN/A5,7613,82868,14157,841
2018-02-23$48.61$44.0017.8%5.0%27.9%41.4%19.6%5.3%-0.1%7.4M-105.1M-977.0K1.0120.03N/AN/A3,6433,69369,23657,829
2018-02-26$49.08$44.0017.6%4.8%27.8%40.1%19.8%4.6%-0.6%8.0M-121.2M-951.9K0.3823.73N/AN/A4,1721,59668,59656,383
2018-02-27$47.87$44.0019.3%5.6%28.7%50.4%21.5%6.0%-0.5%6.1M-77.4M-969.1K0.9117.27N/AN/A4,2003,83269,47956,395
2018-02-28$47.25$44.0021.2%6.1%28.8%61.4%21.8%5.4%0.3%6.0M-59.5M-944.7K0.9620.95N/AN/A4,1183,95869,54255,494