VWO Options History — March 2018

In March 2018, VWO traded between $45.90 and $48.63. ATM implied volatility averaged 19.5%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.6% (HV 20d: 20.1%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2018-03-08: Highest Volume — 27,402 contracts
  • 2018-03-22: Largest IV spike — 23.4% change
  • 2018-03-28: Highest IV Rank — 77.1%
  • 2018-03-28: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.46$45.90$48.63$47.23$47.00
Max Pain$47.62$44.00$48.00$44.00$48.00
ATM IV19.5%16.2%23.8%22.5%21.0%
Expected Move5.6%4.7%7.1%6.8%6.1%
HV 20d20.1%15.0%28.6%28.6%20.8%
HV 60d19.7%18.9%21.6%19.3%21.6%
IV Rank51.4%32.1%77.1%69.3%60.5%
IV Percentile92.5%81.7%98.8%98.4%95.2%
Term Structure0.0%-1.6%1.0%-0.6%-0.1%
VWIV22.7%17.0%26.6%22.4%22.4%
Skew 25d5.7%3.8%8.0%6.6%6.0%
Skew 10d12.9%8.4%22.3%13.8%12.9%
Call IV 25d17.3%14.9%20.4%19.6%18.7%
Put IV 25d22.9%19.3%27.9%26.2%24.7%
Bid-Ask Spread %18.7812.4029.3720.7614.56
Gamma HHI0.110.090.240.110.09
Net GEX4.6M-343.7K9.0M5.9M1.8M
Net DEX-49.4M-96.0M8.7M-53.4M-25.3M
Net VEX-873.4K-949.4K-828.3K-949.4K-837.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.503.781.072.23
Total Volume12,005.6197,08227,4028,1267,082
Total OI116,095.857103,227126,020125,467105,257

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$47.23$44.0022.5%6.8%28.6%69.3%22.4%6.6%-0.6%5.9M-53.4M-949.4K1.0720.76N/AN/A3,9274,19969,57055,897
2018-03-02$47.39$44.0020.4%5.7%28.5%56.7%21.3%6.0%-0.2%6.6M-53.9M-939.0K1.0524.67N/AN/A4,1404,33369,67856,314
2018-03-05$47.45$48.0019.8%5.7%27.4%53.5%26.6%6.3%-0.4%7.2M-67.6M-925.0K1.6416.45N/AN/A3,8626,33369,62953,854
2018-03-06$47.58$48.0019.4%5.3%25.5%50.9%24.4%4.9%-0.1%7.2M-71.1M-929.7K1.6318.00N/AN/A3,8186,24069,78256,174
2018-03-07$47.58$48.0019.8%5.2%24.0%53.3%18.5%6.2%-0.5%7.3M-65.4M-922.6K0.5016.97N/AN/A12,5766,32669,80856,212
2018-03-08$47.55$48.0018.5%5.1%21.3%45.8%18.1%5.8%0.7%6.2M-57.5M-894.7K0.8629.37N/AN/A14,69312,70964,92656,210
2018-03-09$48.41$48.0016.9%5.0%17.8%36.5%22.7%4.2%0.7%6.7M-86.5M-900.8K2.1514.44N/AN/A5,90512,67064,97759,379
2018-03-12$48.63$48.0017.0%4.7%17.3%36.7%23.8%3.8%-0.7%7.3M-96.0M-876.8K3.5214.47N/AN/A3,31811,67664,83159,197
2018-03-13$48.14$48.0017.6%5.1%17.6%40.3%17.0%5.5%0.6%6.6M-81.7M-853.5K3.7819.33N/AN/A3,15911,94364,98059,219
2018-03-14$48.20$48.0017.7%5.1%17.4%40.7%26.0%4.4%0.1%6.8M-81.3M-872.6K2.9112.40N/AN/A3,3219,65365,06559,509
2018-03-15$48.03$48.0017.1%4.8%16.1%37.2%24.5%4.2%-0.4%7.0M-76.0M-852.7K2.8815.07N/AN/A3,3319,58865,13659,558
2018-03-16$47.91$48.0016.2%4.8%15.0%32.1%23.2%4.2%1.0%9.0M-71.4M-844.3K2.6715.08N/AN/A3,5909,60265,17659,596
2018-03-19$47.42$48.0018.4%5.2%15.4%45.1%25.0%5.3%0.9%2.0M-26.9M-854.4K3.5519.81N/AN/A2,1877,75452,87550,352
2018-03-20$47.84$48.0017.6%5.1%15.4%40.4%24.0%4.9%0.5%2.9M-39.2M-836.9K3.2816.39N/AN/A2,2107,25153,14351,355
2018-03-21$48.05$48.0016.6%4.7%15.5%34.3%24.8%5.0%0.3%3.6M-44.9M-844.3K3.1026.43N/AN/A2,3177,18453,46651,388
2018-03-22$46.55$48.0020.4%5.9%19.2%57.1%24.2%5.9%-0.2%632.3K-6.9M-842.4K1.6423.69N/AN/A4,6787,68153,65751,537
2018-03-23$45.90$48.0023.0%6.5%18.6%72.4%21.6%7.0%0.2%-343.7K8.7M-828.3K1.3923.20N/AN/A4,0125,56553,18952,178
2018-03-26$47.17$48.0021.6%6.3%21.1%63.7%22.1%7.3%-0.4%1.7M-25.2M-859.0K1.2916.00N/AN/A3,7954,89653,39751,318
2018-03-27$46.48$48.0023.8%6.8%19.9%76.7%22.1%8.0%-1.6%543.2K-10.6M-838.7K1.9421.87N/AN/A2,5064,85853,65851,373
2018-03-28$46.13$48.0023.8%7.1%19.6%77.1%22.5%7.4%0.2%68.4K-4.6M-839.6K2.1015.40N/AN/A2,3334,89753,70051,493
2018-03-29$47.00$48.0021.0%6.1%20.8%60.5%22.4%6.0%-0.1%1.8M-25.3M-837.5K2.2314.56N/AN/A2,1904,89253,75851,499