VWO Options History — April 2018

In April 2018, VWO traded between $45.18 and $47.13. ATM implied volatility averaged 18.8%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.8% (HV 20d: 20.6%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2018-04-06: Highest Volume — 12,565 contracts
  • 2018-04-06: Largest IV spike — 9.1% change
  • 2018-04-02: Highest IV Rank — 80.8%
  • 2018-04-02: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.38$45.18$47.13$46.18$45.73
Max Pain$46.29$46.00$48.00$48.00$46.00
ATM IV18.8%15.8%24.4%24.4%16.3%
Expected Move5.3%4.5%7.2%7.2%4.6%
HV 20d20.6%14.1%23.0%21.6%14.1%
HV 60d22.0%21.8%22.4%21.8%21.9%
IV Rank47.6%29.5%80.8%80.8%32.9%
IV Percentile85.1%74.6%98.8%98.8%75.8%
Term Structure-0.1%-0.8%0.8%0.2%-0.1%
VWIV18.4%15.1%24.0%24.0%15.6%
Skew 25d4.0%2.8%7.6%7.6%2.8%
Skew 10d8.4%3.7%17.2%17.2%5.1%
Call IV 25d17.1%14.1%20.9%20.9%14.6%
Put IV 25d21.1%17.4%28.6%28.6%17.4%
Bid-Ask Spread %11.896.5222.8012.9610.18
Gamma HHI0.100.090.150.100.11
Net GEX1.1M-2.4M3.0M-152.0K390.1K
Net DEX-12.4M-32.4M11.6M-4.9M2.9M
Net VEX-763.7K-819.7K-687.0K-815.9K-687.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.322.560.870.77
Total Volume6,936.1433,40612,5653,4063,516
Total OI106,342.048100,364113,410104,793101,125

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$46.18$48.0024.4%7.2%21.6%80.8%24.0%7.6%0.2%-152.0K-4.9M-815.9K0.8712.96N/AN/A1,8181,58853,49051,303
2018-04-03$46.71$48.0022.9%6.6%22.1%71.7%23.7%6.0%-0.8%769.9K-17.8M-802.5K0.8812.43N/AN/A1,9801,74753,60651,354
2018-04-04$46.89$48.0022.1%6.2%22.1%66.7%22.8%5.5%0.2%1.2M-21.6M-806.3K0.3212.04N/AN/A5,5451,79853,78251,498
2018-04-05$47.01$46.0021.0%5.9%22.1%60.4%21.5%5.1%-0.2%2.4M-28.4M-819.7K0.3916.56N/AN/A4,5911,77756,26451,559
2018-04-06$46.15$46.0022.9%6.2%23.0%71.7%21.6%5.7%-0.0%128.0K-9.9M-819.2K1.7519.76N/AN/A4,5727,99356,38551,547
2018-04-09$46.28$46.0021.3%6.1%21.9%62.5%21.4%4.5%-0.1%809.6K-10.1M-810.2K0.7510.59N/AN/A4,5793,42856,20251,424
2018-04-10$47.00$46.0020.9%5.9%22.7%60.0%20.6%3.7%-0.4%2.3M-28.0M-815.3K0.799.01N/AN/A4,4653,54256,24050,679
2018-04-11$47.09$46.0020.1%5.7%22.5%55.2%20.1%3.6%-0.2%2.6M-30.3M-796.1K0.9511.78N/AN/A3,5223,33456,50650,739
2018-04-12$47.13$46.0019.2%5.4%22.5%49.6%19.5%4.0%-0.5%3.0M-32.4M-790.5K0.969.53N/AN/A3,4663,33556,76550,968
2018-04-13$46.53$46.0018.2%5.2%22.9%43.9%18.2%3.5%-0.2%1.3M-15.6M-758.6K0.5014.31N/AN/A5,3302,68757,06750,975
2018-04-16$46.57$46.0017.5%5.0%22.9%39.6%17.5%3.6%0.7%1.7M-18.1M-746.2K0.957.63N/AN/A2,8612,72558,54750,859
2018-04-17$46.67$46.0016.4%4.7%22.7%33.0%15.9%3.5%0.8%1.9M-21.1M-738.6K1.956.72N/AN/A3,0836,01058,65950,977
2018-04-18$47.00$46.0015.8%4.5%22.6%29.5%15.1%3.3%0.3%2.4M-24.9M-770.4K1.786.52N/AN/A3,0565,42658,92254,264
2018-04-19$46.74$46.0015.8%4.5%22.6%29.7%15.5%2.9%-0.1%1.7M-17.8M-766.7K2.4222.80N/AN/A2,2205,36259,03954,249
2018-04-20$46.10$46.0016.6%4.8%20.1%34.5%15.2%2.8%0.2%-2.4M-1.7M-731.6K2.5010.50N/AN/A2,2005,50459,18054,230
2018-04-23$45.79$46.0016.2%4.6%19.6%32.3%15.6%3.9%-0.3%669.4K477.9K-719.8K2.569.74N/AN/A2,0745,30953,14547,219
2018-04-24$45.49$46.0017.5%4.9%16.8%39.9%16.4%3.2%-0.3%317.1K4.3M-717.5K2.4113.84N/AN/A2,1365,14553,22947,395
2018-04-25$45.18$46.0017.9%5.0%16.3%42.3%15.8%3.8%-0.7%-193.8K11.6M-706.9K2.2412.68N/AN/A2,0914,68453,29147,771
2018-04-26$45.73$46.0016.4%4.6%16.8%33.3%15.9%2.8%0.0%452.8K4.1M-706.0K2.0410.17N/AN/A2,3174,72553,46347,916
2018-04-27$45.94$46.0015.8%4.5%15.3%29.7%15.6%2.8%-0.3%938.3K-2.0M-711.9K0.639.84N/AN/A2,5311,58753,51447,836
2018-04-30$45.73$46.0016.3%4.6%14.1%32.9%15.6%2.8%-0.1%390.1K2.9M-687.0K0.7710.18N/AN/A1,9821,53453,42447,701