VWO Options History — May 2018

In May 2018, VWO traded between $44.12 and $46.30. ATM implied volatility averaged 16.1%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.8% (HV 20d: 14.2%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2018-05-18: Highest Volume — 11,781 contracts
  • 2018-05-29: Largest IV spike — 17.3% change
  • 2018-05-29: Highest IV Rank — 48.7%
  • 2018-05-29: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.28$44.12$46.30$45.32$44.74
Max Pain$46.00$46.00$46.00$46.00$46.00
ATM IV16.1%14.5%19.0%16.0%16.6%
Expected Move4.5%4.0%5.7%4.7%4.9%
HV 20d14.2%10.6%16.9%13.7%16.9%
HV 60d18.1%16.9%21.4%21.4%17.6%
IV Rank31.3%22.2%48.7%31.2%34.6%
IV Percentile73.4%63.9%86.9%74.2%76.6%
Term Structure-0.0%-1.1%1.6%0.3%-0.6%
VWIV15.3%11.8%20.0%16.4%18.1%
Skew 25d3.8%2.3%5.5%2.9%5.1%
Skew 10d8.1%3.3%14.7%5.2%10.1%
Call IV 25d14.4%12.9%16.4%14.9%13.9%
Put IV 25d18.1%16.2%21.9%17.8%19.0%
Bid-Ask Spread %12.528.7917.4511.5813.95
Gamma HHI0.120.100.380.110.11
Net GEX375.7K-8.9M3.0M-303.0K444.7K
Net DEX9.0M-17.8M36.5M10.9M24.7M
Net VEX-674.2K-724.4K-639.6K-674.2K-644.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.141.180.360.75
Total Volume6,631.0453,95911,7816,9355,756
Total OI103,891.773101,142107,589101,142104,155

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$45.32$46.0016.0%4.7%13.7%31.2%16.4%2.9%0.3%-303.0K10.9M-674.2K0.3611.58N/AN/A5,0861,84953,38447,758
2018-05-02$45.17$46.0016.4%4.9%13.5%33.4%11.8%4.8%0.3%-170.9K5.6M-724.4K0.3314.41N/AN/A5,7771,88054,69447,959
2018-05-03$45.03$46.0016.6%4.7%13.5%34.7%18.0%3.1%-0.1%-582.5K15.3M-693.0K0.4111.88N/AN/A4,0981,67854,93548,076
2018-05-04$45.26$46.0015.4%4.5%12.2%27.4%14.1%3.0%0.4%-329.2K9.8M-696.8K0.2917.45N/AN/A6,1401,77354,99848,098
2018-05-07$45.14$46.0016.4%4.5%12.1%33.4%15.5%4.0%-1.0%-147.4K12.1M-670.0K0.3910.81N/AN/A3,9841,55155,46948,056
2018-05-08$45.33$46.0015.8%4.6%10.7%29.6%15.4%3.5%0.5%-312.2K11.5M-664.9K0.4011.96N/AN/A4,2011,68855,40748,089
2018-05-09$45.31$46.0015.1%4.4%10.6%25.5%14.7%2.9%0.5%-24.1K9.9M-664.2K0.4313.59N/AN/A4,1001,75755,49748,067
2018-05-10$46.21$46.0015.2%4.3%13.0%26.2%14.7%2.3%-0.5%2.4M-15.6M-685.2K0.3913.76N/AN/A4,1931,65255,54048,096
2018-05-11$46.13$46.0014.5%4.1%12.3%22.2%14.2%2.4%-0.8%2.2M-11.6M-688.3K0.4011.86N/AN/A3,9921,59155,82648,115
2018-05-14$46.30$46.0014.9%4.3%12.4%24.2%14.0%3.4%0.3%2.8M-17.8M-655.8K0.1414.51N/AN/A10,0241,35455,77748,078
2018-05-15$45.30$46.0016.3%4.7%14.5%32.7%16.1%3.7%0.6%180.5K5.2M-688.9K0.2112.98N/AN/A7,1181,49058,93448,038
2018-05-16$46.02$46.0014.9%4.3%15.5%24.8%14.4%4.3%1.6%2.8M-13.5M-698.2K0.2213.00N/AN/A7,3441,60959,04448,197
2018-05-17$45.32$46.0016.3%4.6%16.2%32.7%14.3%3.5%1.1%-864.1K5.8M-673.4K0.219.77N/AN/A7,0421,51359,19048,294
2018-05-18$44.96$46.0015.6%4.3%15.8%28.5%14.3%4.5%1.3%-8.9M18.2M-659.9K1.189.48N/AN/A5,4056,37659,27048,319
2018-05-21$45.18$46.0016.0%4.4%15.8%30.8%13.9%3.3%-0.3%1.5M11.4M-685.3K0.838.79N/AN/A2,1781,80553,40648,277
2018-05-22$45.40$46.0015.8%4.0%15.7%29.8%13.4%3.5%-0.7%2.2M6.5M-681.1K0.9712.55N/AN/A2,0081,95153,74848,360
2018-05-23$45.24$46.0016.7%4.3%15.6%35.1%14.8%3.6%-0.2%1.9M11.9M-674.1K1.0211.68N/AN/A1,9732,01753,81348,655
2018-05-24$45.01$46.0016.5%4.3%15.0%33.8%14.9%4.2%-0.6%1.1M17.9M-665.6K0.4813.32N/AN/A4,1241,99553,94448,773
2018-05-25$45.09$46.0016.2%4.3%14.9%32.3%15.2%3.8%-0.7%3.0M14.5M-662.1K0.7312.19N/AN/A2,7321,98755,24148,834
2018-05-29$44.12$46.0019.0%5.7%16.6%48.7%20.0%5.5%-1.1%-630.4K36.5M-643.0K0.8212.37N/AN/A2,9962,45854,48348,751
2018-05-30$44.54$46.0017.0%4.9%16.8%36.9%17.9%5.4%-0.6%-144.4K29.2M-639.6K0.7813.59N/AN/A3,1652,47354,63649,338
2018-05-31$44.74$46.0016.6%4.9%16.9%34.6%18.1%5.1%-0.6%444.7K24.7M-644.1K0.7513.95N/AN/A3,2982,45854,78649,369