VWO Options History — June 2018

In June 2018, VWO traded between $41.20 and $45.78. ATM implied volatility averaged 15.8%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 0.2% (HV 20d: 16.1%). Max pain ranged from $44.00 to $46.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2018-06-20: Highest Volume — 24,290 contracts
  • 2018-06-25: Largest IV spike — 19.5% change
  • 2018-06-27: Highest IV Rank — 54.6%
  • 2018-06-27: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.81$41.20$45.78$45.09$42.20
Max Pain$45.24$44.00$46.00$46.00$44.00
ATM IV15.8%13.3%20.0%15.0%18.1%
Expected Move4.5%3.8%5.9%4.2%5.3%
HV 20d16.1%14.1%19.1%17.1%16.5%
HV 60d16.7%14.8%17.9%17.7%15.7%
IV Rank30.0%15.2%54.6%25.3%43.5%
IV Percentile67.7%44.4%90.5%64.3%82.9%
Term Structure0.2%-0.7%4.7%-0.6%0.3%
VWIV17.1%13.4%22.9%16.5%17.8%
Skew 25d4.0%3.0%6.0%3.9%4.2%
Skew 10d7.7%4.4%13.8%9.8%9.2%
Call IV 25d14.2%11.8%16.9%13.4%15.8%
Put IV 25d18.2%15.9%22.9%17.2%20.0%
Bid-Ask Spread %16.567.8423.407.8412.67
Gamma HHI0.140.100.180.120.12
Net GEX-794.8K-3.6M3.8M1.4M-2.2M
Net DEX42.1M-4.6M86.2M16.8M64.3M
Net VEX-618.6K-648.9K-568.1K-630.1K-648.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.423.970.961.88
Total Volume11,998.7624,92224,2904,9227,016
Total OI106,191.61988,661116,371103,818116,371

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$45.09$46.0015.0%4.2%17.1%25.3%16.5%3.9%-0.6%1.4M16.8M-630.1K0.967.84N/AN/A2,5142,40854,43849,380
2018-06-04$45.61$46.0014.0%3.8%17.5%19.3%16.2%3.8%0.4%2.3M4.0M-647.1K0.9317.68N/AN/A2,5622,38954,44349,329
2018-06-05$45.19$46.0014.5%4.2%17.8%22.3%13.4%3.4%-0.6%1.5M14.2M-613.0K0.4213.64N/AN/A5,6792,36454,69849,399
2018-06-06$45.78$46.0013.3%3.8%18.4%15.2%16.6%4.2%0.2%3.8M-4.6M-646.3K1.9923.40N/AN/A4,6959,34055,68848,936
2018-06-07$45.11$46.0015.2%4.3%19.1%26.0%16.5%4.3%-0.7%934.1K18.8M-648.9K3.0117.42N/AN/A3,32210,01555,94952,361
2018-06-08$45.15$46.0014.6%4.3%17.7%22.5%16.2%4.0%0.3%1.1M18.6M-639.7K3.2217.76N/AN/A3,0299,74655,98153,048
2018-06-11$45.05$46.0014.9%4.2%17.7%24.5%16.0%3.3%-0.2%468.3K22.4M-638.1K3.0314.26N/AN/A3,0529,23955,99052,879
2018-06-12$44.92$46.0014.6%4.1%17.6%22.6%15.6%4.2%0.1%-597.1K25.5M-631.4K3.0414.88N/AN/A3,0309,20956,12952,886
2018-06-13$44.73$46.0015.2%4.1%15.9%26.1%16.0%3.0%-0.4%-1.6M31.7M-619.0K1.0018.56N/AN/A9,2409,25656,21952,965
2018-06-14$44.48$46.0014.0%4.2%14.7%19.0%15.3%3.8%1.1%-2.1M35.8M-614.3K0.6517.07N/AN/A8,8865,75657,09053,082
2018-06-15$44.13$46.0014.6%4.2%14.1%22.8%15.3%3.5%0.1%-2.4M43.4M-582.1K1.3221.98N/AN/A6,2448,23957,18353,050
2018-06-18$43.63$46.0015.0%4.3%14.3%25.0%16.8%3.2%-0.0%-2.6M56.2M-589.4K2.7219.41N/AN/A2,9217,95539,79648,865
2018-06-19$43.18$46.0016.0%4.6%14.4%31.0%17.0%4.2%0.1%-2.7M65.1M-568.1K1.2319.34N/AN/A6,4137,91640,48648,992
2018-06-20$43.35$44.0015.5%4.5%14.4%28.2%16.3%3.4%4.7%-2.2M55.5M-621.3K0.4916.35N/AN/A16,2748,01643,70749,291
2018-06-21$42.67$44.0017.4%5.0%15.2%39.3%16.2%4.1%0.1%-1.1M62.8M-592.5K0.7923.31N/AN/A7,9326,28554,26849,408
2018-06-22$42.80$44.0015.6%4.4%15.3%28.3%14.4%4.0%-0.1%-705.7K54.4M-641.4K1.2912.42N/AN/A4,7066,08456,18850,956
2018-06-25$42.23$44.0018.6%5.4%15.7%46.2%22.9%4.8%0.3%-950.2K64.6M-599.0K3.9719.65N/AN/A3,47013,78856,93950,177
2018-06-26$42.13$44.0017.7%5.0%14.1%40.8%20.3%4.7%-0.1%-2.1M63.1M-627.9K1.9413.38N/AN/A2,4534,76857,01256,438
2018-06-27$41.20$44.0020.0%5.9%15.0%54.6%21.9%6.0%-0.2%-3.3M86.2M-591.3K2.9013.87N/AN/A2,2186,42357,00256,924
2018-06-28$41.48$44.0018.7%5.4%15.2%46.9%21.1%5.0%-0.1%-3.6M85.5M-600.9K1.9512.78N/AN/A2,4164,70657,17258,909
2018-06-29$42.20$44.0018.1%5.3%16.5%43.5%17.8%4.2%0.3%-2.2M64.3M-648.7K1.8812.67N/AN/A2,4374,57957,46258,909