VWO Options History — July 2018

In July 2018, VWO traded between $41.62 and $44.10. ATM implied volatility averaged 16.4%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.3% (HV 20d: 17.7%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2018-07-17: Highest Volume — 16,017 contracts
  • 2018-07-06: Largest IV drop — 18.3% change
  • 2018-07-05: Highest IV Rank — 60.8%
  • 2018-07-02: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.84$41.62$44.10$41.62$43.90
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV16.4%14.8%21.1%19.5%15.1%
Expected Move4.6%4.2%5.7%5.7%4.2%
HV 20d17.7%14.8%19.6%15.9%16.2%
HV 60d16.2%15.1%17.0%15.5%17.0%
IV Rank33.4%23.9%60.8%51.7%25.7%
IV Percentile66.9%52.0%93.3%88.5%54.4%
Term Structure0.9%-0.9%12.8%0.4%-0.1%
VWIV15.9%14.1%22.2%22.2%15.5%
Skew 25d4.0%2.8%6.7%5.4%3.3%
Skew 10d8.5%5.1%14.5%10.8%10.2%
Call IV 25d14.6%13.1%17.5%17.5%14.4%
Put IV 25d18.6%17.1%22.9%22.9%17.7%
Bid-Ask Spread %11.947.3716.8411.9813.28
Gamma HHI0.130.110.170.140.12
Net GEX-1.2M-3.7M1.5M-3.4M798.8K
Net DEX47.2M5.3M81.5M80.4M11.4M
Net VEX-619.0K-680.6K-571.7K-601.0K-670.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.212.072.070.38
Total Volume10,570.0486,31316,0176,8538,902
Total OI116,143.81103,131125,854116,033108,700

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$41.62$44.0019.5%5.7%15.9%51.7%22.2%5.4%0.4%-3.4M80.4M-601.0K2.0711.98N/AN/A2,2354,61857,36858,665
2018-07-03$41.78$44.0018.8%5.4%16.1%47.2%19.5%5.3%0.4%-3.3M77.4M-615.8K1.9014.71N/AN/A2,4684,69257,25558,939
2018-07-05$41.71$44.0021.1%5.2%14.8%60.8%16.3%6.7%12.8%-3.7M81.5M-583.5K1.3712.41N/AN/A3,6444,98757,32258,952
2018-07-06$42.21$44.0017.2%5.1%15.4%38.1%15.1%3.8%-0.1%-2.7M66.8M-590.8K0.7912.84N/AN/A3,5312,78258,80659,372
2018-07-09$42.97$44.0016.2%4.6%17.1%31.9%14.8%3.6%0.1%-1.6M49.9M-604.2K0.297.37N/AN/A9,3302,74458,70659,322
2018-07-10$42.90$44.0015.0%4.4%17.1%25.0%14.4%3.7%0.3%-1.0M47.3M-624.4K0.3012.51N/AN/A8,9632,72062,24659,351
2018-07-11$42.18$44.0017.0%4.9%17.9%36.8%17.6%3.4%0.0%-2.2M65.3M-603.9K0.2512.29N/AN/A10,5592,59662,53459,402
2018-07-12$42.77$44.0015.7%4.4%18.9%28.9%14.6%4.3%0.0%-1.8M53.0M-608.0K0.2610.21N/AN/A9,8632,58061,06259,430
2018-07-13$42.77$44.0015.2%4.4%18.8%26.2%16.0%3.0%0.1%-1.6M53.1M-601.5K0.269.16N/AN/A9,8632,58761,05959,433
2018-07-16$42.57$44.0016.3%4.2%18.7%32.7%15.9%3.8%2.9%-1.6M60.5M-571.7K0.288.89N/AN/A9,0512,49960,80859,586
2018-07-17$42.94$44.0015.1%4.3%18.7%25.5%14.1%3.7%0.9%-1.5M53.0M-574.1K1.0810.76N/AN/A7,6988,31960,93359,613
2018-07-18$42.82$44.0014.9%4.3%18.4%24.7%14.8%3.7%1.0%-1.5M57.5M-602.9K1.0912.26N/AN/A7,6178,32061,89562,714
2018-07-19$42.28$44.0016.4%4.7%18.8%33.4%16.0%3.9%-0.9%-1.5M68.3M-602.1K1.1011.10N/AN/A7,5988,32262,90262,712
2018-07-20$42.92$44.0014.8%4.2%18.8%23.9%14.5%4.3%0.0%-718.6K52.5M-613.7K0.3610.48N/AN/A6,7772,45863,15262,702
2018-07-23$42.72$44.0016.2%4.6%18.9%31.9%14.9%3.9%0.5%-1.0M44.7M-591.5K0.2115.29N/AN/A9,7812,07151,47051,661
2018-07-24$43.40$44.0015.7%4.4%19.0%29.2%15.4%4.2%0.3%387.1K22.7M-651.0K0.2811.76N/AN/A7,0471,99455,25151,747
2018-07-25$44.10$44.0015.3%4.4%19.6%26.9%15.4%4.3%-0.5%1.5M5.3M-680.6K0.2916.84N/AN/A7,4452,17055,53651,896
2018-07-26$43.62$44.0015.4%4.3%18.1%27.6%14.8%2.8%0.3%781.4K12.8M-671.9K0.3912.26N/AN/A6,2222,42456,30552,185
2018-07-27$43.76$44.0017.8%4.3%18.0%41.5%15.0%3.7%-0.3%693.5K13.5M-672.5K0.4613.35N/AN/A5,0292,31156,72152,663
2018-07-30$43.70$44.0016.0%4.5%17.2%31.2%16.0%4.0%0.2%712.1K13.3M-663.3K0.5111.07N/AN/A4,7422,41255,95652,688
2018-07-31$43.90$44.0015.1%4.2%16.2%25.7%15.5%3.3%-0.1%798.8K11.4M-670.9K0.3813.28N/AN/A6,4702,43256,04252,658