VWO Options History — August 2018

In August 2018, VWO traded between $40.71 and $43.55. ATM implied volatility averaged 17.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.4% (HV 20d: 18.2%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2018-08-14: Highest Volume — 16,598 contracts
2018-08-02: Largest IV drop — 61.3% change
2018-08-01: Highest IV Rank — 100.0%
2018-08-15: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.34	$40.71	$43.55	$43.55	$42.05
Max Pain	$43.72	$43.00	$44.00	$44.00	$43.50
ATM IV	17.8%	14.0%	42.3%	42.3%	18.8%
Expected Move	4.6%	4.1%	5.2%	4.4%	4.9%
HV 20d	18.2%	14.3%	22.1%	16.7%	22.1%
HV 60d	17.3%	16.3%	18.4%	17.1%	18.3%
IV Rank	22.2%	10.3%	100.0%	100.0%	25.5%
IV Percentile	68.3%	38.5%	100.0%	100.0%	83.7%
Term Structure	0.3%	-8.6%	12.3%	-8.6%	-0.8%
VWIV	15.2%	12.4%	17.5%	14.9%	16.9%
Skew 25d	4.5%	2.6%	18.5%	18.5%	2.7%
Skew 10d	8.3%	2.6%	25.9%	25.9%	6.5%
Call IV 25d	15.1%	13.3%	18.1%	15.2%	17.6%
Put IV 25d	19.7%	16.1%	33.7%	33.7%	20.3%
Bid-Ask Spread %	17.28	9.06	69.32	66.64	13.81
Gamma HHI	0.14	0.13	0.16	0.13	0.15
Net GEX	-1.5M	-3.4M	579.0K	579.0K	-2.2M
Net DEX	48.9M	14.3M	84.1M	14.3M	58.2M
Net VEX	-611.9K	-688.1K	-548.9K	-688.1K	-605.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.24	2.45	0.40	0.35
Total Volume	10,984.783	6,875	16,598	8,016	11,268
Total OI	111,963.652	108,392	116,098	109,541	116,098

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-08-01	$43.55	$44.00	42.3%	4.4%	16.7%	100.0%	14.9%	18.5%	-8.6%	579.0K	14.3M	-688.1K	0.40	66.64	N/A	N/A	5,726	2,290	56,834	52,707
2018-08-02	$43.04	$44.00	16.4%	4.6%	17.3%	17.9%	15.8%	3.1%	0.1%	-357.6K	36.8M	-638.6K	0.42	10.13	N/A	N/A	5,589	2,326	56,872	52,849
2018-08-03	$43.32	$44.00	14.9%	4.1%	17.0%	13.3%	15.0%	3.9%	0.6%	-326.0K	28.2M	-649.5K	0.45	12.37	N/A	N/A	4,935	2,245	56,906	52,885
2018-08-06	$43.01	$44.00	15.2%	4.2%	16.1%	14.1%	12.9%	3.1%	-1.1%	-478.5K	37.0M	-611.9K	0.43	11.82	N/A	N/A	4,816	2,059	56,589	52,856
2018-08-07	$43.38	$44.00	14.7%	4.3%	16.3%	12.6%	13.7%	3.3%	-1.7%	-362.4K	26.1M	-618.0K	0.45	13.12	N/A	N/A	5,000	2,244	56,677	52,900
2018-08-08	$43.35	$44.00	14.3%	4.2%	15.0%	11.1%	13.1%	2.9%	-1.9%	-359.7K	29.6M	-614.0K	0.45	11.18	N/A	N/A	5,061	2,265	57,096	53,070
2018-08-09	$43.28	$44.00	14.0%	4.1%	14.3%	10.3%	16.6%	2.6%	-2.5%	-216.5K	30.3M	-610.2K	0.53	13.69	N/A	N/A	4,685	2,486	57,104	53,164
2018-08-10	$42.34	$44.00	16.2%	4.7%	16.4%	17.1%	15.8%	4.1%	-1.1%	-1.7M	56.2M	-582.4K	0.73	13.82	N/A	N/A	4,231	3,100	57,194	53,342
2018-08-13	$41.74	$44.00	17.6%	4.7%	17.0%	21.7%	16.2%	4.8%	-1.6%	-2.0M	71.9M	-548.9K	2.25	12.72	N/A	N/A	4,272	9,631	56,512	53,956
2018-08-14	$41.97	$44.00	15.6%	4.6%	16.8%	15.3%	14.5%	4.9%	-0.8%	-2.2M	59.7M	-598.6K	2.26	9.65	N/A	N/A	5,092	11,506	56,636	54,771
2018-08-15	$40.71	$44.00	19.4%	5.2%	19.8%	27.5%	17.5%	6.0%	-1.6%	-3.1M	84.1M	-569.6K	2.45	14.92	N/A	N/A	4,248	10,407	56,200	56,717
2018-08-16	$41.01	$44.00	17.5%	5.1%	19.7%	21.3%	16.1%	4.9%	1.1%	-3.4M	81.2M	-581.7K	1.38	11.98	N/A	N/A	4,730	6,529	56,255	57,355
2018-08-17	$41.36	$44.00	17.3%	5.2%	19.1%	20.9%	15.4%	5.8%	0.4%	-3.4M	75.3M	-595.6K	0.44	9.06	N/A	N/A	7,064	3,143	56,744	57,681
2018-08-20	$41.52	$44.00	16.5%	4.7%	19.2%	18.1%	15.9%	5.2%	2.6%	-2.8M	68.7M	-584.3K	0.25	10.74	N/A	N/A	12,419	3,100	51,006	57,386
2018-08-21	$41.97	$44.00	15.5%	4.4%	18.7%	15.1%	14.1%	4.5%	4.2%	-1.9M	55.0M	-610.4K	0.24	11.74	N/A	N/A	12,672	3,001	54,539	57,607
2018-08-22	$42.25	$43.50	15.7%	4.5%	17.8%	15.6%	12.4%	3.2%	12.3%	-1.8M	43.1M	-645.1K	0.26	69.32	N/A	N/A	11,484	3,005	55,150	57,685
2018-08-23	$41.57	$43.00	16.9%	4.7%	18.2%	19.3%	16.1%	3.8%	2.9%	-2.1M	62.2M	-597.3K	0.41	12.44	N/A	N/A	8,085	3,342	55,287	57,744
2018-08-24	$42.21	$43.00	16.9%	4.6%	19.2%	19.5%	13.2%	3.6%	2.5%	-1.6M	50.1M	-629.1K	0.45	12.26	N/A	N/A	8,389	3,804	55,621	58,219
2018-08-27	$42.84	$43.00	17.5%	4.5%	20.1%	21.4%	16.2%	3.2%	2.8%	-446.1K	29.3M	-639.6K	0.43	18.00	N/A	N/A	8,125	3,488	55,524	58,134
2018-08-28	$42.64	$43.00	17.9%	4.9%	20.0%	22.7%	15.3%	3.5%	-0.3%	-736.8K	34.9M	-639.2K	0.42	14.08	N/A	N/A	7,964	3,369	55,893	58,368
2018-08-29	$42.92	$43.00	17.4%	4.3%	20.0%	21.2%	15.3%	3.8%	-0.3%	-322.8K	29.5M	-620.6K	0.40	10.65	N/A	N/A	7,944	3,200	56,069	58,348
2018-08-30	$41.72	$43.50	20.0%	5.1%	22.0%	29.3%	17.1%	2.8%	-1.4%	-2.2M	61.7M	-595.7K	0.54	13.32	N/A	N/A	7,999	4,312	56,234	58,380
2018-08-31	$42.05	$43.50	18.8%	4.9%	22.1%	25.5%	16.9%	2.7%	-0.8%	-2.2M	58.2M	-605.3K	0.35	13.81	N/A	N/A	8,351	2,917	56,358	59,740