VWO Options History — September 2018

In September 2018, VWO traded between $39.93 and $41.82. ATM implied volatility averaged 18.3%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.2% (HV 20d: 20.5%). Max pain ranged from $42.00 to $43.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.44.

Notable Days

  • 2018-09-21: Highest Volume — 19,614 contracts
  • 2018-09-07: Largest IV drop — 20.5% change
  • 2018-09-04: Highest IV Rank — 46.4%
  • 2018-09-07: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.89$39.93$41.82$41.07$40.90
Max Pain$42.18$42.00$43.50$43.50$42.00
ATM IV18.3%15.3%25.4%25.4%16.6%
Expected Move5.0%4.3%5.5%5.4%4.6%
HV 20d20.5%15.6%23.4%23.4%15.6%
HV 60d18.9%18.2%19.2%18.9%18.3%
IV Rank23.6%13.9%46.4%46.4%18.0%
IV Percentile71.9%45.6%98.8%98.8%61.9%
Term Structure-0.9%-10.0%1.0%-5.0%0.0%
VWIV17.2%13.9%19.2%19.2%15.4%
Skew 25d2.9%-6.5%5.3%4.9%3.4%
Skew 10d7.1%2.1%11.7%11.7%5.3%
Call IV 25d17.0%14.5%29.6%18.3%15.2%
Put IV 25d20.0%17.1%23.2%23.2%18.6%
Bid-Ask Spread %18.0911.3142.8411.4342.84
Gamma HHI0.160.100.410.150.14
Net GEX-4.2M-13.1M-895.8K-3.3M-1.7M
Net DEX80.8M20.9M115.8M82.3M30.0M
Net VEX-512.8K-569.0K-461.2K-569.0K-527.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.251.080.390.49
Total Volume12,662.36810,02419,61411,45310,287
Total OI116,616.053107,479121,040116,113108,151

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$41.07$43.5025.4%5.4%23.4%46.4%19.2%4.9%-5.0%-3.3M82.3M-569.0K0.3911.43N/AN/A8,2413,21256,24959,864
2018-09-05$40.62$43.0020.6%5.4%23.2%31.3%18.4%3.9%-0.8%-3.6M92.4M-542.7K0.3813.83N/AN/A8,5923,27256,32560,216
2018-09-06$40.62$43.0024.7%5.3%23.2%44.3%18.9%-6.5%-10.0%-3.9M97.3M-526.2K0.3716.04N/AN/A8,6663,17556,86260,788
2018-09-07$40.45$42.0019.7%5.5%23.2%28.2%17.8%4.2%-0.7%-4.2M100.8M-516.1K0.3417.74N/AN/A8,7973,03557,15061,035
2018-09-10$40.00$42.0019.2%5.5%22.4%26.8%18.1%4.7%-0.5%-3.8M111.3M-472.0K0.2613.45N/AN/A9,9682,62456,99760,932
2018-09-11$39.93$42.0019.1%5.2%22.0%26.5%17.9%5.3%-0.8%-3.6M115.8M-461.2K0.3115.03N/AN/A10,6193,28456,48961,254
2018-09-12$40.32$42.0019.0%5.4%22.2%26.2%18.5%2.9%0.3%-4.0M105.2M-488.6K0.3317.26N/AN/A10,8003,58257,52961,839
2018-09-13$40.78$42.0017.7%4.9%19.9%21.9%18.8%3.2%-0.8%-4.5M92.0M-513.1K0.3515.53N/AN/A9,7773,43058,19862,132
2018-09-14$40.78$42.0017.2%4.7%19.7%20.4%18.5%3.8%-0.4%-4.5M95.2M-498.4K0.3618.84N/AN/A9,4503,41558,28962,158
2018-09-17$40.39$42.0018.5%5.3%19.7%24.7%18.8%3.0%-1.1%-3.8M104.8M-483.5K0.3515.85N/AN/A9,2783,20457,38862,397
2018-09-18$40.78$42.0017.0%4.9%20.0%19.4%17.8%2.4%0.6%-4.3M99.4M-480.5K0.4916.65N/AN/A9,2734,52057,47862,576
2018-09-19$41.31$42.0016.6%4.8%20.2%18.1%16.3%2.7%-0.1%-5.8M84.8M-501.2K0.4413.73N/AN/A9,3314,14357,59062,532
2018-09-20$41.69$42.0015.3%4.3%20.3%13.9%16.2%2.7%1.0%-9.9M72.6M-501.8K0.4320.07N/AN/A9,2033,96858,11762,691
2018-09-21$41.82$42.0015.6%4.5%19.5%15.0%13.9%2.5%0.5%-13.1M66.9M-505.8K0.2518.56N/AN/A15,6343,98057,95163,089
2018-09-24$41.32$42.0015.7%4.5%19.1%15.2%15.0%1.6%0.2%-2.4M59.1M-541.9K1.0823.45N/AN/A5,7006,18351,34759,262
2018-09-25$41.55$42.0016.4%4.7%18.4%17.5%16.0%3.4%0.0%-1.9M55.7M-540.1K1.0424.28N/AN/A5,8106,02851,87959,531
2018-09-26$41.26$42.0016.5%4.7%18.5%17.8%16.2%3.6%-0.4%-1.4M49.0M-544.1K0.3917.89N/AN/A7,2312,79352,34759,594
2018-09-27$41.24$42.0016.5%4.6%18.2%17.8%15.5%3.5%0.0%-895.8K20.9M-529.9K0.3911.31N/AN/A7,2322,84854,57952,900
2018-09-28$40.90$42.0016.6%4.6%15.6%18.0%15.4%3.4%0.0%-1.7M30.0M-527.2K0.4942.84N/AN/A6,9233,36455,21852,933