VWO Options History — October 2018

In October 2018, VWO traded between $36.46 and $41.01. ATM implied volatility averaged 23.0%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.0% (HV 20d: 19.0%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.52.

Notable Days

2018-10-30: Highest Volume — 27,367 contracts
2018-10-31: Largest IV spike — 85.4% change
2018-10-31: Highest IV Rank — 100.0%
2018-10-29: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.56	$36.46	$41.01	$41.01	$37.91
Max Pain	$40.52	$39.00	$42.00	$42.00	$39.00
ATM IV	23.0%	16.6%	46.4%	16.6%	46.4%
Expected Move	6.4%	4.7%	8.5%	4.7%	7.0%
HV 20d	19.0%	13.0%	26.4%	15.3%	26.4%
HV 60d	19.1%	17.8%	21.4%	18.2%	21.4%
IV Rank	37.8%	18.0%	100.0%	18.0%	100.0%
IV Percentile	90.1%	61.9%	100.0%	61.9%	100.0%
Term Structure	-1.3%	-26.0%	1.4%	0.7%	-26.0%
VWIV	21.4%	13.8%	27.9%	15.4%	25.1%
Skew 25d	5.1%	1.1%	9.6%	2.5%	4.0%
Skew 10d	8.9%	-15.3%	19.9%	8.9%	-15.3%
Call IV 25d	20.3%	15.7%	31.0%	15.7%	31.0%
Put IV 25d	25.4%	18.2%	35.1%	18.2%	35.1%
Bid-Ask Spread %	19.41	9.18	82.25	12.18	82.25
Gamma HHI	0.11	0.10	0.14	0.14	0.10
Net GEX	-2.8M	-3.6M	-1.2M	-1.2M	-3.1M
Net DEX	73.0M	26.7M	99.4M	26.7M	72.2M
Net VEX	-448.9K	-502.4K	-398.1K	-502.4K	-474.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.28	1.05	0.48	0.86
Total Volume	15,834.435	9,453	27,367	10,227	26,525
Total OI	112,663.783	107,052	124,053	107,052	124,053

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
2018-10-01	$41.01	$42.00	16.6%	4.7%	15.3%	18.0%	15.4%	2.5%	0.7%	-1.2M	26.7M	-502.4K	0.48	12.18	N/A	N/A	6,917	3,310	54,956	52,096
2018-10-02	$40.66	$42.00	17.3%	5.0%	13.2%	20.3%	16.9%	3.5%	1.4%	-2.1M	40.3M	-498.1K	0.48	11.68	N/A	N/A	7,222	3,458	55,242	52,264
2018-10-03	$40.26	$42.00	17.7%	5.0%	13.0%	21.7%	13.8%	3.2%	0.0%	-2.7M	49.5M	-483.1K	0.41	11.12	N/A	N/A	7,391	3,047	55,311	52,569
2018-10-04	$39.37	$42.00	19.7%	6.1%	15.2%	28.1%	21.1%	4.8%	0.9%	-3.0M	69.2M	-461.0K	0.31	12.21	N/A	N/A	7,551	2,355	55,280	52,681
2018-10-05	$39.13	$42.00	20.7%	5.9%	15.2%	31.2%	22.4%	4.2%	0.2%	-3.1M	75.3M	-445.2K	0.34	11.04	N/A	N/A	7,459	2,545	55,616	52,820
2018-10-08	$39.33	$42.00	19.9%	5.8%	15.0%	28.6%	22.6%	4.7%	0.1%	-3.2M	74.3M	-424.6K	0.31	12.50	N/A	N/A	7,778	2,413	55,276	52,569
2018-10-09	$39.20	$42.00	19.8%	5.6%	15.0%	28.4%	20.9%	4.0%	-0.1%	-3.4M	69.6M	-421.2K	0.28	9.18	N/A	N/A	7,394	2,059	55,983	52,149
2018-10-10	$38.12	$42.00	23.3%	6.5%	17.2%	39.5%	20.1%	5.5%	-0.6%	-3.1M	87.1M	-398.1K	0.34	17.11	N/A	N/A	9,243	3,165	56,065	52,279
2018-10-11	$37.85	$40.00	24.9%	6.7%	16.5%	44.3%	22.0%	4.4%	-1.6%	-2.9M	89.4M	-413.8K	0.32	35.03	N/A	N/A	9,692	3,091	57,213	53,265
2018-10-12	$38.67	$40.00	23.0%	6.3%	18.7%	38.6%	21.3%	5.1%	-1.5%	-2.8M	75.6M	-439.1K	0.41	21.40	N/A	N/A	8,606	3,511	58,178	53,939
2018-10-15	$38.45	$40.00	22.7%	6.5%	18.6%	37.4%	20.8%	5.1%	-1.0%	-2.7M	80.7M	-424.8K	0.40	15.29	N/A	N/A	8,462	3,423	57,984	54,677
2018-10-16	$39.23	$40.00	20.9%	6.0%	19.8%	31.7%	20.0%	4.8%	-0.3%	-2.3M	63.7M	-428.0K	0.43	16.15	N/A	N/A	10,156	4,330	58,071	53,380
2018-10-17	$38.69	$40.00	20.9%	6.0%	19.4%	31.9%	20.3%	4.8%	-0.2%	-2.5M	73.1M	-433.0K	0.85	12.99	N/A	N/A	9,476	8,038	60,100	54,399
2018-10-18	$37.79	$40.00	22.5%	6.5%	20.1%	36.8%	22.2%	4.6%	-0.1%	-3.1M	91.5M	-446.3K	0.86	15.65	N/A	N/A	10,018	8,656	58,765	56,615
2018-10-19	$38.10	$40.00	22.0%	6.4%	20.4%	35.3%	19.5%	5.3%	-0.1%	-2.9M	86.1M	-450.8K	0.79	11.78	N/A	N/A	10,161	8,062	59,348	57,242
2018-10-22	$38.54	$40.00	21.5%	6.3%	21.0%	33.7%	17.8%	8.8%	-0.3%	-2.5M	62.9M	-448.4K	0.46	14.14	N/A	N/A	14,082	6,414	55,846	53,039
2018-10-23	$38.22	$40.00	23.4%	6.6%	20.8%	39.7%	22.5%	9.6%	-0.0%	-2.3M	66.4M	-452.0K	0.29	16.15	N/A	N/A	14,050	4,077	59,392	53,437
2018-10-24	$37.40	$40.00	24.4%	7.4%	21.7%	43.1%	24.2%	5.9%	-0.0%	-2.7M	80.5M	-447.5K	0.32	24.13	N/A	N/A	13,848	4,411	59,926	53,851
2018-10-25	$37.76	$40.00	23.3%	7.0%	22.3%	39.5%	25.8%	6.2%	-0.2%	-2.4M	72.6M	-463.2K	0.58	15.25	N/A	N/A	13,566	7,882	61,031	55,324
2018-10-26	$37.43	$39.00	24.8%	7.7%	22.3%	44.1%	27.9%	1.1%	-0.4%	-3.2M	85.7M	-476.7K	0.60	15.53	N/A	N/A	13,006	7,860	60,892	59,964
2018-10-29	$36.46	$39.00	27.2%	8.5%	23.4%	51.7%	23.9%	6.5%	-0.6%	-3.6M	99.4M	-445.1K	1.05	38.36	N/A	N/A	10,779	11,336	59,819	60,015
2018-10-30	$37.36	$39.00	25.0%	7.5%	25.7%	44.9%	26.1%	8.2%	-0.4%	-3.5M	86.9M	-448.7K	0.84	15.32	N/A	N/A	14,911	12,456	59,893	58,453
2018-10-31	$37.91	$39.00	46.4%	7.0%	26.4%	100.0%	25.1%	4.0%	-26.0%	-3.1M	72.2M	-474.6K	0.86	82.25	N/A	N/A	14,270	12,255	62,322	61,731