VWO Options History — November 2018

In November 2018, VWO traded between $37.95 and $40.07. ATM implied volatility averaged 23.9%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.3% (HV 20d: 27.2%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2018-11-16: Highest Volume — 32,178 contracts
  • 2018-11-02: Largest IV drop — 23.1% change
  • 2018-11-01: Highest IV Rank — 69.2%
  • 2018-11-30: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.12$37.95$40.07$39.19$39.70
Max Pain$42.62$39.00$43.00$39.00$43.00
ATM IV23.9%20.9%35.4%35.4%22.8%
Expected Move6.6%5.9%7.2%7.0%7.2%
HV 20d27.2%22.2%28.7%28.3%22.2%
HV 60d22.5%22.1%22.9%22.6%22.2%
IV Rank36.6%28.2%69.2%69.2%33.6%
IV Percentile90.0%82.1%99.2%99.2%86.1%
Term Structure0.0%-3.1%11.1%1.3%-0.4%
VWIV22.8%14.6%28.5%28.5%24.1%
Skew 25d5.4%-0.5%27.8%8.5%4.0%
Skew 10d5.8%-42.6%16.7%-42.6%4.8%
Call IV 25d21.3%15.9%27.2%15.9%21.2%
Put IV 25d26.7%22.7%48.0%24.4%25.3%
Bid-Ask Spread %49.7011.5885.2285.2275.32
Gamma HHI0.100.080.140.080.09
Net GEX-913.9K-3.6M1.7M-1.2M-626.3K
Net DEX42.1M12.8M74.4M41.6M32.4M
Net VEX-487.3K-541.2K-449.1K-506.3K-508.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.741.301.210.81
Total Volume24,950.66719,95832,17827,72625,951
Total OI125,164119,092130,039124,315123,203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$39.19$39.0035.4%7.0%28.3%69.2%28.5%8.5%1.3%-1.2M41.6M-506.3K1.2185.22N/AN/A12,56815,15862,50561,810
2018-11-02$39.42$39.0027.3%7.2%28.3%46.1%28.5%-0.5%0.5%-652.4K33.2M-541.2K1.1872.23N/AN/A12,29914,49562,72264,485
2018-11-05$39.52$43.0023.1%6.2%28.3%34.2%18.1%5.5%-0.9%-648.5K31.9M-517.1K1.1228.17N/AN/A12,12113,56762,26464,122
2018-11-06$39.28$43.0023.2%6.5%28.3%34.5%26.9%4.4%-0.9%-588.1K35.9M-518.6K0.9743.20N/AN/A13,86713,46462,97464,198
2018-11-07$40.07$43.0020.9%5.9%27.1%28.2%17.0%3.7%-1.2%703.6K12.8M-507.5K0.9238.19N/AN/A14,26913,13864,97264,232
2018-11-08$39.06$43.0023.0%6.1%28.7%34.1%22.6%27.8%11.1%-1.5M42.5M-494.9K0.9049.80N/AN/A14,82713,35364,57564,499
2018-11-09$38.51$43.0022.4%6.1%28.2%32.3%14.6%3.5%-1.0%-2.5M61.4M-475.6K0.8244.41N/AN/A14,54511,86065,35064,689
2018-11-12$37.95$43.0022.5%6.4%28.7%32.6%17.3%3.9%-0.1%-3.5M74.4M-449.1K0.9265.07N/AN/A13,44212,33964,59363,957
2018-11-13$38.38$43.0022.5%6.6%28.0%32.6%21.1%4.9%0.7%-3.6M64.5M-460.3K0.8765.18N/AN/A14,21012,39464,62664,239
2018-11-14$38.76$43.0022.6%6.5%27.8%33.1%21.6%4.2%0.1%-3.2M52.2M-470.4K0.8064.66N/AN/A14,26511,35165,51564,030
2018-11-15$39.43$43.0026.6%6.9%27.0%44.3%23.7%9.1%1.6%-1.6M31.0M-497.1K0.7475.11N/AN/A15,04711,19465,57164,032
2018-11-16$39.67$43.0023.7%6.3%26.9%36.1%25.3%4.3%-1.4%541.4K22.4M-469.1K1.3072.63N/AN/A13,99318,18566,13762,863
2018-11-19$39.05$43.0024.1%6.9%27.4%37.2%23.7%3.7%-0.7%-296.7K40.4M-492.9K1.1215.04N/AN/A10,96212,27259,39959,693
2018-11-20$38.31$43.0024.8%7.1%28.1%39.0%25.9%4.4%-0.4%-1.5M59.5M-482.6K0.9838.60N/AN/A10,0999,89059,54059,791
2018-11-21$38.98$43.0023.5%6.7%27.5%35.4%25.2%3.2%-1.0%-358.7K44.1M-482.9K1.0242.13N/AN/A10,03310,22359,63160,301
2018-11-23$38.59$43.0023.3%6.9%27.7%34.8%23.6%4.2%-3.1%-936.7K53.5M-469.1K0.9848.53N/AN/A10,0959,86359,82860,669
2018-11-26$38.84$43.0023.1%6.8%27.5%34.3%23.5%4.1%-1.6%-682.7K49.7M-457.5K1.1011.58N/AN/A10,07611,12359,58660,582
2018-11-27$39.07$43.0022.6%6.8%25.4%33.0%22.3%3.4%-0.3%-507.8K47.4M-460.1K1.2318.55N/AN/A9,57211,76760,02162,233
2018-11-28$39.96$43.0022.0%6.8%25.2%31.3%21.7%3.9%-1.0%1.6M26.4M-483.7K1.1715.04N/AN/A9,62711,22860,18762,136
2018-11-29$39.87$43.0022.2%6.8%24.9%31.9%23.2%3.6%-0.4%1.7M27.1M-488.1K0.8575.11N/AN/A13,64411,58860,41562,269
2018-11-30$39.70$43.0022.8%7.2%22.2%33.6%24.1%4.0%-0.4%-626.3K32.4M-508.4K0.8175.32N/AN/A14,34311,60860,26762,936