VWO Options History — December 2018

In December 2018, VWO traded between $37.35 and $40.48. ATM implied volatility averaged 23.4%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.4% (HV 20d: 21.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.02.

Notable Days

  • 2018-12-21: Highest Volume — 23,790 contracts
  • 2018-12-07: Largest IV spike — 63.2% change
  • 2018-12-07: Highest IV Rank — 69.0%
  • 2018-12-24: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.62$37.35$40.48$40.48$38.11
Max Pain$40.70$40.00$42.00$42.00$40.00
ATM IV23.4%19.0%35.4%19.0%22.5%
Expected Move6.6%6.0%7.3%6.0%6.5%
HV 20d21.9%20.2%24.0%23.1%20.6%
HV 60d23.3%22.6%24.0%22.6%23.6%
IV Rank34.7%22.8%69.0%22.8%30.1%
IV Percentile84.4%64.7%98.8%64.7%79.4%
Term Structure0.1%-18.3%18.2%-0.2%0.7%
VWIV22.1%19.1%24.9%20.8%21.2%
Skew 25d4.0%-25.3%18.4%3.5%3.9%
Skew 10d10.9%3.2%19.1%10.6%14.3%
Call IV 25d22.1%17.7%50.6%17.7%20.8%
Put IV 25d26.1%21.1%38.8%21.1%24.7%
Bid-Ask Spread %79.8573.6787.9280.2677.94
Gamma HHI0.110.080.150.090.12
Net GEX-2.1M-5.0M171.8K171.8K-3.2M
Net DEX59.6M18.2M91.7M18.2M48.8M
Net VEX-474.6K-506.0K-437.3K-481.5K-469.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.3114.380.890.31
Total Volume6,021.264523,7901,165645
Total OI121,285.2102,889137,369120,953102,889

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$40.48$42.0019.0%6.0%23.1%22.8%20.8%3.5%-0.2%171.8K18.2M-481.5K0.8980.26N/AN/A61854759,25261,701
2018-12-04$39.80$42.0020.4%6.5%24.0%26.7%22.1%4.0%0.5%-527.4K34.2M-482.0K0.8378.31N/AN/A1,6081,32959,50862,174
2018-12-05$39.73$42.0022.1%7.1%23.9%31.7%23.1%4.9%-0.5%-566.8K35.1M-476.9K0.9680.90N/AN/A1,6091,55259,50862,174
2018-12-06$39.38$41.0021.7%6.5%23.0%30.4%22.0%18.4%0.1%-1.3M49.6M-485.2K2.2377.34N/AN/A27060359,16263,430
2018-12-07$39.05$41.0035.4%6.3%21.3%69.0%21.1%8.7%-18.3%-1.6M52.3M-483.5K1.1681.80N/AN/A1,7392,01759,28263,966
2018-12-10$38.19$41.0023.6%6.8%22.2%35.9%21.9%5.5%-0.4%-2.8M72.4M-459.9K0.3276.85N/AN/A2,64285259,24964,085
2018-12-11$38.61$41.0022.8%6.4%21.8%33.4%22.4%4.5%-0.5%-1.7M61.7M-459.7K0.6976.72N/AN/A2,8411,95360,87263,820
2018-12-12$39.25$41.0021.6%6.2%22.2%30.3%20.9%4.0%-0.0%-1.0M50.0M-467.7K0.4581.81N/AN/A3,2771,46060,73964,502
2018-12-13$39.27$41.0020.5%6.1%22.0%27.0%20.0%4.2%1.1%-1.0M50.9M-460.0K0.5982.00N/AN/A3,7042,18861,00864,981
2018-12-14$38.73$41.0021.3%6.2%21.7%29.4%21.2%7.9%0.7%-1.6M64.4M-458.9K0.5582.04N/AN/A3,8292,11060,82265,717
2018-12-17$38.17$41.0028.3%6.9%22.0%49.0%21.9%4.7%18.2%-2.2M73.8M-452.3K0.7883.78N/AN/A3,9973,10861,09565,523
2018-12-18$38.60$40.0022.7%6.4%21.9%33.1%20.9%4.2%0.6%-1.7M75.0M-455.0K1.3781.59N/AN/A59281064,27268,433
2018-12-19$37.82$40.0023.4%6.7%22.0%35.3%19.1%4.4%-1.7%-3.1M91.7M-437.3K14.3887.92N/AN/A83912,06562,82368,606
2018-12-20$38.16$40.0023.6%6.8%21.3%35.8%22.8%4.5%0.3%-3.2M79.7M-485.2K6.3883.91N/AN/A2,17513,87863,07771,373
2018-12-21$37.85$40.0023.4%6.8%21.2%34.9%23.6%4.7%-0.8%-5.0M91.7M-478.3K1.8580.88N/AN/A8,33615,45464,28673,083
2018-12-24$37.35$40.0025.1%7.3%21.4%39.5%24.9%4.9%-0.1%-3.2M70.1M-506.0K1.6873.67N/AN/A4,9518,33344,74961,595
2018-12-26$37.91$40.0022.7%7.0%22.1%32.1%23.9%2.8%1.3%-3.1M59.1M-501.7K1.7776.88N/AN/A7791,37944,87061,227
2018-12-27$37.81$40.0023.9%6.8%20.2%35.6%24.4%4.8%0.1%-3.0M60.5M-498.3K1.7574.96N/AN/A1,0591,85444,83160,818
2018-12-28$38.14$40.0023.1%6.6%20.6%31.7%23.0%-25.3%0.8%-2.2M52.2M-493.2K1.4577.44N/AN/A1,3942,02845,06761,135
2018-12-31$38.11$40.0022.5%6.5%20.6%30.1%21.2%3.9%0.7%-3.2M48.8M-469.8K0.3177.94N/AN/A49115443,53659,353