VWO Options History — January 2019

In January 2019, VWO traded between $37.72 and $41.66. ATM implied volatility averaged 20.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.8% (HV 20d: 19.0%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.83.

Notable Days

  • 2019-01-24: Highest Volume — 10,032 contracts
  • 2019-01-30: Largest IV spike — 107.1% change
  • 2019-01-07: Highest IV Rank — 82.2%
  • 2019-01-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.92$37.72$41.66$38.18$41.66
Max Pain$39.95$39.00$40.00$39.00$40.00
ATM IV20.8%16.4%40.3%22.5%17.8%
Expected Move5.4%4.7%6.7%6.5%5.1%
HV 20d19.0%16.6%22.2%19.0%18.0%
HV 60d22.6%20.4%24.5%23.6%20.4%
IV Rank23.8%10.0%82.2%30.2%13.6%
IV Percentile58.0%29.4%99.2%79.8%44.8%
Term Structure-1.0%-20.8%0.9%0.2%0.5%
VWIV18.7%16.4%24.6%21.0%17.6%
Skew 25d2.5%-8.4%6.5%3.6%3.2%
Skew 10d7.3%-0.7%11.5%9.0%3.7%
Call IV 25d18.1%16.0%23.0%20.8%16.2%
Put IV 25d20.7%13.2%25.9%24.5%19.4%
Bid-Ask Spread %60.9918.5085.4976.2349.73
Gamma HHI0.130.110.180.120.16
Net GEX44.3K-3.8M2.2M-3.0M2.1M
Net DEX-1.9M-31.4M52.3M39.5M-31.4M
Net VEX-491.6K-558.6K-448.4K-468.7K-536.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.830.1128.194.360.19
Total Volume3,890.38122210,0323,8004,056
Total OI95,068.66770,049112,886100,98676,571

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$38.18$39.0022.5%6.5%19.0%30.2%21.0%3.6%0.2%-3.0M39.5M-468.7K4.3676.23N/AN/A7093,09143,80357,183
2019-01-03$37.72$40.0023.5%6.7%18.6%33.0%19.1%4.6%-0.6%-3.8M52.3M-475.0K4.4473.04N/AN/A7653,39844,03460,058
2019-01-04$38.91$40.0021.2%6.1%22.2%26.4%19.8%6.5%0.6%-2.6M25.2M-474.3K1.0978.50N/AN/A3,0773,36143,98460,167
2019-01-07$38.97$40.0040.3%5.9%22.0%82.2%24.6%2.3%-20.8%-2.1M20.5M-475.7K0.7244.97N/AN/A1299345,85959,891
2019-01-08$39.16$40.0020.0%5.8%21.9%22.7%20.6%3.8%0.3%-1.8M14.2M-456.1K0.8477.32N/AN/A57548445,96359,926
2019-01-09$39.72$40.0019.2%5.4%20.7%20.4%19.3%2.0%0.1%-540.4K-1.1M-459.6K0.3483.86N/AN/A1,90764346,29860,132
2019-01-10$40.03$40.0018.8%5.5%20.5%19.0%19.1%1.2%0.8%-19.3K-6.5M-450.2K0.4285.49N/AN/A1,61068047,06660,262
2019-01-11$39.75$40.0018.3%5.2%20.0%17.6%18.4%2.4%-0.2%-12.1K-1.7M-448.4K0.1156.66N/AN/A6,06565947,16960,411
2019-01-14$39.53$40.0018.0%5.2%20.1%16.4%17.1%3.3%0.9%-161.9K-110.4K-471.1K0.1221.42N/AN/A4545449,29960,196
2019-01-15$39.70$40.0017.9%5.1%19.5%14.5%17.9%2.3%0.6%437.3K-3.6M-456.3K0.1282.56N/AN/A1,02112549,50160,242
2019-01-16$40.17$40.0018.0%5.2%18.9%14.8%17.0%2.6%0.2%2.0M-19.5M-458.4K3.0582.30N/AN/A1,2913,93650,01260,315
2019-01-17$40.28$40.0018.2%5.2%18.6%15.2%18.0%2.8%-0.6%2.2M-19.3M-484.6K1.4484.88N/AN/A1,3881,99950,32662,209
2019-01-18$40.55$40.0016.4%4.7%16.6%10.0%16.4%1.9%0.6%718.5K-29.1M-468.7K1.1979.79N/AN/A2,2932,72850,58662,300
2019-01-22$39.80$40.0018.8%5.5%18.2%17.2%18.9%3.7%-0.1%-68.3K-534.0K-480.2K28.1933.59N/AN/A1855,21626,33243,717
2019-01-23$40.22$40.0018.3%5.4%18.0%15.1%18.0%3.1%0.9%245.8K-3.7M-520.8K9.1434.97N/AN/A7096,48326,39646,577
2019-01-24$40.57$40.0017.5%4.9%17.0%12.6%17.1%3.5%-0.1%822.2K-10.5M-534.3K1.9518.50N/AN/A3,3956,63726,87648,287
2019-01-25$40.97$40.0017.1%4.8%16.7%11.4%16.6%2.3%0.0%1.6M-22.2M-550.0K5.1723.70N/AN/A1,3597,02929,63948,343
2019-01-28$40.52$40.0018.2%5.2%17.4%14.8%0.0%2.8%0.4%1.4M-10.0M-558.6K13.0182.21N/AN/A6989829,60645,212
2019-01-29$40.61$40.0018.6%5.2%17.3%15.9%19.0%3.6%-0.2%1.6M-10.6M-543.1K3.2332.85N/AN/A28291229,67146,105
2019-01-30$41.34$40.0038.5%5.2%18.0%76.0%18.5%-8.4%-3.6%1.8M-22.1M-553.5K1.3778.24N/AN/A8161,11729,80746,111
2019-01-31$41.66$40.0017.8%5.1%18.0%13.6%17.6%3.2%0.5%2.1M-31.4M-536.7K0.1949.73N/AN/A3,39965730,30146,270