VWO Options History — February 2019

In February 2019, VWO traded between $40.77 and $42.40. ATM implied volatility averaged 16.0%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.3% (HV 20d: 14.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2019-02-06: Highest Volume — 11,222 contracts
  • 2019-02-27: Largest IV spike — 7.0% change
  • 2019-02-07: Highest IV Rank — 11.9%
  • 2019-02-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.43$40.77$42.40$41.49$41.58
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV16.0%14.6%17.3%16.9%16.6%
Expected Move4.5%4.1%5.1%5.1%4.4%
HV 20d14.7%13.1%17.2%17.2%13.1%
HV 60d18.7%17.5%20.4%20.4%17.7%
IV Rank8.2%3.9%11.9%10.9%10.0%
IV Percentile22.2%3.6%38.1%33.7%37.3%
Term Structure0.2%-0.7%1.3%0.0%-0.6%
VWIV16.0%13.9%19.4%18.3%14.7%
Skew 25d3.0%-0.3%5.9%3.0%3.6%
Skew 10d6.5%2.0%16.5%5.4%9.3%
Call IV 25d14.8%10.3%17.4%15.7%14.9%
Put IV 25d17.8%16.2%18.9%18.7%18.5%
Bid-Ask Spread %31.7413.2286.9534.3918.19
Gamma HHI0.170.140.310.170.15
Net GEX2.8M1.3M5.8M2.8M2.4M
Net DEX-19.5M-43.0M-3.1M-30.7M-18.0M
Net VEX-542.4K-576.1K-504.3K-550.9K-523.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.054.470.770.51
Total Volume2,92826811,2223,0491,114
Total OI81,015.68477,25885,74878,96979,314

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$41.49$40.0016.9%5.1%17.2%10.9%18.3%3.0%0.0%2.8M-30.7M-550.9K0.7734.39N/AN/A1,7221,32732,53946,430
2019-02-04$41.55$40.0016.7%4.8%14.2%10.1%18.4%2.3%-0.1%2.9M-32.2M-543.9K0.8534.48N/AN/A34128932,59446,871
2019-02-05$42.01$40.0016.3%4.7%14.4%8.9%19.4%3.0%0.2%2.8M-43.0M-533.9K0.7134.19N/AN/A53738332,76647,052
2019-02-06$41.48$40.0016.8%5.0%15.5%10.5%15.6%2.6%0.5%3.2M-32.0M-550.6K3.5723.49N/AN/A2,4548,76832,96347,113
2019-02-07$41.11$40.0017.3%5.0%15.5%11.9%17.4%3.3%0.4%2.4M-15.3M-576.1K4.4718.23N/AN/A1,7557,85033,52451,560
2019-02-08$40.91$40.0016.2%4.7%15.5%8.7%16.7%3.1%-0.7%2.1M-11.7M-575.7K3.6377.69N/AN/A1,6045,81633,65852,090
2019-02-11$40.77$40.0016.5%4.7%15.3%9.7%16.7%3.2%0.2%2.9M-6.7M-558.6K0.1320.49N/AN/A2383033,05751,975
2019-02-12$41.12$40.0015.8%4.5%15.3%7.6%15.8%3.1%0.7%3.4M-16.0M-554.9K0.2019.01N/AN/A4388633,12851,987
2019-02-13$40.82$40.0015.8%4.5%15.6%7.5%16.0%3.1%0.7%3.6M-6.2M-551.5K0.3229.87N/AN/A86027133,31052,007
2019-02-14$40.95$40.0015.4%4.4%15.1%6.3%15.6%3.6%1.3%4.8M-8.3M-554.8K0.2086.95N/AN/A99319733,56452,060
2019-02-15$40.82$40.0015.6%4.4%15.2%6.8%15.8%2.9%0.8%5.8M-3.1M-545.4K0.0547.42N/AN/A4,52621333,63852,079
2019-02-19$41.31$40.0015.8%4.4%15.5%7.6%14.3%2.2%0.1%1.7M-10.2M-548.4K0.1616.62N/AN/A3,29553731,89045,651
2019-02-20$41.48$40.0015.9%4.4%13.7%7.8%14.9%2.5%-0.3%1.4M-13.2M-545.3K0.8037.78N/AN/A71156931,22146,151
2019-02-21$41.33$40.0015.2%4.3%13.5%5.8%14.6%3.5%0.7%1.3M-10.2M-526.1K0.7734.45N/AN/A76959531,34246,175
2019-02-22$41.80$40.0014.6%4.1%13.7%3.9%14.4%5.9%0.8%2.0M-20.8M-522.5K0.6125.61N/AN/A1,08366031,33946,229
2019-02-25$42.40$40.0015.4%4.2%14.2%6.2%14.9%3.2%0.1%2.8M-34.9M-504.3K0.7516.76N/AN/A54140431,19346,065
2019-02-26$42.36$40.0015.3%4.1%13.4%5.9%13.9%-0.3%-0.3%2.9M-33.9M-511.4K0.2414.30N/AN/A1,76842331,40546,403
2019-02-27$41.97$40.0016.4%4.3%14.0%9.2%17.1%3.3%0.1%2.9M-24.4M-527.0K0.2213.22N/AN/A2,01545032,53146,424
2019-02-28$41.58$40.0016.6%4.4%13.1%10.0%14.7%3.6%-0.6%2.4M-18.0M-523.7K0.5118.19N/AN/A73937532,74046,574