VWO Options History — March 2019

In March 2019, VWO traded between $41.12 and $43.19. ATM implied volatility averaged 17.0%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.6% (HV 20d: 15.4%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2019-03-11: Highest Volume — 13,968 contracts
  • 2019-03-27: Largest IV spike — 85.8% change
  • 2019-03-27: Highest IV Rank — 51.2%
  • 2019-03-08: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.18$41.12$43.19$41.67$42.49
Max Pain$41.43$40.00$42.00$40.00$42.00
ATM IV17.0%14.2%30.3%16.3%15.9%
Expected Move4.6%4.1%5.0%4.3%4.8%
HV 20d15.4%12.8%18.4%12.9%17.7%
HV 60d16.5%15.5%17.3%17.2%16.3%
IV Rank11.1%2.5%51.2%8.9%7.8%
IV Percentile30.5%1.6%97.6%27.0%26.2%
Term Structure0.4%-11.5%16.7%-0.0%0.2%
VWIV16.0%13.7%17.7%14.1%16.9%
Skew 25d2.6%-16.4%10.1%3.3%3.8%
Skew 10d5.6%-29.9%12.1%9.2%2.4%
Call IV 25d15.6%12.8%34.3%14.7%13.8%
Put IV 25d18.1%15.7%25.6%18.0%17.6%
Bid-Ask Spread %43.9412.1988.8917.0181.80
Gamma HHI0.140.100.340.150.10
Net GEX2.8M816.4K7.4M2.5M1.2M
Net DEX-22.8M-48.2M-1.6M-18.4M-21.4M
Net VEX-521.5K-540.5K-497.8K-519.3K-530.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.236.800.621.33
Total Volume2,381.57162013,9681,2701,868
Total OI77,510.42968,18590,42479,41873,338

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$41.67$40.0016.3%4.3%12.9%8.9%14.1%3.3%-0.0%2.5M-18.4M-519.3K0.6217.01N/AN/A78248832,80246,616
2019-03-04$41.83$40.0016.5%4.5%12.8%9.7%15.4%4.2%-0.3%2.7M-17.5M-520.5K0.4517.28N/AN/A46620832,68046,453
2019-03-05$42.38$40.0015.6%4.1%13.6%6.9%13.7%3.8%-0.2%4.1M-34.6M-497.8K0.4717.48N/AN/A86340832,88346,541
2019-03-06$42.09$40.0016.1%4.4%13.3%8.3%14.0%3.8%0.1%3.8M-29.5M-502.5K0.5613.33N/AN/A87249033,14746,739
2019-03-07$41.39$40.0016.8%4.7%13.9%10.6%16.1%3.6%-0.3%2.1M-10.2M-509.7K0.3512.19N/AN/A2,40385133,11746,924
2019-03-08$41.12$40.0016.3%5.0%13.7%9.1%14.9%4.7%1.0%816.4K-1.6M-514.6K0.6388.89N/AN/A2,3271,46633,21747,121
2019-03-11$41.99$42.0016.0%4.8%15.5%8.2%17.7%3.7%1.0%4.3M-22.9M-511.9K1.3833.52N/AN/A5,8668,10233,19947,839
2019-03-12$42.19$42.0015.6%4.7%15.4%7.0%16.0%-16.4%1.2%5.3M-31.8M-527.6K0.4737.78N/AN/A1,33362136,16651,952
2019-03-13$42.23$42.0015.8%4.6%15.2%7.4%16.3%3.5%-0.1%5.6M-33.7M-528.2K0.6935.47N/AN/A93464636,62252,096
2019-03-14$42.06$42.0015.1%4.6%15.0%5.3%16.1%3.9%0.5%7.4M-26.1M-537.4K0.2328.14N/AN/A2,26052936,89052,111
2019-03-15$42.51$42.0015.9%4.2%15.3%7.7%15.4%-6.4%-0.1%3.0M-48.2M-527.1K0.4537.00N/AN/A1,35560338,32352,101
2019-03-18$43.06$42.0014.3%4.3%15.7%2.9%16.0%3.5%-0.3%2.6M-33.7M-506.3K1.8332.83N/AN/A39171427,44140,744
2019-03-19$43.00$42.0014.2%4.4%15.3%2.5%15.4%2.7%0.3%2.6M-34.1M-518.9K2.4128.14N/AN/A7101,71027,86141,350
2019-03-20$43.19$42.0014.8%4.6%15.3%4.5%16.3%2.2%-0.5%2.2M-33.3M-527.9K2.3982.39N/AN/A6911,65027,96842,327
2019-03-21$43.07$42.0014.5%4.3%15.3%3.4%16.3%2.9%-0.2%2.6M-32.8M-510.2K1.5740.58N/AN/A6831,07428,14342,345
2019-03-22$41.85$42.0020.4%4.8%18.4%21.6%16.5%4.0%16.7%1.1M-9.3M-525.1K0.9747.42N/AN/A1,0491,02228,24342,833
2019-03-25$41.94$42.0023.6%4.9%17.6%31.1%16.2%10.1%-0.4%1.0M-10.8M-535.6K0.3729.74N/AN/A45116928,72543,060
2019-03-26$41.93$42.0016.3%4.8%17.6%9.0%16.6%4.0%0.3%1.5M-13.4M-533.6K6.8079.81N/AN/A1641,11629,12542,923
2019-03-27$41.74$42.0030.3%4.8%17.4%51.2%17.6%5.2%-11.5%941.9K-5.1M-540.5K4.8180.75N/AN/A2601,25029,20643,607
2019-03-28$41.98$42.0016.7%4.8%17.2%10.1%17.6%3.9%0.3%1.4M-10.4M-525.7K2.3581.13N/AN/A34981929,23043,711
2019-03-29$42.49$42.0015.9%4.8%17.7%7.8%16.9%3.8%0.2%1.2M-21.4M-530.0K1.3381.80N/AN/A8021,06629,35243,986