VWO Options History — April 2019

In April 2019, VWO traded between $43.00 and $44.02. ATM implied volatility averaged 15.3%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.1% (HV 20d: 14.2%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.45.

Notable Days

  • 2019-04-04: Highest Volume — 12,981 contracts
  • 2019-04-23: Largest IV spike — 120.8% change
  • 2019-04-23: Highest IV Rank — 57.6%
  • 2019-04-03: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.58$43.00$44.02$43.16$43.39
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV15.3%13.6%32.4%15.6%13.8%
Expected Move4.1%3.8%4.7%4.6%3.8%
HV 20d14.2%9.0%18.4%18.4%9.0%
HV 60d14.8%13.7%16.3%16.3%13.7%
IV Rank5.8%0.7%57.6%6.7%1.3%
IV Percentile10.4%0.4%97.6%17.5%1.6%
Term Structure1.7%-0.7%19.4%0.2%0.3%
VWIV14.5%13.1%16.4%15.1%14.9%
Skew 25d2.7%-1.5%5.5%3.1%3.3%
Skew 10d6.5%0.8%12.0%0.9%7.3%
Call IV 25d15.3%11.5%58.4%13.6%12.2%
Put IV 25d18.0%14.6%56.9%16.8%15.4%
Bid-Ask Spread %85.7679.8091.1182.2190.30
Gamma HHI0.130.110.190.110.12
Net GEX3.2M1.8M5.2M3.5M1.8M
Net DEX-40.4M-56.9M-21.7M-37.8M-21.7M
Net VEX-519.0K-565.4K-493.3K-507.8K-565.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.450.0827.180.087.88
Total Volume3,333.85711012,9811,2208,595
Total OI75,282.71469,41179,83273,03378,717

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$43.16$42.0015.6%4.6%18.4%6.7%15.1%3.1%0.2%3.5M-37.8M-507.8K0.0882.21N/AN/A1,1318929,29143,742
2019-04-02$43.00$42.0015.4%4.6%18.0%6.3%16.2%3.5%-0.1%3.5M-34.2M-496.4K0.1082.05N/AN/A1,16911129,33743,789
2019-04-03$43.27$42.0015.3%4.7%17.8%5.8%16.4%2.9%0.1%4.3M-41.0M-493.3K0.1279.80N/AN/A1,77221729,34643,802
2019-04-04$43.49$42.0014.5%4.5%16.5%3.5%16.3%2.7%0.3%5.2M-48.1M-497.7K9.0781.20N/AN/A1,28911,69230,15043,829
2019-04-05$43.84$42.0015.0%4.2%16.3%4.9%15.7%2.4%6.9%3.6M-52.1M-535.3K1.3282.07N/AN/A1,7992,36830,17647,646
2019-04-08$43.82$42.0013.9%4.2%14.9%1.8%14.6%3.0%0.5%2.7M-48.1M-520.4K0.2680.70N/AN/A872329,00147,474
2019-04-09$43.80$42.0014.0%4.0%14.9%2.2%13.1%3.2%0.3%2.8M-47.1M-522.7K0.9583.44N/AN/A1,03598029,03047,494
2019-04-10$43.97$42.0014.1%4.1%14.9%2.3%13.5%2.5%0.1%2.6M-51.2M-516.4K0.5683.46N/AN/A1,9361,07829,06647,420
2019-04-11$43.43$42.0014.5%4.4%15.6%3.4%14.2%2.7%1.2%3.6M-40.6M-525.7K0.5985.84N/AN/A1,8961,12530,13647,438
2019-04-12$43.67$42.0013.9%4.0%15.3%1.8%14.5%2.4%0.1%3.6M-47.5M-518.8K0.9587.00N/AN/A90986630,23747,482
2019-04-15$43.44$42.0015.1%4.4%14.9%5.3%15.5%3.0%-0.7%3.9M-42.5M-507.9K0.2485.33N/AN/A66315830,20247,375
2019-04-16$43.83$42.0015.1%3.9%15.2%5.4%13.6%3.0%19.4%3.6M-50.0M-501.5K4.0089.49N/AN/A2951,18030,31647,327
2019-04-17$43.95$42.0013.6%3.9%15.1%0.7%13.4%1.7%3.6%3.3M-54.0M-501.6K0.1290.15N/AN/A4,05749430,33647,218
2019-04-18$44.02$42.0013.6%3.9%15.1%0.9%13.5%3.5%0.6%4.1M-56.9M-519.5K0.4291.11N/AN/A1,21051232,31047,522
2019-04-22$43.75$42.0014.7%4.1%10.6%4.0%13.5%3.2%-0.0%2.9M-35.2M-511.1K0.8084.56N/AN/A14111327,82441,587
2019-04-23$43.82$42.0032.4%3.8%10.6%57.6%13.5%-1.5%3.3%2.9M-35.7M-500.9K1.7389.62N/AN/A16228127,90841,675
2019-04-24$43.38$42.0014.3%4.0%11.4%2.9%14.5%3.1%0.1%2.6M-28.1M-514.9K9.7083.95N/AN/A5124,96828,25341,850
2019-04-25$43.32$42.0014.2%3.9%11.3%2.6%13.4%2.0%-0.7%2.2M-22.6M-553.9K5.9390.11N/AN/A8555,07428,24146,445
2019-04-26$43.41$42.0014.0%4.0%11.2%1.9%14.0%5.5%-0.4%2.7M-26.8M-544.0K0.4690.80N/AN/A93443028,49446,633
2019-04-29$43.40$42.0013.6%3.9%10.5%0.8%14.8%2.1%0.5%2.4M-26.9M-543.5K27.1887.69N/AN/A2777,52828,29546,523
2019-04-30$43.39$42.0013.8%3.8%9.0%1.3%14.9%3.3%0.3%1.8M-21.7M-565.4K7.8890.30N/AN/A9687,62728,51850,199