VWO Options History — May 2019

In May 2019, VWO traded between $39.70 and $43.76. ATM implied volatility averaged 20.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.7% (HV 20d: 16.8%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2019-05-31: Highest Volume — 13,547 contracts
  • 2019-05-09: Largest IV spike — 104.2% change
  • 2019-05-09: Highest IV Rank — 79.6%
  • 2019-05-13: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.12$39.70$43.76$43.23$40.66
Max Pain$41.14$41.00$42.00$42.00$41.00
ATM IV20.5%13.3%39.6%31.1%18.9%
Expected Move5.2%3.6%6.5%4.2%5.5%
HV 20d16.8%8.7%21.0%9.0%21.0%
HV 60d15.8%13.5%17.0%13.8%16.7%
IV Rank21.7%0.0%79.6%53.6%16.9%
IV Percentile61.2%0.0%98.8%97.2%62.3%
Term Structure-1.4%-28.3%12.6%-28.3%-0.5%
VWIV17.0%9.6%21.1%15.6%16.7%
Skew 25d5.1%-2.8%14.5%10.0%4.1%
Skew 10d6.9%-12.0%16.3%2.9%16.3%
Call IV 25d18.5%8.2%71.0%8.2%17.3%
Put IV 25d23.6%14.4%71.5%18.1%21.4%
Bid-Ask Spread %84.6775.21100.54100.5481.69
Gamma HHI0.120.090.400.130.10
Net GEX-804.8K-7.7M2.3M2.0M89.9K
Net DEX20.6M-30.3M43.7M-24.6M25.7M
Net VEX-560.7K-599.4K-519.6K-569.5K-540.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.025.855.851.55
Total Volume3,205.04521913,5478,94613,547
Total OI80,357.40976,81187,20179,50878,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$43.23$42.0031.1%4.2%9.0%53.6%15.6%10.0%-28.3%2.0M-24.6M-569.5K5.85100.54N/AN/A1,3067,64029,22650,282
2019-05-02$43.22$42.0014.6%4.1%8.7%3.8%14.4%1.3%-0.2%1.5M-18.3M-566.3K3.7594.70N/AN/A2,1167,94529,25550,293
2019-05-03$43.76$42.0013.3%3.6%9.6%0.0%9.6%4.2%0.7%2.3M-30.3M-555.2K3.4693.17N/AN/A2,3378,08529,28450,587
2019-05-06$42.82$41.0016.6%4.7%11.9%9.9%14.7%0.7%0.2%679.0K-6.4M-589.3K0.4687.66N/AN/A59127029,35350,723
2019-05-07$41.91$41.0021.3%5.6%13.9%24.0%16.9%-2.8%-1.0%-729.5K10.3M-588.5K0.8887.60N/AN/A55548629,70650,937
2019-05-08$42.00$41.0019.4%5.5%14.0%18.5%16.1%4.0%-1.2%-472.5K8.2M-594.2K0.9283.35N/AN/A51447529,79351,169
2019-05-09$41.43$41.0039.6%6.0%14.4%79.6%20.0%0.5%-1.4%-1.3M21.9M-599.4K0.7585.76N/AN/A58444029,78951,142
2019-05-10$41.62$41.0023.1%5.1%14.2%29.6%20.0%11.1%-6.1%-399.9K14.8M-589.4K2.1886.59N/AN/A7616631,16051,301
2019-05-13$40.25$41.0022.8%6.5%17.7%28.9%21.1%4.8%0.6%-2.8M43.7M-573.9K0.2575.21N/AN/A5,1791,31131,04251,135
2019-05-14$40.82$41.0019.8%5.7%18.8%19.7%20.1%5.7%-0.0%-1.5M27.1M-593.0K0.4180.69N/AN/A4,0901,68133,68351,451
2019-05-15$40.94$41.0029.8%5.5%18.4%49.8%16.8%2.2%-8.6%-1.2M24.0M-583.6K0.0278.82N/AN/A1,7023933,87351,491
2019-05-16$40.88$41.0017.3%5.2%18.3%12.1%18.0%14.5%1.6%-872.8K24.1M-578.9K0.7884.12N/AN/A1239635,42951,493
2019-05-17$40.10$41.0018.4%5.4%19.0%15.4%12.8%5.4%0.7%-7.7M40.7M-565.1K1.9184.65N/AN/A30458035,48551,716
2019-05-20$40.00$41.0019.1%5.5%19.0%17.6%16.4%5.2%-0.3%-1.1M38.5M-539.6K0.5976.24N/AN/A19611530,32246,489
2019-05-21$40.41$41.0017.1%4.9%19.6%11.3%14.8%5.8%12.6%-592.6K31.3M-543.7K0.6578.64N/AN/A25116330,42546,586
2019-05-22$40.34$41.0016.9%4.8%19.5%10.9%16.7%4.9%0.4%-774.8K34.0M-538.6K0.6075.75N/AN/A27316330,43246,607
2019-05-23$39.70$41.0019.7%5.6%20.0%19.2%17.8%5.5%0.8%-1.5M42.9M-521.3K0.5384.73N/AN/A65535030,42846,607
2019-05-24$39.85$41.0017.6%5.0%20.0%13.0%16.8%5.4%0.5%-1.4M41.7M-523.5K0.0983.67N/AN/A3,68231930,44646,687
2019-05-28$39.93$41.0018.6%5.4%20.1%16.1%20.0%4.8%-0.3%-986.6K38.5M-519.6K1.6884.07N/AN/A24641431,23446,593
2019-05-29$40.27$41.0017.9%5.1%20.6%14.0%19.0%8.4%-0.4%-527.0K34.8M-530.8K1.5486.06N/AN/A27041631,34046,653
2019-05-30$40.45$41.0018.0%5.2%20.8%14.1%19.9%6.3%0.2%-342.1K30.0M-531.1K2.4589.12N/AN/A22054031,38146,669
2019-05-31$40.66$41.0018.9%5.5%21.0%16.9%16.7%4.1%-0.5%89.9K25.7M-540.3K1.5581.69N/AN/A5,3168,23131,40346,763