VWO Options History — June 2019

In June 2019, VWO traded between $40.53 and $42.58. ATM implied volatility averaged 16.9%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.6% (HV 20d: 15.3%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2019-06-14: Highest Volume — 13,387 contracts
  • 2019-06-20: Largest IV drop — 6.5% change
  • 2019-06-05: Highest IV Rank — 14.8%
  • 2019-06-05: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.54$40.53$42.58$40.84$42.47
Max Pain$41.85$41.00$42.00$41.00$42.00
ATM IV16.9%15.3%18.2%18.1%17.2%
Expected Move4.8%4.3%5.2%5.2%5.0%
HV 20d15.3%12.0%20.4%20.4%14.5%
HV 60d15.9%15.6%16.3%16.3%15.7%
IV Rank10.7%6.0%14.8%14.6%11.7%
IV Percentile39.7%15.5%56.7%56.0%46.0%
Term Structure1.0%-0.9%16.4%-0.3%0.4%
VWIV17.6%16.1%19.1%17.4%18.4%
Skew 25d3.9%2.3%8.2%3.2%2.6%
Skew 10d7.1%-0.2%13.0%11.8%7.0%
Call IV 25d15.2%10.3%17.7%17.7%16.1%
Put IV 25d19.1%17.8%21.0%20.9%18.7%
Bid-Ask Spread %83.6820.5592.4088.8820.55
Gamma HHI0.110.090.210.100.10
Net GEX1.5M-139.8K5.0M505.3K2.1M
Net DEX5.7M-31.1M31.5M22.8M-19.0M
Net VEX-548.7K-572.8K-528.1K-572.8K-546.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.076.420.720.95
Total Volume4,231.5523013,3876261,108
Total OI85,74176,03491,15184,91680,127

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$40.84$41.0018.1%5.2%20.4%14.6%17.4%3.2%-0.3%505.3K22.8M-572.8K0.7288.88N/AN/A36426234,23450,682
2019-06-04$40.89$41.0017.9%5.1%19.3%13.8%18.4%5.5%-0.0%728.8K22.6M-568.9K1.9783.34N/AN/A34467834,49050,826
2019-06-05$40.53$41.0018.2%5.2%18.1%14.8%18.8%5.3%0.2%-81.6K31.4M-554.9K1.2684.83N/AN/A61978134,56651,126
2019-06-06$40.62$42.0017.3%4.8%18.1%12.1%18.3%3.9%0.1%104.3K30.8M-555.3K1.3691.59N/AN/A71396934,51051,071
2019-06-07$40.94$42.0017.1%4.9%17.8%11.6%16.1%8.2%0.1%1.0M22.2M-555.6K1.1892.40N/AN/A71184234,55851,316
2019-06-10$41.30$42.0016.5%4.8%18.0%9.7%16.8%4.4%0.5%2.0M12.5M-545.4K2.3488.11N/AN/A3,3487,83534,50451,284
2019-06-11$41.70$42.0016.5%4.5%13.4%9.7%17.3%3.6%-0.9%2.2M3.6M-563.8K2.3989.17N/AN/A3,2917,86435,31655,104
2019-06-12$41.20$42.0017.4%4.8%13.5%12.4%16.8%3.2%-0.5%1.3M18.0M-550.9K2.2990.47N/AN/A3,4587,91535,37555,130
2019-06-13$41.20$42.0017.0%4.9%13.4%11.3%16.7%5.1%-0.1%935.9K22.2M-555.3K2.1091.81N/AN/A3,8338,05235,54655,170
2019-06-14$40.82$42.0017.0%4.9%13.8%11.3%17.2%2.3%-0.0%-139.8K31.4M-555.0K1.5891.64N/AN/A5,1908,19735,87255,279
2019-06-17$40.62$42.0016.8%4.8%12.0%10.7%19.1%3.4%0.8%-49631.5M-540.6K6.4282.57N/AN/A3119934,80855,351
2019-06-18$41.58$42.0016.5%4.7%14.4%9.6%19.1%4.0%0.7%3.4M-123.9K-539.0K0.8588.97N/AN/A41235234,83754,287
2019-06-19$41.92$42.0016.4%4.7%14.2%9.2%18.0%3.9%16.4%5.0M-10.0M-549.4K0.6191.77N/AN/A39724235,14854,383
2019-06-20$42.53$42.0015.3%4.3%14.9%6.0%17.0%3.0%0.4%4.2M-31.1M-528.1K0.0790.91N/AN/A3,09522635,18654,399
2019-06-21$42.40$42.0016.0%4.6%13.3%8.2%17.3%3.8%-0.9%2.0M-29.8M-533.3K0.5589.99N/AN/A3,6942,03936,30254,700
2019-06-24$42.33$42.0015.8%4.5%13.4%7.7%16.3%2.9%1.0%1.1M-12.3M-532.7K0.2277.37N/AN/A83818529,53446,500
2019-06-25$41.90$42.0016.6%4.8%14.2%10.0%17.5%3.3%1.2%465.4K-1.7M-541.4K0.0778.86N/AN/A2,08913930,05046,608
2019-06-26$42.34$42.0016.4%4.7%14.4%9.4%17.4%3.3%0.9%1.4M-13.3M-547.2K0.4979.11N/AN/A44922231,57946,674
2019-06-27$42.58$42.0017.0%4.8%14.4%11.1%17.6%3.3%0.4%1.6M-18.3M-538.4K0.0781.32N/AN/A3,41423431,66846,720
2019-06-28$42.47$42.0017.2%5.0%14.5%11.7%18.4%2.6%0.4%2.1M-19.0M-546.8K0.9520.55N/AN/A56754133,38646,741