VWO Options History — July 2019

In July 2019, VWO traded between $41.86 and $43.12. ATM implied volatility averaged 14.5%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 11.7%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.18.

Notable Days

  • 2019-07-19: Highest Volume — 5,294 contracts
  • 2019-07-10: Largest IV drop — 9.1% change
  • 2019-07-31: Highest IV Rank — 7.7%
  • 2019-07-30: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.72$41.86$43.12$43.12$41.86
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV14.5%13.5%15.8%15.3%15.8%
Expected Move4.1%3.8%4.5%4.3%4.3%
HV 20d11.7%6.8%15.2%15.2%7.1%
HV 60d15.6%14.9%15.9%15.9%14.9%
IV Rank3.5%0.7%7.7%6.0%7.7%
IV Percentile9.5%0.4%28.6%15.5%28.6%
Term Structure0.1%-1.6%1.2%0.0%-1.6%
VWIV14.5%13.3%15.6%13.3%14.2%
Skew 25d4.0%1.3%17.6%3.9%3.9%
Skew 10d10.0%0.6%57.4%5.5%57.4%
Call IV 25d13.1%9.2%14.0%13.8%14.0%
Put IV 25d17.0%15.1%31.4%17.7%17.8%
Bid-Ask Spread %42.6511.1686.9185.2675.77
Gamma HHI0.150.120.250.120.12
Net GEX4.5M1.5M7.6M3.1M1.5M
Net DEX-24.6M-38.1M9.1M-38.1M9.1M
Net VEX-497.6K-526.5K-469.9K-522.2K-485.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.096.860.610.09
Total Volume1,967.5453255,2944503,454
Total OI83,914.22780,39687,18880,39683,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$43.12$42.0015.3%4.3%15.2%6.0%13.3%3.9%0.0%3.1M-38.1M-522.2K0.6185.26N/AN/A28017033,55546,841
2019-07-02$43.08$42.0014.8%3.8%15.2%4.6%13.6%3.1%0.6%3.4M-37.2M-510.8K0.4512.49N/AN/A1,50767433,67946,928
2019-07-03$43.08$42.0014.6%3.9%14.7%3.9%14.0%3.1%0.2%3.5M-37.8M-526.5K1.1711.16N/AN/A56365734,62647,470
2019-07-05$42.80$42.0014.4%4.3%15.1%3.4%15.2%2.4%0.2%3.5M-31.3M-520.4K0.4077.18N/AN/A1,08543534,85447,509
2019-07-08$42.66$42.0015.3%4.4%15.1%6.1%15.6%17.6%0.3%3.3M-24.3M-510.2K0.8218.88N/AN/A60950034,38547,438
2019-07-09$42.53$42.0015.6%4.3%14.9%6.9%14.8%4.0%-1.2%3.1M-20.8M-506.9K0.2079.38N/AN/A1,56431034,84047,934
2019-07-10$42.86$42.0014.2%4.3%14.8%2.6%14.6%4.5%0.5%4.5M-33.2M-492.5K0.3228.99N/AN/A53317235,60447,970
2019-07-11$42.74$42.0014.3%4.1%14.1%3.1%15.2%3.7%0.1%4.7M-28.5M-508.7K0.7483.63N/AN/A89666435,86648,029
2019-07-12$42.72$42.0014.2%4.0%14.1%2.8%14.4%1.3%-0.1%5.0M-28.2M-501.5K0.7120.52N/AN/A94767536,36248,259
2019-07-15$42.92$42.0013.9%3.9%13.5%1.8%15.6%3.0%0.3%6.0M-36.3M-496.2K0.9885.10N/AN/A55955036,33848,231
2019-07-16$42.90$42.0013.5%3.9%13.2%0.7%13.6%2.7%0.5%6.6M-33.4M-491.9K0.2114.20N/AN/A76616436,83148,778
2019-07-17$42.78$42.0013.6%3.9%10.9%1.0%13.9%2.7%0.2%6.4M-30.5M-490.6K0.2312.89N/AN/A91720936,99048,877
2019-07-18$42.98$42.0014.0%4.0%10.7%2.1%14.7%3.0%0.2%7.6M-37.2M-483.1K0.6886.06N/AN/A1,03069837,17148,897
2019-07-19$42.73$42.0014.1%4.0%9.7%2.5%14.8%3.1%1.2%5.0M-28.0M-484.7K0.1517.09N/AN/A4,58570937,76649,422
2019-07-22$42.67$42.0014.8%4.2%9.7%4.7%15.3%3.0%0.0%4.4M-21.0M-493.7K6.8617.62N/AN/A5423,71936,01844,788
2019-07-23$42.72$42.0014.5%4.2%9.6%3.5%14.7%3.1%0.2%4.4M-17.2M-507.8K1.0924.31N/AN/A1,9342,10636,40348,487
2019-07-24$42.81$42.0013.7%3.9%8.8%1.2%14.2%2.6%-0.4%4.9M-19.9M-490.0K3.4620.23N/AN/A6162,13037,86048,499
2019-07-25$42.56$42.0013.6%4.1%8.4%0.8%14.0%6.5%0.6%5.0M-16.2M-477.7K4.0233.02N/AN/A5972,39838,13348,480
2019-07-26$42.64$42.0014.3%4.1%8.1%3.0%13.9%3.2%-0.1%5.3M-16.8M-469.9K0.9632.08N/AN/A67865438,15548,867
2019-07-29$42.61$42.0014.6%4.3%8.1%3.8%14.5%3.3%0.2%4.1M-11.7M-495.1K1.5615.58N/AN/A12719837,72745,105
2019-07-30$42.16$42.0015.1%4.5%6.8%5.5%15.5%3.5%0.6%2.8M-1.6M-480.8K0.2486.91N/AN/A1,37233337,79845,282
2019-07-31$41.86$42.0015.8%4.3%7.1%7.7%14.2%3.9%-1.6%1.5M9.1M-485.9K0.0975.77N/AN/A3,17128337,64745,414