VWO Options History — August 2019

In August 2019, VWO traded between $39.09 and $41.01. ATM implied volatility averaged 20.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.9% (HV 20d: 18.5%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.39.

Notable Days

  • 2019-08-16: Highest Volume — 5,208 contracts
  • 2019-08-13: Largest IV spike — 71.9% change
  • 2019-08-13: Highest IV Rank — 63.3%
  • 2019-08-14: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.89$39.09$41.01$41.01$40.34
Max Pain$41.45$41.00$42.00$42.00$41.00
ATM IV20.4%17.5%34.2%17.8%18.5%
Expected Move5.6%5.1%6.6%5.3%5.1%
HV 20d18.5%9.8%21.4%9.8%20.7%
HV 60d15.6%14.9%16.4%14.9%16.0%
IV Rank21.4%12.7%63.3%13.4%15.8%
IV Percentile65.9%50.8%97.6%54.8%56.0%
Term Structure0.2%-2.9%8.2%1.6%-0.6%
VWIV18.3%9.4%24.7%17.8%19.2%
Skew 25d4.9%-1.4%11.8%-1.4%5.2%
Skew 10d5.9%-45.4%24.6%24.6%14.8%
Call IV 25d19.0%12.3%65.7%15.4%16.3%
Put IV 25d23.9%14.1%67.1%14.1%21.5%
Bid-Ask Spread %67.1328.5594.2762.8645.77
Gamma HHI0.090.080.100.090.09
Net GEX-1.9M-4.8M-364.6K-550.0K-364.6K
Net DEX38.2M19.9M55.8M19.9M25.9M
Net VEX-466.7K-486.4K-423.6K-434.5K-478.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.390.0041.340.230.55
Total Volume1,929.773905,2082,193121
Total OI87,036.68280,43493,88081,56087,638

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$41.01$42.0017.8%5.3%9.8%13.4%17.8%-1.4%1.6%-550.0K19.9M-434.5K0.2362.86N/AN/A1,78640736,69544,865
2019-08-02$40.60$42.0017.9%5.4%10.1%14.0%18.8%2.7%-1.1%-1.6M32.2M-461.6K0.5094.27N/AN/A30215136,88344,992
2019-08-05$39.25$42.0023.4%6.5%15.0%30.7%19.9%6.0%-0.1%-3.2M55.3M-456.8K0.0575.51N/AN/A4,67223635,76644,668
2019-08-06$39.75$42.0021.5%5.6%16.1%24.7%16.7%0.5%-1.3%-2.8M44.2M-468.0K1.2181.61N/AN/A2,0002,41838,04444,814
2019-08-07$39.93$42.0020.5%5.7%15.9%21.7%18.5%11.8%-0.3%-2.3M41.1M-483.9K0.1076.48N/AN/A2582539,98247,214
2019-08-08$40.50$42.0017.5%5.3%17.1%12.7%17.5%7.0%-0.1%-1.3M28.9M-468.3K0.5280.65N/AN/A1,57681440,07747,151
2019-08-09$40.15$42.0017.6%5.2%17.2%13.0%18.3%4.0%0.8%-1.3M34.7M-423.6K0.9080.84N/AN/A1,02292441,33947,926
2019-08-12$39.65$42.0019.9%5.5%17.2%20.0%18.3%5.7%-0.9%-3.3M46.2M-452.0K1.0245.18N/AN/A20821343,18748,629
2019-08-13$40.09$42.0034.2%5.5%18.0%63.3%15.8%1.4%-2.9%-738.9K32.8M-469.7K0.0281.37N/AN/A2,4575943,27348,807
2019-08-14$39.09$42.0022.3%6.6%19.6%27.2%19.2%6.7%0.4%-4.7M55.8M-455.5K0.2079.90N/AN/A78215544,17848,831
2019-08-15$39.27$41.0021.9%6.5%19.6%25.8%20.1%6.7%1.1%-4.8M51.1M-455.0K21.6356.01N/AN/A1703,67744,82748,722
2019-08-16$39.75$41.0020.1%5.6%20.5%20.6%18.8%5.5%-1.0%-1.6M39.6M-448.3K41.3476.43N/AN/A1235,08544,85849,022
2019-08-19$39.89$41.0018.6%5.4%20.6%16.1%17.2%4.6%0.1%-1.7M35.8M-479.6K0.0044.87N/AN/A5,066936,44145,613
2019-08-20$39.99$41.0018.2%5.2%20.6%14.8%9.4%4.0%0.2%-1.3M32.9M-486.4K1.5375.50N/AN/A36055239,05545,619
2019-08-21$40.24$41.0017.8%5.1%20.8%13.5%17.5%5.4%8.2%-903.2K29.4M-479.6K0.8573.51N/AN/A27323139,31845,895
2019-08-22$39.81$41.0018.0%5.1%21.0%14.1%17.5%3.7%1.0%-1.7M38.1M-474.7K0.9128.55N/AN/A474339,42746,101
2019-08-23$39.28$41.0020.6%5.8%21.2%22.2%20.3%4.3%0.8%-2.1M46.4M-478.4K0.0380.08N/AN/A1,5705239,45346,119
2019-08-26$39.47$41.0021.3%6.1%21.4%24.3%24.7%6.2%-0.7%-1.7M41.5M-481.3K2.1573.69N/AN/A4721,01740,70646,108
2019-08-27$39.65$41.0020.9%6.0%21.4%23.1%19.5%6.0%-0.1%-1.4M38.8M-478.4K0.5273.15N/AN/A45223441,13546,149
2019-08-28$39.68$41.0020.7%5.8%21.4%22.4%19.3%6.9%0.2%-1.4M38.0M-477.3K0.1258.05N/AN/A1,99123441,38246,305
2019-08-29$40.10$41.0019.1%5.3%20.8%17.4%18.3%5.2%-0.6%-972.4K31.4M-475.1K0.2032.52N/AN/A1763541,06846,525
2019-08-30$40.34$41.0018.5%5.1%20.7%15.8%19.2%5.2%-0.6%-364.6K25.9M-478.3K0.5545.77N/AN/A784341,10146,537