VWO Options History — October 2019

In October 2019, VWO traded between $39.81 and $42.24. ATM implied volatility averaged 15.9%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.1% (HV 20d: 12.8%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 9 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 20.90.

Notable Days

  • 2019-10-29: Highest Volume — 21,248 contracts
  • 2019-10-03: Largest IV spike — 50.5% change
  • 2019-10-03: Highest IV Rank — 44.2%
  • 2019-10-03: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.13$39.81$42.24$40.00$41.75
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV15.9%12.7%27.9%17.6%14.4%
Expected Move4.4%3.4%5.2%5.1%3.8%
HV 20d12.8%10.4%14.8%13.6%11.0%
HV 60d15.6%13.6%16.3%15.3%13.7%
IV Rank8.7%0.0%44.2%13.2%5.1%
IV Percentile27.6%0.0%95.2%51.2%14.7%
Term Structure0.2%-1.3%3.4%-0.1%0.2%
VWIV14.9%10.6%18.8%10.6%12.8%
Skew 25d5.4%-3.9%27.2%12.9%2.3%
Skew 10d4.0%-28.5%15.2%3.8%0.9%
Call IV 25d14.7%10.8%21.5%16.3%13.1%
Put IV 25d20.2%14.2%46.9%29.2%15.4%
Bid-Ask Spread %78.1330.48104.7637.7164.29
Gamma HHI0.120.100.150.110.14
Net GEX-941.2K-4.4M4.4M-3.8M1.4M
Net DEX13.9M-18.1M47.3M43.6M3.0M
Net VEX-427.9K-479.1K-376.7K-451.9K-468.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.900.00325.890.080.06
Total Volume2,005.0875921,2484201,406
Total OI81,982.65277,06688,14781,25384,300

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$40.00$41.0017.6%5.1%13.6%13.2%10.6%12.9%-0.1%-3.8M43.6M-451.9K0.0837.71N/AN/A3893134,18947,064
2019-10-02$39.81$41.0018.5%5.0%12.1%15.8%17.5%26.7%-0.2%-4.0M47.3M-440.4K0.9279.29N/AN/A878034,29947,080
2019-10-03$40.20$41.0027.9%5.2%12.2%44.2%17.8%27.2%-1.3%-3.5M39.3M-455.1K0.9693.93N/AN/A545234,34247,106
2019-10-04$40.48$41.0016.8%5.2%12.5%10.7%18.3%5.3%0.1%-3.4M33.3M-444.4K15.0683.16N/AN/A691,03934,38347,102
2019-10-07$40.17$41.0018.3%5.2%12.7%15.0%18.8%3.8%0.2%-4.0M38.4M-430.8K2.2371.24N/AN/A25957734,38847,913
2019-10-08$39.84$41.0018.1%5.2%12.9%14.5%18.5%7.6%-0.1%-4.4M47.3M-426.5K1.1785.92N/AN/A465434,30847,753
2019-10-09$40.16$41.0017.9%5.2%12.9%13.9%16.9%4.3%-0.1%-4.4M39.8M-420.0K0.8989.19N/AN/A716334,34347,770
2019-10-10$40.53$41.0017.3%4.7%13.0%12.1%14.9%4.3%-1.3%-3.9M31.2M-430.7K0.5080.13N/AN/A864334,39547,770
2019-10-11$41.25$41.0016.5%4.8%14.6%9.7%15.8%-3.9%0.6%-1.8M10.6M-419.9K0.83101.94N/AN/A39732834,46547,785
2019-10-14$41.00$41.0015.4%4.5%14.5%6.3%14.8%3.7%2.4%-3.4M15.4M-402.1K2.1155.37N/AN/A194034,65147,936
2019-10-15$41.28$41.0015.0%4.3%14.7%5.1%14.6%3.2%-0.3%-2.2M7.8M-394.5K0.2670.26N/AN/A2386134,65147,971
2019-10-16$41.39$41.0014.8%4.3%14.7%4.7%13.3%3.8%-0.5%-2.0M4.2M-385.8K0.0085.97N/AN/A1,081434,77748,020
2019-10-17$41.52$41.0013.5%3.8%14.6%0.7%14.8%3.5%1.2%-473.8K-2.4M-376.7K127.1488.00N/AN/A648,13735,81848,016
2019-10-18$41.42$41.0014.6%4.2%14.7%4.0%14.2%3.0%-0.2%-1.6M5.6M-431.4K0.1630.48N/AN/A3105135,94052,207
2019-10-21$41.66$41.0012.7%3.9%14.8%0.0%12.8%-2.6%3.4%863.1K3.1M-426.4K0.0287.45N/AN/A4,8199131,48145,585
2019-10-22$41.64$41.0014.4%3.9%12.3%5.1%12.3%3.0%0.2%1.6M-1.8M-429.7K0.0684.42N/AN/A7244334,01945,651
2019-10-23$41.72$41.0014.2%3.9%12.3%4.4%15.3%3.3%0.0%1.9M-2.1M-429.8K0.6571.39N/AN/A1479534,83645,682
2019-10-24$41.76$41.0013.9%3.8%12.2%3.7%14.9%3.6%0.1%2.1M-3.5M-429.1K0.4890.00N/AN/A21910534,79045,716
2019-10-25$41.99$41.0013.7%3.6%11.0%3.0%13.5%2.0%-0.1%3.3M-8.4M-429.6K0.3988.02N/AN/A84432734,95745,742
2019-10-28$42.24$41.0013.9%4.0%11.0%3.6%14.3%2.6%0.5%4.4M-18.1M-424.0K0.0889.56N/AN/A1,92616035,59945,966
2019-10-29$42.00$41.0014.0%3.7%10.8%3.9%14.9%4.8%0.4%2.7M-10.8M-416.2K325.8964.42N/AN/A6521,18334,76045,919
2019-10-30$42.15$41.0013.2%3.4%10.4%1.4%11.7%0.7%0.3%2.9M-4.0M-479.1K0.73104.76N/AN/A1359834,76249,394
2019-10-31$41.75$41.0014.4%3.8%11.0%5.1%12.8%2.3%0.2%1.4M3.0M-468.0K0.0664.29N/AN/A1,3327434,87649,424