VWO Options History — November 2019 In November 2019, VWO traded between $41.99 and $43.22. ATM implied volatility averaged 14.9%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.9% (HV 20d: 11.0%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.93.
Notable Days 2019-11-15 : Highest Volume — 5,050 contracts2019-11-08 : Largest IV spike — 44.2% change2019-11-08 : Highest IV Rank — 25.7%2019-11-13 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $42.46 $41.99 $43.22 $42.47 $42.03 Max Pain $41.95 $41.00 $42.00 $41.00 $42.00 ATM IV 14.9% 13.5% 19.8% 13.5% 14.8% Expected Move 4.2% 3.8% 4.5% 3.8% 4.3% HV 20d 11.0% 10.2% 12.1% 12.1% 11.3% HV 60d 12.4% 11.4% 13.8% 13.8% 11.5% IV Rank 8.0% 2.8% 25.7% 2.9% 7.5% IV Percentile 21.9% 1.6% 74.2% 1.6% 24.6% Term Structure -0.1% -5.0% 3.0% -0.3% 0.4% VWIV 14.7% 12.8% 18.2% 12.9% 14.9% Skew 25d 3.1% -0.6% 6.7% 2.7% 2.1% Skew 10d 5.2% -9.2% 9.9% 1.1% 5.0% Call IV 25d 13.4% 11.2% 17.3% 12.1% 13.5% Put IV 25d 16.5% 14.6% 20.9% 14.8% 15.6% Bid-Ask Spread % 84.24 40.95 100.69 100.01 48.45 Gamma HHI 0.15 0.10 0.20 0.15 0.10 Net GEX 2.6M -71.0K 4.9M 4.9M -71.0K Net DEX -12.0M -31.4M 3.6M -13.4M 3.6M Net VEX -436.8K -465.5K -410.9K -463.0K -424.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.93 0.03 32.07 0.17 5.76 Total Volume 792.5 118 5,050 908 257 Total OI 81,698.55 77,688 84,651 83,100 80,647
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-11-01 $42.47 $41.00 13.5% 3.8% 12.1% 2.9% 12.9% 2.7% -0.3% 4.9M -13.4M -463.0K 0.17 100.01 N/A N/A 779 129 33,653 49,447 2019-11-04 $42.83 $42.00 13.9% 4.4% 11.7% 4.3% 15.5% 3.2% 0.8% 3.4M -24.0M -452.3K 0.12 90.25 N/A N/A 1,341 155 33,485 49,422 2019-11-05 $42.99 $42.00 18.2% 4.4% 10.9% 19.9% 15.6% 5.5% -2.4% 3.8M -28.3M -449.2K 0.43 89.69 N/A N/A 323 139 33,446 49,468 2019-11-06 $42.91 $42.00 14.2% 4.4% 10.9% 5.4% 15.1% 1.9% 3.0% 3.9M -24.5M -444.4K 0.03 98.27 N/A N/A 373 13 33,581 49,564 2019-11-07 $43.22 $42.00 13.7% 4.2% 10.8% 3.7% 13.9% 4.3% -0.1% 4.4M -31.4M -465.5K 0.74 100.13 N/A N/A 424 314 33,802 49,570 2019-11-08 $42.81 $42.00 19.8% 4.2% 10.3% 25.7% 15.5% -0.6% -5.0% 4.3M -23.8M -446.9K 1.31 100.69 N/A N/A 51 67 34,130 49,811 2019-11-11 $42.59 $42.00 15.4% 4.3% 10.2% 10.0% 16.2% 6.7% 0.4% 4.2M -17.8M -434.3K 0.16 56.83 N/A N/A 283 45 34,042 49,775 2019-11-12 $42.25 $42.00 15.5% 4.4% 10.6% 10.3% 15.3% 3.4% 0.0% 3.0M -9.4M -434.8K 1.25 94.98 N/A N/A 56 70 34,203 49,770 2019-11-13 $42.00 $42.00 15.3% 4.5% 10.9% 9.5% 17.6% 3.6% 0.2% 1.9M -1.8M -437.6K 1.20 40.95 N/A N/A 366 439 34,243 49,769 2019-11-14 $41.99 $42.00 15.1% 4.4% 10.9% 8.7% 18.2% 3.0% 0.2% 2.1M -1.5M -424.4K 2.04 87.67 N/A N/A 51 104 34,491 50,052 2019-11-15 $42.25 $42.00 14.7% 4.2% 11.0% 7.4% 14.5% 2.4% 0.3% 2.7M -9.6M -421.4K 0.05 94.61 N/A N/A 4,800 250 34,516 50,135 2019-11-18 $42.25 $42.00 14.6% 4.2% 10.8% 6.8% 13.9% 2.9% 0.4% 1.7M -8.3M -438.0K 1.53 84.21 N/A N/A 141 216 33,811 43,877 2019-11-19 $42.41 $42.00 13.9% 4.0% 10.9% 4.3% 12.9% 2.5% -0.1% 2.1M -10.9M -438.1K 5.48 85.66 N/A N/A 164 898 33,911 44,019 2019-11-20 $42.24 $42.00 14.9% 4.3% 11.0% 8.0% 14.7% 3.0% -0.3% 1.5M -5.1M -438.4K 32.07 85.72 N/A N/A 27 866 33,998 44,847 2019-11-21 $42.25 $42.00 14.8% 4.3% 11.0% 7.8% 13.9% 3.4% -0.2% 1.3M -3.7M -443.1K 0.56 86.40 N/A N/A 132 74 34,017 45,350 2019-11-22 $42.24 $42.00 14.4% 4.0% 10.9% 6.3% 12.9% 2.5% 0.3% 985.6K -3.7M -435.0K 0.96 84.65 N/A N/A 184 176 33,984 45,377 2019-11-25 $42.60 $42.00 13.5% 3.9% 11.1% 2.8% 13.1% 1.8% 0.1% 2.5M -11.1M -422.0K 0.71 86.22 N/A N/A 768 549 33,922 45,392 2019-11-26 $42.35 $42.00 13.5% 3.8% 11.1% 2.8% 12.8% 3.7% -0.4% 1.5M -5.7M -412.4K 3.42 80.62 N/A N/A 113 386 34,237 45,758 2019-11-27 $42.51 $42.00 14.2% 4.0% 11.1% 5.3% 13.6% 3.3% -0.3% 2.2M -9.8M -410.9K 0.51 88.70 N/A N/A 216 111 34,329 46,120 2019-11-29 $42.03 $42.00 14.8% 4.3% 11.3% 7.5% 14.9% 2.1% 0.4% -71.0K 3.6M -424.1K 5.76 48.45 N/A N/A 38 219 34,478 46,169
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