VWO Options History — December 2019

In December 2019, VWO traded between $41.84 and $44.70. ATM implied volatility averaged 14.6%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.3% (HV 20d: 10.3%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2019-12-19: Highest Volume — 8,940 contracts
  • 2019-12-13: Largest IV spike — 93.4% change
  • 2019-12-13: Highest IV Rank — 60.8%
  • 2019-12-03: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.61$41.84$44.70$42.02$44.52
Max Pain$42.33$42.00$43.00$42.00$43.00
ATM IV14.6%11.4%29.5%14.6%14.4%
Expected Move3.9%3.3%4.6%4.4%4.2%
HV 20d10.3%8.9%11.6%9.4%10.3%
HV 60d11.4%10.8%12.2%11.5%10.8%
IV Rank8.4%0.0%60.8%7.0%10.5%
IV Percentile17.5%0.0%96.8%23.4%25.0%
Term Structure-0.1%-22.6%12.3%0.4%0.4%
VWIV13.8%11.3%16.7%14.6%16.1%
Skew 25d2.1%-9.0%5.8%2.7%2.8%
Skew 10d6.6%-5.4%12.1%10.4%8.1%
Call IV 25d14.7%11.6%34.8%13.4%13.2%
Put IV 25d16.8%13.3%31.9%16.1%16.0%
Bid-Ask Spread %78.8723.01113.0568.2482.17
Gamma HHI0.170.100.260.110.17
Net GEX3.6M-322.9K7.5M250.3K4.1M
Net DEX-30.5M-67.9M7.7M3.9M-31.7M
Net VEX-381.5K-413.8K-291.8K-413.8K-380.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.055.152.101.03
Total Volume1,389.5242118,940251233
Total OI81,030.42975,23090,07479,99776,332

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$42.02$42.0014.6%4.4%9.4%7.0%14.6%2.7%0.4%250.3K3.9M-413.8K2.1068.24N/AN/A8117033,73946,258
2019-12-03$41.84$42.0014.7%4.6%8.9%7.2%16.7%1.9%0.4%-322.9K7.7M-404.8K2.8460.45N/AN/A3811,08133,79946,356
2019-12-04$42.26$42.0013.7%4.1%9.6%3.7%15.6%2.6%0.8%1.0M-2.4M-408.3K0.2885.94N/AN/A2065834,03347,228
2019-12-05$42.52$42.0014.1%4.0%9.9%5.1%14.1%2.8%0.3%1.5M-7.5M-398.0K0.2889.53N/AN/A1674734,09847,255
2019-12-06$42.69$42.0018.6%4.0%9.6%21.5%15.0%5.8%12.3%2.1M-12.6M-403.2K0.4997.22N/AN/A38218934,16647,265
2019-12-09$42.50$42.0014.4%4.3%9.2%6.2%14.4%3.2%0.9%1.5M-7.6M-386.3K0.1287.25N/AN/A3323934,24247,294
2019-12-10$42.60$42.0014.4%4.1%9.0%6.1%13.9%2.9%-0.1%1.6M-10.3M-384.7K0.7679.95N/AN/A1209134,40147,306
2019-12-11$43.16$42.0013.5%4.2%9.6%2.9%14.3%2.5%2.9%3.6M-25.6M-386.7K0.0892.63N/AN/A1,64813434,50047,382
2019-12-12$43.80$42.0015.2%4.2%10.4%9.3%14.3%0.2%-0.7%5.6M-45.3M-386.9K0.1999.09N/AN/A67513136,00447,369
2019-12-13$43.72$42.0029.5%3.9%10.5%60.8%14.0%-9.0%-22.6%4.9M-44.7M-355.9K0.15113.05N/AN/A2694036,12647,392
2019-12-16$44.08$42.0013.1%3.8%10.6%1.6%11.4%3.3%0.1%7.2M-58.6M-353.2K0.0644.93N/AN/A1,96612136,23347,315
2019-12-17$44.43$42.0013.2%3.8%10.8%1.9%13.2%2.6%0.9%7.5M-67.9M-291.8K2.00109.10N/AN/A6751,35136,26347,381
2019-12-18$44.62$42.0012.3%3.5%10.8%0.0%12.5%2.1%0.3%7.1M-67.4M-363.2K5.1530.72N/AN/A7763,99436,54548,044
2019-12-19$44.66$42.0012.6%3.6%10.5%1.2%13.1%3.1%-0.3%5.1M-65.4M-375.4K0.0592.32N/AN/A8,48445636,85451,918
2019-12-20$44.70$43.0011.4%3.3%10.5%0.0%12.1%1.2%-0.4%5.6M-54.4M-377.9K0.2889.32N/AN/A82523137,88252,192
2019-12-23$44.20$43.0013.3%3.8%11.6%6.3%11.3%3.0%0.3%3.2M-25.3M-397.5K0.6271.46N/AN/A40124728,83646,394
2019-12-24$44.12$43.0012.9%3.6%11.4%5.2%12.4%2.6%0.5%3.2M-25.4M-390.0K0.2123.01N/AN/A2084428,93346,491
2019-12-26$44.51$43.0012.8%3.6%11.3%4.8%12.5%2.5%0.7%3.9M-33.5M-379.7K0.5476.99N/AN/A40221929,13246,512
2019-12-27$44.56$43.0013.3%3.8%11.3%6.4%13.0%2.2%-0.2%3.9M-34.7M-386.4K0.4780.93N/AN/A85240129,34246,583
2019-12-30$44.39$43.0014.0%4.1%10.4%8.7%14.4%3.0%0.1%3.9M-31.0M-388.4K0.9081.95N/AN/A55449929,55446,690
2019-12-31$44.52$43.0014.4%4.2%10.3%10.5%16.1%2.8%0.4%4.1M-31.7M-380.6K1.0382.17N/AN/A11511829,53246,800