VWO Options History — January 2020

In January 2020, VWO traded between $41.90 and $45.86. ATM implied volatility averaged 14.9%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.2% (HV 20d: 15.1%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.50.

Notable Days

  • 2020-01-02: Highest Volume — 9,737 contracts
  • 2020-01-31: Largest IV spike — 19.9% change
  • 2020-01-31: Highest IV Rank — 30.0%
  • 2020-01-31: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.56$41.90$45.86$45.47$41.90
Max Pain$44.21$43.00$45.00$43.00$44.00
ATM IV14.9%12.8%19.9%13.7%19.9%
Expected Move4.3%3.7%6.0%3.9%6.0%
HV 20d15.1%11.8%20.0%11.8%18.9%
HV 60d12.3%11.0%14.7%11.3%14.7%
IV Rank12.3%4.9%30.0%8.0%30.0%
IV Percentile32.5%2.0%90.5%11.5%90.5%
Term Structure0.2%-1.3%4.2%0.3%-1.3%
VWIV15.1%12.6%22.1%13.7%22.1%
Skew 25d2.9%1.9%4.7%2.3%4.3%
Skew 10d7.8%4.4%13.7%5.8%11.8%
Call IV 25d13.8%11.6%18.4%12.9%18.4%
Put IV 25d16.7%14.2%22.6%15.1%22.6%
Bid-Ask Spread %69.7214.7795.6478.3781.23
Gamma HHI0.180.110.450.190.12
Net GEX2.5M-3.0M7.1M5.2M-3.0M
Net DEX-20.9M-63.9M47.9M-54.0M47.9M
Net VEX-404.6K-437.2K-363.4K-363.4K-429.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.0130.925.082.63
Total Volume2,395.5712399,7379,7372,151
Total OI76,22160,01185,70776,47068,999

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$45.47$43.0013.7%3.9%11.8%8.0%13.7%2.3%0.3%5.2M-54.0M-363.4K5.0878.37N/AN/A1,6018,13629,61546,855
2020-01-03$44.77$43.0014.8%4.4%13.5%11.8%14.7%2.5%0.0%3.7M-31.7M-417.9K0.1985.65N/AN/A88917230,24152,116
2020-01-06$44.59$44.0014.9%4.2%13.6%12.2%15.3%3.3%-0.8%3.9M-26.6M-419.1K2.0716.58N/AN/A8031,66130,72152,194
2020-01-07$44.64$44.0014.0%3.9%13.6%9.0%14.1%3.0%0.6%4.5M-26.2M-416.1K0.9186.87N/AN/A12511431,42553,130
2020-01-08$44.92$44.0013.3%3.9%13.5%6.6%13.6%2.4%-0.1%5.6M-35.5M-414.9K0.0188.21N/AN/A1,9812331,49753,211
2020-01-09$45.02$44.0013.1%3.9%13.5%6.1%14.7%1.9%1.0%5.7M-37.4M-404.8K0.7164.92N/AN/A22916331,30853,318
2020-01-10$45.25$44.0013.6%4.0%12.9%7.5%13.9%2.2%0.3%6.3M-46.3M-387.8K0.7089.56N/AN/A1,13079331,45253,436
2020-01-13$45.86$44.0013.3%3.9%12.8%6.8%13.7%2.8%0.5%5.5M-60.5M-384.6K0.1455.66N/AN/A5047131,07553,438
2020-01-14$45.66$44.0013.8%3.8%12.9%8.4%13.9%3.1%-0.7%6.2M-57.2M-369.5K0.2488.74N/AN/A53412731,34253,474
2020-01-15$45.34$44.0013.2%4.0%13.1%6.1%13.5%1.9%0.8%7.1M-50.4M-376.5K0.1389.28N/AN/A6318231,76053,574
2020-01-16$45.59$44.0013.0%3.7%13.0%5.7%12.7%2.3%-0.4%5.1M-57.4M-369.9K0.6377.67N/AN/A22814331,82553,636
2020-01-17$45.85$44.0012.8%3.7%13.0%4.9%13.5%2.6%0.2%6.2M-63.9M-370.9K0.0614.77N/AN/A5,01230631,96253,745
2020-01-21$44.80$45.0014.3%4.1%15.7%10.2%14.6%2.2%0.2%685.3K-16.9M-380.7K30.9278.56N/AN/A2598,00823,57636,435
2020-01-22$45.00$45.0014.1%4.0%15.8%9.3%13.8%2.0%0.1%366.6K-16.6M-405.3K0.2125.72N/AN/A68414623,77240,173
2020-01-23$44.72$45.0015.3%4.4%15.4%13.6%16.5%2.6%-0.1%-69.5K-9.5M-426.6K2.4977.46N/AN/A37392824,48640,297
2020-01-24$44.25$45.0016.6%4.8%15.8%18.3%17.2%3.5%-0.5%-1.2M1.3M-437.2K2.3926.74N/AN/A13432024,65741,031
2020-01-27$42.88$45.0019.0%5.5%19.0%26.7%20.0%3.7%-0.0%-2.4M28.3M-429.1K1.5475.21N/AN/A58790624,27941,090
2020-01-28$43.20$45.0017.8%5.2%19.3%22.7%16.3%4.3%-0.1%-2.5M22.5M-430.0K0.2482.47N/AN/A2,33855324,73241,799
2020-01-29$43.40$44.5016.3%4.8%19.4%17.2%15.8%3.4%-0.0%-1.9M17.1M-433.6K1.1284.83N/AN/A43348726,93142,313
2020-01-30$42.74$44.0016.6%5.1%20.0%18.3%12.6%4.7%4.2%-2.4M33.4M-429.2K0.0795.64N/AN/A6,11243027,07942,642
2020-01-31$41.90$44.0019.9%6.0%18.9%30.0%22.1%4.3%-1.3%-3.0M47.9M-429.7K2.6381.23N/AN/A5921,55926,06542,934