VWO Options History — February 2020

In February 2020, VWO traded between $40.09 and $44.34. ATM implied volatility averaged 19.4%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.3% (HV 20d: 21.7%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.91.

Notable Days

  • 2020-02-27: Highest Volume — 8,271 contracts
  • 2020-02-28: Largest IV spike — 32.9% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.87$40.09$44.34$42.27$40.09
Max Pain$43.16$43.00$44.00$44.00$43.00
ATM IV19.4%14.7%39.8%18.5%39.8%
Expected Move5.7%4.3%12.8%5.5%12.8%
HV 20d21.7%19.0%24.0%19.0%22.5%
HV 60d16.5%14.8%18.5%14.8%18.5%
IV Rank28.4%11.6%100.0%25.2%100.0%
IV Percentile70.9%35.7%100.0%85.3%100.0%
Term Structure-0.3%-2.8%1.0%-0.2%-2.8%
VWIV20.5%14.9%47.0%19.9%47.0%
Skew 25d4.5%2.4%9.8%3.8%9.8%
Skew 10d8.9%5.3%13.1%9.4%7.1%
Call IV 25d17.6%13.7%35.4%17.4%35.4%
Put IV 25d22.0%16.3%45.1%21.3%45.1%
Bid-Ask Spread %59.5014.5490.6280.7270.29
Gamma HHI0.130.090.230.120.09
Net GEX-1.8M-3.7M1.3M-2.9M-2.3M
Net DEX21.5M-14.5M65.5M39.0M65.5M
Net VEX-417.3K-462.9K-393.5K-433.2K-462.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.3011.740.430.97
Total Volume2,200.4213178,2711,8181,953
Total OI70,182.15866,21373,94668,88473,946

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$42.27$44.0018.5%5.5%19.0%25.2%19.9%3.8%-0.2%-2.9M39.0M-433.2K0.4380.72N/AN/A1,26954925,82943,055
2020-02-04$43.35$44.0017.2%5.1%21.4%20.3%19.3%3.9%-0.1%-1.8M14.0M-434.9K0.8961.40N/AN/A61554525,31243,451
2020-02-05$43.55$44.0017.0%5.1%21.5%19.8%17.9%3.2%-0.1%-1.4M10.5M-436.7K1.1161.31N/AN/A2,6932,97725,77443,740
2020-02-06$43.53$43.0016.5%4.6%21.3%18.0%15.8%3.3%-0.4%-1.3M10.9M-431.8K0.8880.36N/AN/A88578025,82943,987
2020-02-07$42.98$43.0016.9%4.9%21.6%19.3%16.5%3.9%0.2%-2.7M26.9M-426.2K1.6038.43N/AN/A43068725,76044,296
2020-02-10$43.17$43.0016.8%4.8%21.6%19.1%16.9%3.8%-0.0%-2.4M18.2M-417.5K0.8356.51N/AN/A17314425,90443,170
2020-02-11$43.72$43.0016.1%4.5%21.5%16.6%14.9%2.4%0.2%-893.2K2.4M-412.2K0.3047.73N/AN/A65319626,05243,228
2020-02-12$44.34$43.0014.7%4.5%22.3%11.6%16.2%2.6%1.0%986.0K-14.5M-401.2K0.3668.84N/AN/A1,98970726,58743,363
2020-02-13$43.83$43.0015.9%4.5%22.5%15.8%15.8%3.8%-0.0%70.9K-2.5M-423.1K0.6790.62N/AN/A48732827,98543,871
2020-02-14$43.77$43.0015.3%4.3%22.3%13.7%15.9%3.8%0.0%-449.0K1.3M-414.1K4.3233.69N/AN/A11750628,07744,155
2020-02-18$43.59$43.0015.1%4.3%22.2%12.9%15.6%3.3%0.8%-1.4M8.9M-402.9K1.3114.54N/AN/A55973227,54644,384
2020-02-19$43.97$43.0015.4%4.4%21.1%14.0%15.6%2.9%0.3%1.3M-3.6M-393.5K2.5138.20N/AN/A31478927,74144,620
2020-02-20$43.39$43.0016.5%4.8%21.4%17.9%18.0%3.7%-0.7%-3.1M15.1M-402.5K1.5755.95N/AN/A58691927,85445,248
2020-02-21$43.22$43.0017.7%5.1%21.4%22.1%19.8%3.3%-0.2%-3.7M17.0M-400.5K11.7476.96N/AN/A5526,48128,12145,660
2020-02-24$41.81$43.0021.5%6.3%24.0%35.8%22.0%5.4%-0.5%-2.8M43.3M-401.9K2.6466.82N/AN/A4771,25923,50142,712
2020-02-25$41.49$43.0024.3%7.3%21.6%45.5%25.9%6.4%-0.5%-3.1M50.7M-407.0K2.4555.74N/AN/A4321,05723,61943,597
2020-02-26$41.68$43.0024.4%7.3%21.4%46.1%25.8%6.9%-1.0%-3.0M46.3M-411.1K1.0856.97N/AN/A33536223,75143,782
2020-02-27$40.83$43.0029.9%7.2%22.3%65.7%30.1%8.5%-1.0%-3.0M58.3M-415.8K0.6175.46N/AN/A5,1503,12124,00043,954
2020-02-28$40.09$43.0039.8%12.8%22.5%100.0%47.0%9.8%-2.8%-2.3M65.5M-462.9K0.9770.29N/AN/A99296127,15046,796