VWO Options History — March 2020 In March 2020, VWO traded between $30.43 and $41.62. ATM implied volatility averaged 50.8%, placing in the 71.2% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 4.0% (HV 20d: 54.8%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 5.31.
Notable Days 2020-03-16 : Highest Volume — 8,929 contracts2020-03-09 : Largest IV spike — 132.2% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 21.3%Monthly Statistics Metric Avg Min Max Open Close Price $35.28 $30.43 $41.62 $41.05 $33.51 Max Pain $43.73 $43.00 $44.00 $43.00 $43.00 ATM IV 50.8% 24.7% 74.1% 28.2% 43.2% Expected Move 14.2% 7.3% 21.3% 9.6% 13.4% HV 20d 54.8% 21.6% 79.8% 23.5% 79.2% HV 60d 35.9% 19.1% 48.7% 19.2% 48.5% IV Rank 71.2% 46.8% 100.0% 59.0% 50.6% IV Percentile 97.7% 94.0% 100.0% 96.4% 94.0% Term Structure -4.0% -29.9% 7.8% -1.6% -1.1% VWIV 48.1% 16.5% 79.0% 31.2% 46.5% Skew 25d 18.4% 3.3% 43.3% 4.7% 13.8% Skew 10d 27.7% -25.5% 66.8% 36.1% 46.2% Call IV 25d 46.8% 19.5% 91.0% 23.5% 38.0% Put IV 25d 65.2% 28.1% 105.6% 28.1% 51.8% Bid-Ask Spread % 77.76 56.49 92.55 72.78 64.72 Gamma HHI 0.08 0.07 0.10 0.10 0.08 Net GEX -1.7M -3.0M -740.0K -2.9M -908.8K Net DEX 88.9M 45.2M 126.0M 56.0M 81.2M Net VEX -380.9K -441.4K -302.0K -438.1K -354.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 5.31 0.09 52.25 2.09 1.07 Total Volume 2,621.773 271 8,929 1,458 271 Total OI 77,265.591 73,167 85,417 73,970 77,459
Daily Data (22 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 2020-03-02 $41.05 $43.00 28.2% 9.6% 23.5% 59.0% 31.2% 4.7% -1.6% -2.9M 56.0M -438.1K 2.09 72.78 N/A N/A 472 986 27,161 46,809 2020-03-03 $41.20 $43.00 30.2% 9.4% 23.3% 66.0% 31.6% 8.5% -2.6% -2.7M 52.9M -436.8K 0.21 82.07 N/A N/A 1,900 403 27,446 46,779 2020-03-04 $41.62 $43.00 24.7% 7.5% 21.6% 46.8% 16.5% 8.9% -0.6% -2.7M 45.2M -431.0K 0.19 71.87 N/A N/A 696 131 28,031 47,036 2020-03-05 $40.75 $44.00 28.5% 7.3% 22.5% 60.2% 22.2% 8.3% -1.3% -2.7M 60.3M -441.4K 0.67 75.00 N/A N/A 842 560 28,573 47,074 2020-03-06 $39.95 $44.00 30.7% 8.5% 23.2% 67.9% 33.1% 12.4% -1.0% -3.0M 72.6M -429.7K 4.01 77.51 N/A N/A 110 441 29,143 47,405 2020-03-09 $37.36 $44.00 71.3% 12.1% 32.1% 100.0% 31.4% 41.0% -29.9% -2.3M 90.3M -416.5K 0.11 86.26 N/A N/A 3,562 379 28,326 47,256 2020-03-10 $38.94 $44.00 40.1% 10.9% 36.3% 47.8% 36.4% 9.5% -5.4% -2.7M 81.1M -427.6K 0.94 82.38 N/A N/A 424 400 28,328 47,159 2020-03-11 $37.43 $44.00 45.1% 12.9% 37.6% 56.2% 42.1% 17.8% -2.6% -2.2M 90.2M -401.2K 52.25 91.22 N/A N/A 127 6,636 28,540 47,064 2020-03-12 $33.77 $44.00 62.3% 16.2% 49.6% 85.0% 51.2% 13.7% -1.7% -1.7M 111.5M -376.1K 2.30 83.04 N/A N/A 448 1,031 28,618 50,502 2020-03-13 $35.33 $44.00 62.6% 15.0% 53.8% 85.5% 43.0% 3.3% -24.3% -1.9M 105.0M -404.6K 1.09 92.55 N/A N/A 230 250 28,602 50,566 2020-03-16 $31.99 $44.00 72.8% 20.4% 62.1% 100.0% 71.5% 43.3% -9.6% -1.3M 113.3M -334.8K 25.03 91.81 N/A N/A 343 8,586 28,487 50,461 2020-03-17 $33.31 $44.00 66.6% 18.8% 65.1% 90.0% 66.8% 27.0% -4.0% -1.7M 113.5M -397.9K 0.87 78.71 N/A N/A 806 701 28,636 54,815 2020-03-18 $30.45 $44.00 74.1% 21.3% 69.9% 100.0% 79.0% 34.7% -1.7% -1.1M 119.1M -341.4K 2.23 91.59 N/A N/A 268 597 28,749 55,127 2020-03-19 $31.12 $44.00 71.8% 20.6% 71.3% 96.3% 75.8% 25.9% 1.5% -957.7K 121.7M -344.4K 2.85 91.73 N/A N/A 771 2,199 28,830 55,160 2020-03-20 $31.20 $44.00 64.7% 18.4% 71.5% 85.0% 63.0% 23.0% -3.6% -978.7K 126.0M -328.1K 0.24 81.87 N/A N/A 4,016 967 29,565 55,852 2020-03-23 $30.43 $44.00 55.5% 17.4% 71.3% 70.3% 58.6% 32.2% 7.8% -894.2K 97.0M -302.0K 3.28 71.25 N/A N/A 770 2,522 28,495 45,458 2020-03-24 $32.25 $44.00 48.6% 15.1% 76.0% 59.3% 52.9% 18.3% 2.1% -1.0M 92.8M -323.5K 0.35 67.61 N/A N/A 4,058 1,429 28,535 44,632 2020-03-25 $33.66 $44.00 54.8% 14.3% 78.3% 69.2% 59.3% 27.8% -5.5% -966.1K 84.0M -348.7K 1.10 72.80 N/A N/A 396 434 30,551 43,859 2020-03-26 $34.43 $44.00 45.2% 13.6% 79.1% 53.9% 44.8% 8.0% -2.0% -965.4K 81.3M -374.5K 0.09 61.50 N/A N/A 4,384 396 30,652 44,018 2020-03-27 $33.08 $43.00 50.4% 15.5% 79.8% 62.2% 56.6% 3.3% 2.0% -740.0K 79.7M -367.9K 1.79 65.88 N/A N/A 212 379 32,807 42,810 2020-03-30 $33.31 $43.00 46.4% 14.4% 79.1% 55.8% 45.2% 19.1% -2.0% -829.7K 80.5M -358.8K 14.13 56.49 N/A N/A 208 2,938 31,709 42,758 2020-03-31 $33.51 $43.00 43.2% 13.4% 79.2% 50.6% 46.5% 13.8% -1.1% -908.8K 81.2M -354.0K 1.07 64.72 N/A N/A 131 140 31,945 45,514
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