VWO Options History — April 2020

In April 2020, VWO traded between $32.34 and $36.86. ATM implied volatility averaged 35.7%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 17.4% (HV 20d: 53.1%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.23.

Notable Days

  • 2020-04-27: Highest Volume — 8,776 contracts
  • 2020-04-20: Largest IV spike — 64.6% change
  • 2020-04-02: Highest IV Rank — 64.4%
  • 2020-04-01: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.90$32.34$36.86$32.34$36.03
Max Pain$42.05$42.00$43.00$43.00$42.00
ATM IV35.7%26.0%51.8%49.2%29.9%
Expected Move9.9%7.3%15.6%15.6%9.3%
HV 20d53.1%30.1%80.4%79.3%30.1%
HV 60d50.6%48.9%51.2%48.9%51.0%
IV Rank38.7%23.2%64.4%60.2%29.5%
IV Percentile89.2%81.0%96.0%95.6%83.7%
Term Structure-3.7%-40.8%1.9%-0.6%-0.2%
VWIV34.7%24.5%67.3%67.3%31.1%
Skew 25d9.4%-19.3%24.4%24.4%9.0%
Skew 10d20.2%-3.2%51.3%51.3%18.6%
Call IV 25d34.2%24.2%55.7%43.9%26.1%
Put IV 25d43.7%33.5%69.7%68.3%35.1%
Bid-Ask Spread %54.6624.8282.1060.8724.82
Gamma HHI0.070.060.080.080.07
Net GEX-866.9K-1.2M-323.1K-808.9K-520.7K
Net DEX71.1M39.0M85.4M85.0M52.1M
Net VEX-437.7K-552.4K-344.0K-344.0K-552.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.230.1517.252.450.45
Total Volume2,298.1433248,776324535
Total OI85,314.71477,62799,34077,62799,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$32.34$43.0049.2%15.6%79.3%60.2%67.3%24.4%-0.6%-808.9K85.0M-344.0K2.4560.87N/AN/A9423032,01945,608
2020-04-02$33.20$42.0051.8%12.6%80.4%64.4%27.0%21.8%-13.8%-752.6K81.5M-361.9K17.2557.35N/AN/A4738,15832,07745,752
2020-04-03$32.58$42.0045.1%11.6%80.4%53.7%43.1%17.0%-8.9%-879.8K85.4M-401.7K0.3065.23N/AN/A33310131,88850,361
2020-04-06$34.17$42.0036.4%10.4%79.9%39.8%34.6%11.9%-0.1%-917.2K82.6M-395.6K4.2559.90N/AN/A2831,20232,01850,176
2020-04-07$34.59$42.0032.3%8.4%78.3%33.3%37.5%10.1%-13.4%-889.6K80.4M-412.1K5.3182.10N/AN/A2041,08432,25751,027
2020-04-08$34.84$42.0035.9%10.1%77.4%39.1%34.2%1.5%-0.5%-981.9K80.6M-415.8K0.6460.53N/AN/A23014832,38351,978
2020-04-09$34.89$42.0035.5%10.1%68.0%38.4%41.0%-5.9%1.9%-1.1M73.4M-422.3K8.1968.00N/AN/A2842,32532,47250,430
2020-04-13$34.92$42.0033.8%9.7%66.0%35.7%37.0%10.8%0.0%-1.1M76.5M-410.5K6.1345.33N/AN/A3161,93832,18951,744
2020-04-14$35.65$42.0031.4%9.0%55.0%31.9%35.7%10.3%0.1%-1.1M72.4M-425.6K0.4161.30N/AN/A3,5761,46932,40953,637
2020-04-15$34.93$42.0033.4%9.6%54.1%35.1%31.6%10.3%-0.1%-1.1M77.1M-431.1K1.7361.81N/AN/A35661634,15754,886
2020-04-16$35.05$42.0034.2%9.8%41.8%36.4%34.7%10.5%-0.1%-1.1M76.2M-439.6K0.2264.09N/AN/A4379834,45455,320
2020-04-17$35.59$42.0029.7%8.4%41.5%29.2%25.2%9.4%0.8%-541.8K72.4M-438.1K0.6457.53N/AN/A77750034,66455,358
2020-04-20$35.35$42.0048.9%9.5%41.8%59.8%34.0%8.9%-40.8%-991.0K66.5M-445.5K3.7755.70N/AN/A4021,51629,36651,419
2020-04-21$34.49$42.0037.1%10.8%41.7%41.0%34.7%12.5%-1.2%-1.2M73.8M-439.5K0.4640.84N/AN/A91542529,60952,714
2020-04-22$35.30$42.0033.9%9.6%37.6%35.8%33.5%10.7%-1.1%-951.8K66.5M-452.1K3.0556.15N/AN/A12337530,44452,605
2020-04-23$35.25$42.0034.3%10.0%34.8%36.5%30.8%10.9%-0.8%-970.0K67.3M-454.2K0.3255.83N/AN/A2487930,43753,067
2020-04-24$35.11$42.0032.2%9.2%34.1%33.2%31.4%13.5%-0.1%-970.0K69.6M-446.0K2.0634.69N/AN/A17235430,52553,127
2020-04-27$35.80$42.0027.8%7.8%31.0%26.0%29.6%9.4%0.7%-740.5K63.2M-435.9K0.1527.44N/AN/A7,6461,13028,80252,903
2020-04-28$35.92$42.0030.9%8.2%30.9%31.0%30.1%9.9%-0.2%-323.1K51.0M-520.9K5.5630.54N/AN/A1,0695,94535,76454,901
2020-04-29$36.86$42.0026.0%7.3%31.9%23.2%24.5%-19.3%-0.0%-394.4K39.0M-547.3K4.5977.86N/AN/A3751,72036,62560,697
2020-04-30$36.03$42.0029.9%9.3%30.1%29.5%31.1%9.0%-0.2%-520.7K52.1M-552.4K0.4524.82N/AN/A37016536,96362,377