VWO Options History — May 2020

In May 2020, VWO traded between $34.99 and $37.36. ATM implied volatility averaged 27.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 1.5% (HV 20d: 26.4%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 4.12.

Notable Days

  • 2020-05-15: Highest Volume — 5,996 contracts
  • 2020-05-18: Largest IV drop — 12.2% change
  • 2020-05-01: Highest IV Rank — 35.8%
  • 2020-05-01: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.32$34.99$37.36$34.99$37.36
Max Pain$40.10$40.00$42.00$42.00$40.00
ATM IV27.9%24.9%33.9%33.9%25.6%
Expected Move8.0%7.1%10.4%10.4%7.1%
HV 20d26.4%24.5%31.4%31.4%24.8%
HV 60d51.5%51.3%52.1%51.3%51.7%
IV Rank26.3%21.5%35.8%35.8%22.6%
IV Percentile80.0%75.0%88.1%88.1%75.0%
Term Structure-0.1%-1.2%1.7%-0.5%-0.3%
VWIV31.3%21.8%41.0%40.4%30.8%
Skew 25d8.8%3.9%11.2%11.2%7.0%
Skew 10d17.5%9.0%23.2%23.2%19.4%
Call IV 25d24.1%21.2%29.0%29.0%22.4%
Put IV 25d32.9%29.1%40.2%40.2%29.4%
Bid-Ask Spread %32.9114.1873.4014.1873.40
Gamma HHI0.080.070.140.070.09
Net GEX-33.0K-811.4K854.0K-811.4K-98.1K
Net DEX41.5M20.5M65.0M65.0M20.5M
Net VEX-513.1K-547.7K-481.7K-547.7K-481.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.120.0335.891.760.03
Total Volume1,6532505,9965113,767
Total OI99,403.894,927103,85399,69299,184

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$34.99$42.0033.9%10.4%31.4%35.8%40.4%11.2%-0.5%-811.4K65.0M-547.7K1.7614.18N/AN/A18532637,29762,395
2020-05-04$35.34$40.0033.1%9.5%30.4%34.6%41.0%10.6%-0.0%-580.5K61.2M-547.6K1.6323.82N/AN/A41467337,33362,458
2020-05-05$35.57$40.0031.0%8.5%25.7%31.2%37.2%9.9%0.1%-327.9K58.2M-543.5K0.2536.41N/AN/A2716837,59862,783
2020-05-06$35.51$40.0030.2%8.5%25.5%29.9%40.1%10.3%0.3%-288.5K59.6M-534.4K35.8941.39N/AN/A351,25637,63062,818
2020-05-07$35.70$40.0028.7%8.1%25.4%27.6%28.6%9.4%0.3%-150.2K58.1M-526.5K0.3541.03N/AN/A1,21743037,64564,052
2020-05-08$36.50$40.0025.8%7.9%26.5%23.0%26.9%8.7%0.6%281.1K45.5M-519.0K0.3037.32N/AN/A1,18435238,60064,166
2020-05-11$36.34$40.0025.7%7.7%26.6%22.8%26.8%9.0%1.7%453.0K48.2M-515.0K1.2821.25N/AN/A19524938,82764,504
2020-05-12$36.25$40.0027.8%8.0%25.7%26.2%26.7%8.2%0.7%402.3K48.7M-505.9K0.5920.96N/AN/A95756538,89964,585
2020-05-13$36.00$40.0029.8%8.6%24.6%29.2%27.9%9.4%-0.0%264.5K53.3M-516.8K0.9625.81N/AN/A1,02598838,80365,050
2020-05-14$36.17$40.0030.1%8.7%24.7%29.9%36.1%10.5%0.5%854.0K37.2M-521.7K1.2466.82N/AN/A27333839,58761,626
2020-05-15$35.75$40.0028.9%8.2%24.5%27.9%29.2%10.7%-0.4%508.5K45.2M-514.7K0.3118.97N/AN/A4,5641,43239,77661,842
2020-05-18$37.16$40.0025.4%7.3%27.9%22.3%22.7%8.2%-0.8%-205.1K26.2M-512.6K0.0725.62N/AN/A1,1688135,69059,237
2020-05-19$36.91$40.0026.0%7.5%26.3%23.3%27.5%8.5%-1.0%-45.2K28.2M-510.4K0.5920.53N/AN/A1579336,74459,263
2020-05-20$37.22$40.0024.9%7.2%25.3%21.5%21.8%7.7%-0.3%128.2K23.3M-498.8K2.6943.51N/AN/A7442,00436,76859,328
2020-05-21$36.86$40.0025.3%7.2%25.6%22.2%36.5%8.6%0.5%-105.5K28.7M-502.8K9.5928.51N/AN/A1391,33336,82759,748
2020-05-22$36.06$40.0026.8%7.6%27.0%24.5%39.4%8.7%0.1%-581.3K40.4M-495.9K5.8437.74N/AN/A3902,27636,88459,567
2020-05-26$36.90$40.0025.9%7.2%27.3%23.1%25.9%3.9%-1.0%28.0K26.8M-490.2K0.8536.09N/AN/A38632937,07959,255
2020-05-27$36.98$40.0026.3%7.4%27.3%23.6%30.3%7.9%-1.2%-140.8K27.0M-481.7K6.6720.96N/AN/A13892037,16559,489
2020-05-28$36.83$40.0026.4%7.5%25.8%23.9%30.8%7.8%-0.3%-245.3K29.3M-494.7K11.5023.89N/AN/A1711,96737,27360,301
2020-05-29$37.36$40.0025.6%7.1%24.8%22.6%30.8%7.0%-0.3%-98.1K20.5M-481.9K0.0373.40N/AN/A3,64012737,37361,811