VWO Options History — June 2020

In June 2020, VWO traded between $38.18 and $40.58. ATM implied volatility averaged 26.2%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.7% (HV 20d: 26.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2020-06-04: Highest Volume — 13,257 contracts
  • 2020-06-11: Largest IV spike — 36.8% change
  • 2020-06-26: Highest IV Rank — 32.5%
  • 2020-06-12: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.69$38.18$40.58$38.18$39.66
Max Pain$36.18$35.00$40.00$40.00$36.00
ATM IV26.2%22.9%31.8%24.8%24.1%
Expected Move7.4%6.3%9.0%7.2%6.6%
HV 20d26.9%22.8%32.0%22.8%24.7%
HV 60d36.3%26.1%51.8%51.7%26.1%
IV Rank23.5%18.2%32.5%21.3%20.2%
IV Percentile74.8%66.7%85.7%73.4%66.7%
Term Structure-0.2%-2.3%1.8%-0.2%-0.1%
VWIV27.0%22.6%35.2%26.2%23.2%
Skew 25d7.7%3.3%18.5%6.8%10.2%
Skew 10d14.4%4.8%27.4%14.5%12.9%
Call IV 25d23.4%21.0%29.0%21.8%21.0%
Put IV 25d31.2%24.5%41.3%28.6%31.2%
Bid-Ask Spread %50.7714.6676.3565.9426.11
Gamma HHI0.070.060.100.080.07
Net GEX168.9K-845.2K1.3M-78.9K1.3M
Net DEX-20.6M-39.4M6.8M6.8M-24.6M
Net VEX-498.4K-539.1K-442.7K-488.8K-497.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.022.562.560.94
Total Volume2,070.63615213,2571,922275
Total OI99,344.18291,195104,09298,65293,530

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$38.18$40.0024.8%7.2%22.8%21.3%26.2%6.8%-0.2%-78.9K6.8M-488.8K2.5665.94N/AN/A5401,38237,03161,621
2020-06-02$38.99$40.0023.7%6.8%23.5%19.6%24.5%6.0%-0.6%-53.7K-9.8M-486.2K0.3814.66N/AN/A2,10880037,48662,967
2020-06-03$39.90$40.0023.1%6.5%24.4%18.6%25.4%4.8%-0.1%54.4K-28.1M-479.3K0.3468.90N/AN/A1,17740338,08463,573
2020-06-04$39.28$35.0022.9%6.7%25.4%18.2%26.1%4.5%-0.5%-126.9K-14.9M-481.9K1.3744.00N/AN/A5,5847,67337,82963,848
2020-06-05$40.24$35.0023.1%6.6%26.3%18.6%23.6%3.3%-0.5%-101.1K-35.7M-450.9K0.2259.04N/AN/A1,33929237,92063,972
2020-06-08$40.53$35.0023.3%6.3%25.6%19.0%23.6%4.3%-1.2%121.4K-38.0M-448.2K0.2057.93N/AN/A4449037,74163,888
2020-06-09$40.39$35.0023.0%6.8%25.6%18.4%22.6%5.1%0.3%117.3K-35.9M-445.3K0.3549.03N/AN/A2729537,91763,891
2020-06-10$40.58$35.0023.1%6.6%25.4%18.6%22.7%5.3%-0.7%276.1K-39.4M-442.7K1.0348.17N/AN/A81683838,01263,978
2020-06-11$38.66$35.0031.6%8.8%31.7%32.2%31.2%5.2%-0.9%-389.2K1.5M-514.8K0.9745.78N/AN/A20820238,76064,806
2020-06-12$39.28$35.0031.2%9.0%32.0%31.5%35.2%10.8%0.7%-455.5K-9.2M-522.5K0.5076.35N/AN/A29915039,16264,896
2020-06-15$39.18$35.0030.0%8.6%31.5%29.6%34.9%8.5%-0.5%-469.5K-4.3M-523.4K0.5940.73N/AN/A1347938,75864,870
2020-06-16$39.34$36.0030.1%8.6%28.8%29.7%28.6%9.4%-2.3%-460.3K-8.8M-508.7K0.4970.80N/AN/A1678238,82464,909
2020-06-17$39.69$36.0027.5%7.9%28.7%25.7%24.7%8.3%1.8%-555.4K-14.6M-516.0K0.1973.18N/AN/A1703238,90164,982
2020-06-18$39.70$36.0026.8%7.6%28.6%24.5%25.7%7.5%0.7%-845.2K-15.1M-506.7K0.2262.15N/AN/A1773938,98164,986
2020-06-19$39.80$36.0024.9%7.1%28.2%21.5%27.0%6.6%1.0%-509.3K-16.6M-487.4K0.0243.34N/AN/A5,33810439,12964,963
2020-06-22$40.06$36.0025.9%7.3%26.5%23.1%32.9%8.8%0.5%865.9K-25.0M-522.7K0.6245.19N/AN/A1,09368234,89756,298
2020-06-23$40.48$36.0024.3%6.8%25.8%20.6%29.8%5.6%-0.1%1.1M-36.8M-525.2K1.9035.54N/AN/A3,5966,83635,67156,282
2020-06-24$39.94$36.0027.9%7.9%26.6%26.2%30.3%8.4%-0.1%873.5K-27.4M-539.1K1.0638.54N/AN/A17418536,14556,366
2020-06-25$40.00$36.0027.4%7.5%26.4%25.5%26.4%10.0%0.1%995.8K-28.4M-531.6K0.1550.56N/AN/A85812736,21856,461
2020-06-26$39.59$36.0031.8%7.7%26.6%32.5%24.7%18.5%-1.8%1.0M-22.9M-531.1K1.0847.67N/AN/A26028237,02756,570
2020-06-29$39.76$36.0025.5%6.8%25.7%22.4%25.6%12.2%0.1%1.1M-25.9M-515.4K0.5153.29N/AN/A1015136,84156,581
2020-06-30$39.66$36.0024.1%6.6%24.7%20.2%23.2%10.2%-0.1%1.3M-24.6M-497.8K0.9426.11N/AN/A14213336,90656,624