VWO Options History — July 2020

In July 2020, VWO traded between $40.23 and $43.74. ATM implied volatility averaged 23.0%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.1% (HV 20d: 23.1%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 4.56.

Notable Days

  • 2020-07-06: Highest Volume — 11,950 contracts
  • 2020-07-06: Largest IV spike — 13.4% change
  • 2020-07-13: Highest IV Rank — 25.0%
  • 2020-07-13: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.81$40.23$43.74$40.23$42.94
Max Pain$38.64$36.00$40.00$36.00$40.00
ATM IV23.0%19.7%27.1%22.5%19.7%
Expected Move6.6%5.8%7.7%6.5%5.8%
HV 20d23.1%20.8%28.3%23.9%22.2%
HV 60d25.0%23.3%26.5%24.5%23.7%
IV Rank18.5%13.2%25.0%17.7%13.2%
IV Percentile62.2%49.6%75.0%63.1%49.6%
Term Structure0.2%-1.1%1.3%0.0%0.6%
VWIV22.9%18.8%27.4%21.5%19.9%
Skew 25d5.4%3.4%11.3%6.7%3.4%
Skew 10d11.7%5.6%21.5%17.1%9.3%
Call IV 25d21.0%17.2%26.2%19.8%19.3%
Put IV 25d26.4%22.6%31.3%26.5%22.6%
Bid-Ask Spread %32.8614.3268.5547.7447.99
Gamma HHI0.120.070.360.070.36
Net GEX5.6M1.4M9.3M1.4M9.3M
Net DEX-95.4M-126.4M-35.7M-35.7M-82.6M
Net VEX-440.5K-481.5K-390.2K-481.5K-390.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.560.0192.990.020.20
Total Volume3,86135211,9503,9042,643
Total OI105,510.77393,744113,71493,744105,335

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$40.23$36.0022.5%6.5%23.9%17.7%21.5%6.7%0.0%1.4M-35.7M-481.5K0.0247.74N/AN/A3,8297537,01856,726
2020-07-02$41.12$36.0021.6%5.8%24.2%16.3%19.5%7.6%0.1%3.4M-62.6M-468.5K0.0333.27N/AN/A3,54211041,01356,784
2020-07-06$42.80$38.0024.5%6.9%26.7%20.9%27.4%5.0%-0.4%3.3M-101.9M-433.8K0.3668.55N/AN/A8,7573,19343,80156,477
2020-07-07$42.26$38.0025.5%7.3%27.2%22.5%26.1%4.1%-1.1%4.4M-95.3M-475.0K0.3922.54N/AN/A2,03079747,61456,601
2020-07-08$43.32$38.0024.1%7.1%28.2%20.2%24.6%4.4%1.3%4.1M-119.9M-438.5K0.0847.04N/AN/A3,78231248,72956,414
2020-07-09$43.34$38.0026.1%7.7%28.3%23.3%26.2%3.7%-0.0%4.7M-126.4M-468.7K0.0735.03N/AN/A1,4289851,74956,502
2020-07-10$43.05$38.0025.8%7.4%21.1%22.9%26.8%3.9%-0.8%7.3M-120.7M-479.4K0.0419.16N/AN/A5,66721952,94056,533
2020-07-13$42.98$38.0027.1%7.7%20.8%25.0%26.0%5.8%-0.1%6.6M-113.1M-471.2K0.1214.32N/AN/A1,42917753,75256,482
2020-07-14$42.91$38.0026.3%7.6%20.8%23.7%25.7%6.9%0.6%6.8M-110.6M-472.1K0.1020.18N/AN/A5505454,26756,562
2020-07-15$42.97$38.0025.2%7.2%20.8%21.9%25.0%5.1%-0.2%7.5M-112.5M-463.2K0.6622.94N/AN/A4,9133,23854,58656,579
2020-07-16$42.32$38.0024.1%7.0%21.9%20.2%22.9%5.0%0.3%4.6M-92.9M-449.9K0.0737.35N/AN/A5,23136854,38256,641
2020-07-17$42.42$38.0021.9%6.5%21.9%16.7%23.6%11.3%0.9%5.0M-98.4M-455.6K0.0157.84N/AN/A6,9835456,78856,926
2020-07-20$43.09$38.0021.0%6.0%22.3%15.2%22.4%4.7%0.7%6.4M-93.1M-415.8K0.2734.64N/AN/A1,21332746,84856,121
2020-07-21$43.51$40.0020.8%5.9%22.4%14.9%22.6%4.3%0.3%7.1M-106.5M-419.4K0.0926.13N/AN/A1,09810247,73256,398
2020-07-22$43.24$40.0021.4%6.1%22.5%16.0%20.2%4.0%0.6%7.5M-97.9M-413.7K92.9918.63N/AN/A817,53247,97056,442
2020-07-23$42.94$40.0021.7%6.2%22.0%16.4%18.8%4.7%0.1%6.9M-87.3M-434.4K0.0621.53N/AN/A7724948,01159,688
2020-07-24$42.86$40.0021.7%6.2%22.1%16.3%20.5%4.9%0.5%7.9M-82.2M-437.1K0.0620.79N/AN/A2,39313948,61759,714
2020-07-27$43.48$40.0021.4%6.1%21.8%15.9%24.2%5.7%-0.2%3.6M-88.3M-412.6K0.8415.04N/AN/A3,9583,32742,00859,735
2020-07-28$43.06$40.0021.6%6.0%22.4%16.3%19.9%5.5%-0.1%4.6M-83.3M-407.0K0.5024.30N/AN/A23511743,08659,719
2020-07-29$43.74$40.0020.7%5.8%22.6%14.7%19.6%6.5%1.3%4.4M-98.1M-394.0K0.1562.16N/AN/A3,12748143,22659,753
2020-07-30$43.25$40.0021.8%6.2%23.0%16.5%20.5%5.9%0.3%6.9M-90.4M-408.6K3.2725.83N/AN/A12039245,17159,797
2020-07-31$42.94$40.0019.7%5.8%22.2%13.2%19.9%3.4%0.6%9.3M-82.6M-390.2K0.2047.99N/AN/A2,20044345,22660,109