VWO Options History — August 2020 In August 2020, VWO traded between $43.25 and $45.11. ATM implied volatility averaged 19.7%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.9% (HV 20d: 15.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.87.
Notable Days 2020-08-31 : Highest Volume — 8,883 contracts2020-08-31 : Largest IV spike — 13.7% change2020-08-11 : Highest IV Rank — 16.6%2020-08-07 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $44.03 $43.25 $45.11 $43.30 $44.33 Max Pain $40.86 $40.00 $41.00 $40.00 $41.00 ATM IV 19.7% 18.0% 21.8% 20.5% 21.7% Expected Move 5.6% 5.1% 6.3% 5.9% 5.9% HV 20d 15.7% 13.5% 17.4% 17.4% 15.1% HV 60d 22.2% 20.1% 23.8% 23.7% 20.1% IV Rank 13.1% 10.5% 16.6% 14.4% 16.4% IV Percentile 49.5% 42.9% 58.7% 51.6% 58.7% Term Structure -0.1% -6.5% 1.5% 0.3% 1.5% VWIV 19.4% 16.9% 23.0% 21.7% 22.7% Skew 25d 5.0% 0.4% 7.5% 7.5% 5.8% Skew 10d 9.5% -0.8% 16.6% 16.6% 12.3% Call IV 25d 17.5% 13.1% 19.4% 18.8% 19.0% Put IV 25d 22.5% 17.4% 26.3% 26.3% 24.8% Bid-Ask Spread % 31.61 14.62 74.78 35.54 32.60 Gamma HHI 0.11 0.08 0.15 0.09 0.10 Net GEX 3.3M 2.4M 4.3M 2.7M 3.1M Net DEX -87.1M -101.1M -75.5M -77.9M -82.2M Net VEX -360.3K -401.2K -334.1K -377.5K -355.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.03 8.33 0.29 3.81 Total Volume 1,818.095 141 8,883 1,859 8,883 Total OI 102,595.905 97,300 106,512 100,361 98,882
Daily Data (21 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 2020-08-03 $43.30 $40.00 20.5% 5.9% 17.4% 14.4% 21.7% 7.5% 0.3% 2.7M -77.9M -377.5K 0.29 35.54 N/A N/A 1,438 421 39,957 60,404 2020-08-04 $43.74 $40.00 20.8% 5.9% 17.0% 14.9% 20.1% 5.2% -0.6% 4.0M -87.8M -372.7K 0.30 19.07 N/A N/A 178 54 41,187 60,611 2020-08-05 $44.25 $40.00 19.7% 5.6% 15.1% 13.1% 18.4% 4.8% 0.5% 4.0M -99.0M -363.0K 0.04 42.97 N/A N/A 1,350 56 41,292 60,633 2020-08-06 $44.27 $41.00 19.4% 5.9% 15.1% 12.7% 18.0% 5.1% -0.1% 4.3M -101.1M -368.3K 0.04 74.78 N/A N/A 1,638 65 42,162 60,655 2020-08-07 $43.40 $41.00 20.9% 6.3% 16.7% 15.1% 19.8% 4.6% -0.4% 3.0M -79.8M -374.1K 0.07 14.62 N/A N/A 1,874 123 41,166 60,688 2020-08-10 $43.35 $41.00 21.0% 6.3% 16.7% 15.2% 23.0% 5.7% 1.0% 3.3M -80.8M -373.5K 8.33 16.31 N/A N/A 863 7,190 42,088 60,717 2020-08-11 $43.25 $41.00 21.8% 6.3% 16.7% 16.6% 20.2% 5.8% 0.0% 3.0M -75.5M -401.2K 0.22 15.11 N/A N/A 515 111 41,677 64,372 2020-08-12 $43.80 $41.00 19.3% 5.7% 17.2% 12.6% 21.0% 5.2% 0.7% 4.2M -87.5M -370.5K 0.12 18.17 N/A N/A 301 36 41,825 64,371 2020-08-13 $43.59 $41.00 19.6% 5.5% 16.3% 13.0% 17.2% 4.4% -0.1% 4.2M -85.1M -360.6K 0.83 19.56 N/A N/A 143 118 41,988 64,420 2020-08-14 $43.59 $41.00 19.3% 5.4% 16.3% 12.5% 18.8% 3.5% -0.5% 3.3M -85.9M -358.5K 0.34 62.80 N/A N/A 105 36 41,996 64,516 2020-08-17 $44.14 $41.00 19.1% 5.5% 16.0% 12.2% 16.9% 5.1% 0.5% 2.6M -91.9M -343.5K 1.02 17.48 N/A N/A 443 452 40,150 64,492 2020-08-18 $44.25 $41.00 19.0% 5.5% 15.7% 12.1% 17.8% 4.8% 0.5% 2.7M -93.6M -343.8K 1.23 15.71 N/A N/A 293 361 40,461 64,849 2020-08-19 $43.83 $41.00 18.6% 5.3% 15.9% 11.4% 18.1% 4.2% 0.1% 2.4M -84.9M -355.7K 0.03 16.29 N/A N/A 2,521 66 40,235 64,746 2020-08-20 $43.72 $41.00 18.4% 5.4% 15.7% 11.1% 19.8% 5.5% -6.5% 2.4M -77.0M -366.0K 0.74 38.35 N/A N/A 559 412 40,326 64,782 2020-08-21 $43.89 $41.00 18.0% 5.1% 15.7% 10.5% 19.5% 5.2% 0.1% 2.8M -82.9M -349.5K 0.06 21.04 N/A N/A 2,507 143 40,753 64,886 2020-08-24 $44.38 $41.00 18.9% 5.3% 15.4% 12.0% 18.3% 5.3% 0.4% 2.7M -83.4M -344.7K 0.50 20.20 N/A N/A 294 148 38,650 58,650 2020-08-25 $44.80 $41.00 18.5% 5.2% 15.1% 11.2% 17.8% 5.6% -0.2% 3.2M -90.3M -341.5K 0.05 54.70 N/A N/A 1,858 88 38,791 58,773 2020-08-26 $44.89 $41.00 18.9% 5.4% 14.2% 11.9% 17.7% 0.4% -0.6% 3.7M -96.5M -334.1K 0.08 25.18 N/A N/A 1,503 126 40,804 58,820 2020-08-27 $44.67 $41.00 20.2% 5.7% 13.7% 14.0% 20.1% 7.3% -0.3% 3.4M -88.5M -370.0K 0.17 63.27 N/A N/A 348 58 40,503 58,822 2020-08-28 $45.11 $41.00 19.1% 5.3% 13.5% 12.3% 20.6% 4.1% 0.5% 3.9M -98.5M -342.3K 0.10 40.07 N/A N/A 456 46 40,560 58,854 2020-08-31 $44.33 $41.00 21.7% 5.9% 15.1% 16.4% 22.7% 5.8% 1.5% 3.1M -82.2M -355.5K 3.81 32.60 N/A N/A 1,845 7,038 40,299 58,583
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