VWO Options History — September 2020

In September 2020, VWO traded between $42.07 and $44.99. ATM implied volatility averaged 21.9%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.2% (HV 20d: 17.8%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2020-09-14: Highest Volume — 5,235 contracts
  • 2020-09-03: Largest IV spike — 24.1% change
  • 2020-09-03: Highest IV Rank — 25.5%
  • 2020-09-03: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.60$42.07$44.99$44.99$43.19
Max Pain$44.24$41.00$45.00$41.00$44.00
ATM IV21.9%18.0%27.4%22.0%23.8%
Expected Move6.2%5.1%7.6%5.7%6.3%
HV 20d17.8%14.9%19.6%15.5%18.5%
HV 60d18.8%16.9%20.6%20.2%17.0%
IV Rank16.8%10.5%25.5%16.8%19.7%
IV Percentile56.1%39.7%75.8%59.9%61.9%
Term Structure0.8%-2.1%8.9%-1.5%1.6%
VWIV21.6%17.9%26.5%20.0%20.8%
Skew 25d5.2%-2.2%10.6%6.3%5.4%
Skew 10d10.4%2.9%24.7%16.5%2.9%
Call IV 25d19.6%17.2%23.9%19.6%20.1%
Put IV 25d24.8%17.5%32.5%25.9%25.4%
Bid-Ask Spread %39.6614.1485.4685.4674.40
Gamma HHI0.100.080.130.120.09
Net GEX2.0M325.0K3.4M3.2M2.0M
Net DEX-56.6M-94.1M-11.5M-93.0M-27.8M
Net VEX-350.9K-420.8K-310.7K-375.4K-326.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.015.460.210.22
Total Volume1,412.1432355,2351,814454
Total OI93,694.33374,748109,590104,85676,656

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$44.99$41.0022.0%5.7%15.5%16.8%20.0%6.3%-1.5%3.2M-93.0M-375.4K0.2185.46N/AN/A1,50231241,07563,781
2020-09-02$44.98$41.0022.1%6.3%15.0%17.0%24.4%5.5%-0.8%3.3M-94.1M-388.9K0.0334.57N/AN/A1,5143842,27761,531
2020-09-03$44.12$45.0027.4%7.6%16.6%25.5%26.5%5.3%0.1%2.0M-74.3M-420.8K0.4958.77N/AN/A36417842,56661,549
2020-09-04$44.19$45.0024.1%6.9%14.9%20.1%21.9%10.6%-1.0%1.7M-77.2M-418.7K4.3554.39N/AN/A20790142,71061,631
2020-09-08$43.33$45.0024.6%7.1%16.6%20.9%24.5%7.3%0.9%1.8M-62.4M-390.0K0.7136.47N/AN/A24417341,85160,725
2020-09-09$43.85$45.0020.8%6.2%17.1%15.0%21.9%6.6%1.0%2.8M-75.8M-341.8K0.6235.18N/AN/A42226041,93660,849
2020-09-10$43.25$45.0020.8%5.9%17.2%15.0%20.5%4.3%-0.3%1.9M-63.2M-357.6K1.0837.41N/AN/A23725742,16360,948
2020-09-11$43.48$45.0021.7%6.0%17.3%16.3%18.3%-0.3%-2.1%2.2M-68.8M-347.4K0.2121.05N/AN/A1954042,17961,155
2020-09-14$44.25$45.0019.3%5.6%18.4%12.5%21.7%5.4%0.3%3.2M-82.8M-310.7K5.4623.44N/AN/A8104,42542,10161,061
2020-09-15$44.65$45.0018.0%5.1%18.1%10.5%19.9%4.6%1.5%3.4M-90.6M-313.3K0.0427.85N/AN/A7563242,31364,244
2020-09-16$44.66$45.0018.1%5.2%18.1%10.6%19.0%4.9%1.3%3.4M-89.3M-312.6K0.1032.73N/AN/A1,23312442,16764,259
2020-09-17$44.47$45.0020.0%5.7%17.8%13.6%22.1%4.4%0.2%3.0M-86.1M-315.2K0.0175.24N/AN/A3,8723443,22564,376
2020-09-18$44.20$45.0019.5%5.2%18.0%12.8%17.9%2.5%8.9%2.5M-85.4M-326.6K0.2537.17N/AN/A3,64191545,19664,394
2020-09-21$43.24$44.0021.6%6.1%19.6%16.3%20.9%9.6%0.5%1.3M-23.9M-356.5K0.1617.76N/AN/A2,00933031,16443,584
2020-09-22$43.01$44.0021.9%6.2%19.1%16.8%22.0%5.8%0.1%1.2M-22.2M-359.0K0.8116.94N/AN/A22918531,56843,657
2020-09-23$42.38$44.0023.4%6.6%19.2%19.1%21.8%5.3%-0.3%619.7K-15.0M-355.6K0.9418.74N/AN/A29928131,68743,801
2020-09-24$42.22$44.0023.8%6.7%19.1%19.6%25.1%6.3%0.3%345.4K-11.5M-351.9K3.0959.05N/AN/A14043231,69044,022
2020-09-25$42.07$44.0023.0%6.5%19.1%18.5%22.6%5.6%0.5%325.0K-11.6M-343.5K1.2855.22N/AN/A30739231,69944,252
2020-09-28$42.56$44.0022.5%6.4%19.3%17.7%20.5%-2.2%2.5%762.5K-15.6M-326.5K0.0416.93N/AN/A1,5006530,90244,160
2020-09-29$42.59$44.0022.6%6.4%18.5%17.9%22.2%5.3%2.3%1.3M-18.1M-329.3K0.1314.14N/AN/A3064032,28044,197
2020-09-30$43.19$44.0023.8%6.3%18.5%19.7%20.8%5.4%1.6%2.0M-27.8M-326.9K0.2274.40N/AN/A3728232,44444,212