VWO Options History — October 2020

In October 2020, VWO traded between $43.19 and $45.34. ATM implied volatility averaged 23.8%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 9.2% (HV 20d: 14.7%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2020-10-13: Highest Volume — 6,020 contracts
  • 2020-10-16: Largest IV spike — 28.5% change
  • 2020-10-16: Highest IV Rank — 27.0%
  • 2020-10-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.53$43.19$45.34$43.50$43.75
Max Pain$42.18$42.00$44.00$44.00$42.00
ATM IV23.8%20.5%28.4%22.2%28.3%
Expected Move6.8%5.8%8.7%5.8%8.7%
HV 20d14.7%10.7%18.7%18.7%15.4%
HV 60d16.1%15.3%16.6%16.2%16.3%
IV Rank19.8%14.5%27.0%17.1%27.0%
IV Percentile60.7%44.8%78.2%56.3%77.8%
Term Structure-0.1%-9.3%3.3%2.9%0.4%
VWIV23.5%19.7%28.6%20.0%28.6%
Skew 25d5.3%-3.4%11.6%4.3%8.1%
Skew 10d9.7%-7.3%24.0%8.3%11.1%
Call IV 25d20.0%14.3%25.5%20.0%25.0%
Put IV 25d25.3%16.5%33.8%24.2%33.1%
Bid-Ask Spread %37.5214.0981.8641.7428.93
Gamma HHI0.120.080.140.100.09
Net GEX3.5M1.8M4.6M2.4M1.8M
Net DEX-44.1M-61.8M-26.3M-31.9M-26.4M
Net VEX-309.5K-332.9K-290.8K-332.9K-300.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0320.350.280.03
Total Volume1,338.1821526,0206543,567
Total OI76,772.22774,72580,52876,82276,793

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$43.50$44.0022.2%5.8%18.7%17.1%20.0%4.3%2.9%2.4M-31.9M-332.9K0.2841.74N/AN/A51214232,57644,246
2020-10-02$43.19$44.0022.9%6.4%17.7%18.3%19.7%4.0%3.3%2.0M-26.3M-325.0K0.3281.86N/AN/A43213732,63944,363
2020-10-05$43.64$42.0024.0%7.2%18.1%20.1%23.0%6.3%0.6%2.6M-32.0M-324.2K0.3542.80N/AN/A53018432,18844,367
2020-10-06$43.80$42.0024.0%7.2%16.7%20.1%24.7%5.6%-0.3%3.0M-36.0M-324.9K0.9356.61N/AN/A25623832,30344,480
2020-10-07$44.24$42.0024.6%7.2%16.6%21.0%23.2%3.2%0.3%3.5M-42.4M-321.2K1.0138.66N/AN/A30330632,51444,424
2020-10-08$44.53$42.0022.6%6.6%15.8%17.8%24.5%11.6%0.2%4.0M-47.4M-309.9K0.6045.45N/AN/A1006032,48844,447
2020-10-09$44.85$42.0020.5%6.1%15.9%14.5%23.0%6.1%0.4%4.4M-52.7M-302.0K1.0057.14N/AN/A20120232,50044,445
2020-10-12$45.34$42.0020.9%6.2%15.1%15.1%21.5%4.0%0.9%4.6M-61.8M-290.8K0.5734.26N/AN/A43024632,44244,440
2020-10-13$45.23$42.0022.0%6.3%14.9%16.9%21.6%-3.4%-0.1%4.6M-59.8M-292.5K20.3525.44N/AN/A2825,73832,54044,456
2020-10-14$45.00$42.0022.5%6.1%15.0%17.6%25.3%1.9%-1.0%4.5M-54.3M-315.0K4.6035.88N/AN/A10548332,63747,306
2020-10-15$44.59$42.0022.1%6.2%15.3%17.0%22.3%1.9%-0.3%4.4M-44.9M-301.8K1.0029.05N/AN/A11411432,67047,734
2020-10-16$44.73$42.0028.4%6.1%15.2%27.0%21.3%5.9%-9.3%3.9M-48.6M-309.0K0.1835.46N/AN/A2,55845432,73847,790
2020-10-19$44.59$42.0023.3%6.7%12.8%19.0%21.9%5.9%-0.4%3.3M-41.7M-299.7K0.0744.92N/AN/A1,3239431,21543,510
2020-10-20$45.10$42.0023.1%6.6%12.9%18.7%21.2%6.0%-0.6%3.6M-48.7M-302.9K0.1223.99N/AN/A2052431,42443,597
2020-10-21$45.15$42.0023.4%6.7%11.3%19.1%26.7%5.3%-0.4%3.7M-50.0M-315.9K0.1024.38N/AN/A2,61225331,54343,609
2020-10-22$45.20$42.0023.5%6.7%11.0%19.3%20.9%4.1%1.1%3.9M-53.2M-313.8K0.4924.17N/AN/A1989731,71343,743
2020-10-23$45.31$42.0021.2%6.0%10.7%15.6%24.2%5.9%0.7%4.2M-55.1M-315.2K0.2826.40N/AN/A2115931,77443,790
2020-10-26$44.67$42.0025.4%7.6%12.0%22.3%26.8%7.3%0.2%3.3M-42.2M-302.9K0.2919.03N/AN/A47413731,58743,668
2020-10-27$44.99$42.0024.6%7.5%12.1%20.9%23.3%6.5%0.4%3.8M-46.8M-293.4K0.0314.09N/AN/A7222231,82743,754
2020-10-28$43.94$42.0028.3%8.7%14.6%26.8%28.4%8.3%-0.4%2.4M-31.8M-315.0K0.3371.98N/AN/A1143832,53043,768
2020-10-29$44.35$42.0026.3%7.9%14.7%23.7%24.9%8.2%0.3%3.0M-37.1M-300.3K0.0723.17N/AN/A4,83732632,61543,796
2020-10-30$43.75$42.0028.3%8.7%15.4%27.0%28.6%8.1%0.4%1.8M-26.4M-300.3K0.0328.93N/AN/A3,46310432,69544,098