VWO Options History — November 2020

In November 2020, VWO traded between $44.24 and $48.73. ATM implied volatility averaged 19.8%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.1% (HV 20d: 18.7%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.89.

Notable Days

  • 2020-11-17: Highest Volume — 12,815 contracts
  • 2020-11-10: Largest IV drop — 17.8% change
  • 2020-11-02: Highest IV Rank — 27.9%
  • 2020-11-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.10$44.24$48.73$44.24$47.62
Max Pain$39.25$38.00$42.00$42.00$39.00
ATM IV19.8%16.9%28.9%28.9%19.9%
Expected Move5.8%5.0%9.2%9.2%5.9%
HV 20d18.7%15.4%19.9%15.4%18.2%
HV 60d17.2%16.0%17.6%16.0%17.2%
IV Rank13.4%8.7%27.9%27.9%13.6%
IV Percentile34.6%19.8%79.0%79.0%34.9%
Term Structure0.6%-2.7%4.8%0.1%1.1%
VWIV20.8%16.6%30.6%30.6%21.0%
Skew 25d3.2%-6.9%10.0%9.2%-3.0%
Skew 10d11.2%3.7%31.9%15.1%9.7%
Call IV 25d20.5%15.8%36.9%24.6%25.5%
Put IV 25d23.7%19.4%33.8%33.8%22.5%
Bid-Ask Spread %47.1114.8279.7044.8038.13
Gamma HHI0.150.120.190.130.12
Net GEX5.3M3.5M7.6M3.5M4.0M
Net DEX-84.2M-112.6M-40.8M-40.8M-58.1M
Net VEX-334.5K-372.8K-298.9K-328.2K-365.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.0524.630.260.65
Total Volume1,710.2529212,815343503
Total OI82,046.4569,35191,66181,05970,654

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$44.24$42.0028.9%9.2%15.4%27.9%30.6%9.2%0.1%3.5M-40.8M-328.2K0.2644.80N/AN/A2737036,96444,095
2020-11-03$44.50$42.0027.1%8.6%15.5%25.0%27.7%-3.9%-0.6%3.9M-45.6M-323.7K0.1671.15N/AN/A3105136,96444,095
2020-11-04$45.85$42.0023.7%6.7%18.4%19.6%23.7%3.4%3.4%5.8M-73.5M-319.3K4.6452.26N/AN/A2341,08537,42844,145
2020-11-05$46.65$38.0023.0%6.4%19.2%18.5%25.2%-6.9%-2.7%5.7M-86.2M-313.8K1.0967.46N/AN/A38141737,98145,115
2020-11-06$47.02$38.0020.4%6.0%19.2%14.3%19.7%10.0%1.3%5.8M-95.2M-307.4K0.0576.16N/AN/A1,0995938,17845,279
2020-11-09$47.34$38.0021.5%5.9%19.0%16.1%18.6%7.3%4.8%6.0M-102.5M-301.7K0.7572.92N/AN/A41430938,63745,195
2020-11-10$46.76$39.0017.7%5.7%19.6%10.0%18.6%3.5%0.7%6.9M-94.1M-298.9K24.6357.18N/AN/A2616,42938,79645,218
2020-11-11$46.81$39.0017.9%5.3%19.5%10.3%21.8%3.2%0.6%7.5M-90.4M-331.8K0.9166.14N/AN/A15313938,94848,320
2020-11-12$46.45$39.0019.9%5.9%19.4%13.6%22.0%4.5%0.7%7.6M-83.3M-328.9K0.6317.12N/AN/A27117238,99448,336
2020-11-13$47.10$38.0017.8%5.2%19.8%10.1%18.4%3.7%0.8%7.0M-99.0M-315.9K0.3827.40N/AN/A2138139,03048,291
2020-11-16$47.61$39.0017.9%5.1%19.9%10.3%19.5%4.1%0.5%5.2M-112.6M-300.1K0.4079.70N/AN/A44017739,22048,344
2020-11-17$47.66$39.0018.0%5.2%19.7%10.5%22.3%4.3%0.7%5.3M-112.1M-305.5K1.1022.61N/AN/A6,1036,71239,28748,436
2020-11-18$47.51$39.0018.0%5.2%19.8%10.5%18.0%3.6%0.8%5.2M-99.4M-372.8K0.0779.14N/AN/A7795339,86451,422
2020-11-19$47.56$39.0018.0%5.1%19.8%10.4%18.3%3.5%0.7%4.5M-100.1M-363.2K0.8946.69N/AN/A45440239,83551,437
2020-11-20$47.94$39.0017.5%5.0%19.9%9.6%17.5%3.9%-0.1%4.4M-106.5M-369.1K0.0640.80N/AN/A2,57316639,89251,769
2020-11-23$47.89$39.0017.5%5.1%18.9%9.6%18.0%4.0%-0.6%3.7M-62.1M-364.0K0.3214.82N/AN/A78724831,11538,236
2020-11-24$48.50$39.0017.1%5.0%19.2%9.0%18.6%3.4%0.0%4.4M-73.0M-362.7K0.3520.54N/AN/A45516131,72738,341
2020-11-25$48.28$39.0016.9%5.0%16.6%8.7%19.9%3.3%0.1%4.8M-70.1M-361.3K0.3822.87N/AN/A78829931,83938,424
2020-11-27$48.73$39.0017.5%5.3%16.6%9.6%16.6%3.0%-0.1%4.4M-78.6M-357.0K0.0524.36N/AN/A6523232,37738,701
2020-11-30$47.62$39.0019.9%5.9%18.2%13.6%21.0%-3.0%1.1%4.0M-58.1M-365.2K0.6538.13N/AN/A30519832,00238,652