VWO Options History — December 2020

In December 2020, VWO traded between $48.51 and $50.24. ATM implied volatility averaged 19.7%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.8% (HV 20d: 15.9%). Max pain ranged from $39.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.55.

Notable Days

  • 2020-12-16: Highest Volume — 6,110 contracts
  • 2020-12-21: Largest IV spike — 11.3% change
  • 2020-12-07: Highest IV Rank — 15.4%
  • 2020-12-04: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.33$48.51$50.24$48.51$50.00
Max Pain$42.14$39.00$46.00$39.00$46.00
ATM IV19.7%18.0%21.1%19.6%19.3%
Expected Move5.7%5.2%6.3%6.0%5.5%
HV 20d15.9%13.9%18.8%18.7%14.1%
HV 60d16.3%15.5%17.6%17.6%16.2%
IV Rank12.6%9.8%15.4%13.1%10.6%
IV Percentile30.8%20.2%40.9%32.9%26.6%
Term Structure0.5%-0.6%2.5%1.3%0.3%
VWIV20.7%17.6%25.8%22.1%19.0%
Skew 25d4.4%2.1%5.8%3.9%5.7%
Skew 10d11.6%5.0%18.3%9.7%13.5%
Call IV 25d18.3%16.7%20.9%18.5%17.2%
Put IV 25d22.7%20.5%24.5%22.4%23.0%
Bid-Ask Spread %44.4914.7374.3063.4514.73
Gamma HHI0.110.090.170.120.10
Net GEX3.3M1.4M4.6M4.0M2.7M
Net DEX-65.9M-98.1M-26.6M-73.5M-43.0M
Net VEX-403.1K-443.0K-352.8K-352.8K-430.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.0521.370.170.20
Total Volume1,727.2272116,110849569
Total OI72,657.59161,49379,40970,87466,783

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$48.51$39.0019.6%6.0%18.7%13.1%22.1%3.9%1.3%4.0M-73.5M-352.8K0.1763.45N/AN/A72312632,04738,827
2020-12-02$48.59$39.0019.5%5.8%18.8%12.9%21.0%4.5%1.8%4.3M-73.5M-370.3K0.6720.93N/AN/A31120832,69338,919
2020-12-03$48.95$40.0020.8%6.1%16.2%15.0%20.8%2.1%2.5%4.2M-81.1M-375.5K2.1550.62N/AN/A1,4333,08432,83639,128
2020-12-04$49.33$40.0020.3%6.3%15.5%14.2%21.6%3.3%2.2%3.6M-85.6M-390.0K1.7067.71N/AN/A1,5572,64033,43841,909
2020-12-07$49.22$40.0021.1%6.2%15.5%15.4%22.3%3.3%-0.1%4.0M-80.4M-410.7K0.1044.32N/AN/A4033933,38144,381
2020-12-08$49.43$40.0019.8%6.0%15.4%13.3%20.4%3.4%0.8%4.1M-85.8M-393.6K0.3358.89N/AN/A34111233,56244,413
2020-12-09$48.90$40.0020.2%5.8%15.2%14.0%21.4%3.3%-0.2%4.3M-77.3M-394.6K0.3439.20N/AN/A69223733,73844,516
2020-12-10$49.60$40.0019.0%5.5%15.8%12.1%21.4%3.4%-0.1%4.5M-88.9M-389.0K1.6760.87N/AN/A27746234,13744,692
2020-12-11$49.24$40.0020.4%5.9%15.7%14.3%20.2%4.5%0.7%4.6M-82.8M-396.9K0.1965.35N/AN/A3616834,29544,878
2020-12-14$49.09$40.0020.4%5.8%15.3%14.4%19.3%4.3%0.4%4.3M-81.4M-390.1K0.4174.30N/AN/A37915734,06244,781
2020-12-15$49.47$40.0020.0%5.8%15.1%13.7%21.9%4.7%-0.6%4.1M-86.5M-397.0K2.0144.16N/AN/A18236534,27844,905
2020-12-16$49.80$40.0019.1%5.5%15.2%12.3%20.6%4.3%-0.3%3.9M-92.0M-397.2K0.8041.18N/AN/A3,3952,71534,27345,136
2020-12-17$50.14$40.0018.4%5.3%15.2%11.1%19.5%4.3%0.1%3.0M-98.1M-376.2K0.2152.91N/AN/A2,18746633,81445,139
2020-12-18$50.01$41.0018.0%5.2%15.3%10.5%19.1%3.6%0.2%3.6M-93.9M-385.4K0.0549.22N/AN/A3,51518234,05545,151
2020-12-21$49.14$46.0020.0%5.8%16.7%13.7%21.4%4.8%0.4%2.0M-31.0M-422.0K0.2757.56N/AN/A1,62243123,77937,714
2020-12-22$48.75$46.0021.1%6.1%17.0%13.5%25.8%5.6%0.3%1.9M-29.1M-426.2K21.3738.18N/AN/A2445,21425,26838,078
2020-12-23$49.28$46.0019.2%5.6%16.8%10.4%19.9%5.2%0.8%1.6M-30.8M-443.0K0.6637.95N/AN/A1278425,44640,373
2020-12-24$48.94$46.0019.5%5.6%16.9%10.9%21.7%5.4%0.3%1.4M-26.6M-439.8K0.2317.33N/AN/A2656225,50340,447
2020-12-28$49.03$46.0019.7%5.7%16.6%11.3%20.9%5.8%0.4%1.6M-29.8M-426.8K0.1143.96N/AN/A8178725,43040,270
2020-12-29$49.58$46.0019.3%5.4%14.6%10.5%17.6%5.3%0.5%2.0M-34.8M-427.4K0.1820.80N/AN/A63711625,48240,313
2020-12-30$50.24$46.0018.9%5.3%13.9%9.8%17.9%5.6%0.4%2.7M-44.8M-433.4K0.2915.26N/AN/A86124625,89840,299
2020-12-31$50.00$46.0019.3%5.5%14.1%10.6%19.0%5.7%0.3%2.7M-43.0M-430.4K0.2014.73N/AN/A4749526,32140,462