VWO Options History — January 2021

In January 2021, VWO traded between $50.40 and $54.44. ATM implied volatility averaged 21.6%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.7% (HV 20d: 16.9%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.54.

Notable Days

  • 2021-01-14: Highest Volume — 9,480 contracts
  • 2021-01-27: Largest IV spike — 14.8% change
  • 2021-01-27: Highest IV Rank — 17.8%
  • 2021-01-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.69$50.40$54.44$50.40$51.66
Max Pain$49.11$47.00$50.00$49.00$50.00
ATM IV21.6%19.5%25.3%21.2%24.6%
Expected Move6.2%5.6%7.3%6.1%7.3%
HV 20d16.9%14.1%20.8%14.1%20.8%
HV 60d17.1%16.1%17.9%16.1%17.9%
IV Rank13.2%9.7%17.8%13.7%16.6%
IV Percentile41.6%25.8%65.5%41.3%62.7%
Term Structure0.1%-0.7%1.5%-0.1%0.1%
VWIV22.6%19.4%29.3%21.5%25.2%
Skew 25d3.5%-8.8%7.3%-8.8%4.9%
Skew 10d10.2%0.1%21.7%21.7%8.5%
Call IV 25d21.0%18.8%30.7%30.7%23.1%
Put IV 25d24.5%21.9%28.1%21.9%28.1%
Bid-Ask Spread %55.9532.1572.5055.2372.50
Gamma HHI0.090.070.140.080.10
Net GEX2.6M2.1M3.6M2.4M2.3M
Net DEX-61.9M-85.9M-31.3M-46.7M-31.3M
Net VEX-464.4K-568.7K-399.1K-429.2K-561.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.033.000.180.21
Total Volume2,041.7373559,4801,359543
Total OI62,770.05350,83872,30466,90761,385

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$50.40$49.0021.2%6.1%14.1%13.7%21.5%-8.8%-0.1%2.4M-46.7M-429.2K0.1855.23N/AN/A1,14721226,44940,458
2021-01-05$51.43$47.0020.9%6.1%15.5%13.1%21.2%6.0%0.2%2.7M-60.7M-408.7K0.2050.90N/AN/A54310926,68540,535
2021-01-06$51.10$48.0022.4%6.3%15.7%15.6%22.4%4.8%0.1%2.6M-58.1M-415.8K0.4139.84N/AN/A78932326,71040,592
2021-01-07$51.45$49.0020.3%5.9%15.8%12.2%20.9%4.2%0.2%2.9M-62.0M-410.2K0.1862.59N/AN/A3015426,93040,885
2021-01-08$52.43$49.0019.5%5.6%16.1%10.9%19.4%3.7%-0.3%2.6M-73.4M-399.1K0.0362.50N/AN/A4,57212326,96540,934
2021-01-11$51.88$49.0021.8%6.2%16.3%14.6%21.8%4.3%-0.3%2.9M-69.0M-416.2K0.3060.63N/AN/A49014828,17340,716
2021-01-12$52.50$49.0021.3%6.2%16.3%13.8%21.3%4.2%-0.1%3.1M-75.4M-410.7K0.1866.77N/AN/A89815928,24840,856
2021-01-13$52.67$49.0021.1%5.8%16.1%13.5%21.6%3.4%-0.7%3.4M-79.5M-411.7K0.0661.63N/AN/A9035128,72940,954
2021-01-14$53.22$49.0020.4%5.9%16.2%12.4%22.7%4.0%0.2%3.6M-85.9M-427.3K0.9860.98N/AN/A4,7874,69329,30940,999
2021-01-15$52.55$49.0020.5%5.8%17.2%12.5%22.5%4.2%-0.5%2.1M-73.6M-446.0K0.3368.13N/AN/A99332429,29843,006
2021-01-19$53.43$49.0020.5%5.9%17.8%12.5%22.2%3.5%0.8%2.3M-55.2M-464.3K0.2244.52N/AN/A1,88542124,49726,341
2021-01-20$54.44$49.0020.4%5.9%18.5%10.6%21.8%2.7%0.3%2.4M-66.7M-466.1K0.2332.15N/AN/A66415525,70026,622
2021-01-21$54.41$49.0019.9%5.7%16.7%9.7%20.9%2.8%0.4%2.5M-67.0M-475.2K0.3253.66N/AN/A49215926,11126,713
2021-01-22$54.05$49.0020.7%5.9%16.6%10.0%22.6%3.7%0.5%3.0M-63.2M-491.1K0.7347.28N/AN/A75655426,31626,868
2021-01-25$54.16$50.0023.3%6.6%16.5%14.5%26.5%4.4%0.3%2.5M-63.0M-507.5K3.0054.32N/AN/A1,9945,97727,03327,148
2021-01-26$53.88$50.0022.0%6.2%16.3%12.3%22.6%2.9%0.3%2.5M-58.0M-554.8K1.5844.94N/AN/A55988528,54230,860
2021-01-27$52.60$50.0025.3%7.3%19.3%17.8%29.3%3.6%-0.2%2.2M-42.6M-568.7K0.4660.63N/AN/A71832728,81131,659
2021-01-28$52.86$50.0023.7%6.5%19.1%15.1%23.1%7.3%1.5%2.3M-44.0M-560.4K0.7263.84N/AN/A63045528,69031,904
2021-01-29$51.66$50.0024.6%7.3%20.8%16.6%25.2%4.9%0.1%2.3M-31.3M-561.1K0.2172.50N/AN/A4489529,07132,314