VWO Options History — February 2021

In February 2021, VWO traded between $52.80 and $56.44. ATM implied volatility averaged 20.8%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.0% (HV 20d: 20.8%). Max pain ranged from $48.00 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 0.48.

Notable Days

  • 2021-02-08: Highest Volume — 2,579 contracts
  • 2021-02-26: Largest IV spike — 20.2% change
  • 2021-02-26: Highest IV Rank — 18.2%
  • 2021-02-25: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.82$52.80$56.44$52.99$52.80
Max Pain$48.53$48.00$50.00$50.00$49.00
ATM IV20.8%17.9%27.3%22.6%27.3%
Expected Move5.9%5.4%7.4%6.3%6.9%
HV 20d20.8%18.8%22.7%22.3%21.1%
HV 60d17.7%17.1%18.8%18.5%18.3%
IV Rank9.0%5.4%18.2%13.2%18.2%
IV Percentile30.2%7.9%74.2%48.8%74.2%
Term Structure0.0%-5.7%3.3%0.5%3.3%
VWIV20.7%18.4%27.2%23.2%27.2%
Skew 25d3.9%-1.6%8.7%6.8%1.6%
Skew 10d4.8%-0.5%10.3%0.2%2.0%
Call IV 25d20.6%12.0%26.9%24.2%26.7%
Put IV 25d24.5%20.3%34.9%31.0%28.2%
Bid-Ask Spread %47.9613.7181.6061.0643.04
Gamma HHI0.090.070.110.080.07
Net GEX2.8M839.3K3.8M2.4M839.3K
Net DEX-66.4M-93.2M-26.1M-46.5M-26.1M
Net VEX-523.2K-553.4K-492.1K-553.4K-494.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.043.880.291.31
Total Volume1,068.6323472,5791,257760
Total OI59,531.05354,93263,07958,97558,123

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$52.99$50.0022.6%6.3%22.3%13.2%23.2%6.8%0.5%2.4M-46.5M-553.4K0.2961.06N/AN/A97228528,95130,024
2021-02-02$53.83$50.0021.4%5.8%22.7%11.3%20.6%4.9%-0.0%2.8M-56.6M-552.2K0.1027.81N/AN/A4494629,00430,239
2021-02-03$54.09$50.0020.4%5.5%21.8%9.5%18.9%-1.0%0.1%2.9M-60.3M-544.4K0.3959.56N/AN/A90435529,12230,239
2021-02-04$54.00$48.0019.4%5.7%21.6%7.9%19.0%8.2%0.3%3.3M-62.6M-527.7K0.1750.42N/AN/A3155429,61130,288
2021-02-05$54.43$48.0017.9%5.6%21.7%5.4%20.2%8.4%0.7%3.6M-68.9M-521.2K0.5229.54N/AN/A31316429,70430,301
2021-02-08$54.73$48.0019.2%5.4%20.9%7.5%20.4%3.7%-0.1%3.1M-71.1M-514.1K3.8866.83N/AN/A5292,05029,45030,244
2021-02-09$55.41$48.0018.1%5.6%20.6%5.8%18.4%-1.6%1.3%2.6M-78.3M-523.5K0.1526.42N/AN/A1,26918529,67029,634
2021-02-10$55.48$48.0019.1%5.7%20.4%7.4%19.2%2.4%0.6%2.7M-80.7M-515.1K0.2876.98N/AN/A51214329,98629,709
2021-02-11$56.06$48.0019.3%5.6%20.5%7.7%18.9%1.1%0.5%2.6M-87.3M-516.2K0.0876.89N/AN/A6054730,20429,836
2021-02-12$56.12$48.0019.1%5.5%20.4%6.7%18.9%-1.1%0.2%3.2M-86.8M-525.3K0.0581.60N/AN/A1,3607330,89429,813
2021-02-16$56.36$48.0019.9%5.7%19.5%8.2%20.0%2.2%0.2%3.5M-92.2M-525.6K0.0641.37N/AN/A9875631,67129,784
2021-02-17$56.44$48.0019.7%5.6%18.9%7.7%19.0%4.0%-0.1%3.8M-93.2M-532.8K0.1813.71N/AN/A1,29423932,85429,827
2021-02-18$55.69$48.0019.8%5.6%18.8%7.5%19.0%4.0%0.7%3.4M-82.3M-530.6K0.1119.66N/AN/A6417332,83229,903
2021-02-19$56.05$48.0019.7%5.6%18.8%5.5%19.3%4.0%0.9%3.1M-86.4M-531.9K0.0452.07N/AN/A2,1108233,12629,953
2021-02-22$54.58$48.0022.2%6.3%21.2%9.4%22.8%6.3%-0.7%2.5M-48.8M-519.8K0.2729.22N/AN/A1,63343728,78526,147
2021-02-23$54.84$49.0024.9%6.0%21.2%14.0%21.7%8.7%-1.6%2.4M-51.8M-513.8K0.4866.09N/AN/A28913830,06226,591
2021-02-24$54.39$49.0021.9%6.3%21.4%8.8%21.1%2.6%-0.4%2.6M-46.6M-492.1K0.3841.68N/AN/A2529530,00426,694
2021-02-25$53.27$49.0022.7%7.4%20.9%10.2%25.7%8.1%-5.7%1.6M-34.7M-506.0K0.3947.38N/AN/A42216630,63827,173
2021-02-26$52.80$49.0027.3%6.9%21.1%18.2%27.2%1.6%3.3%839.3K-26.1M-494.6K1.3143.04N/AN/A32943130,80427,319