VWO Options History — March 2021 In March 2021, VWO traded between $50.66 and $53.95. ATM implied volatility averaged 22.2%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.6% (HV 20d: 23.8%). Max pain ranged from $49.00 to $52.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.64.
Notable Days 2021-03-08 : Highest Volume — 4,281 contracts2021-03-24 : Largest IV spike — 14.9% change2021-03-24 : Highest IV Rank — 19.9%2021-03-04 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $52.40 $50.66 $53.95 $53.95 $52.09 Max Pain $51.52 $49.00 $52.00 $49.00 $52.00 ATM IV 22.2% 19.7% 26.1% 23.9% 19.7% Expected Move 6.2% 5.4% 7.2% 6.2% 5.4% HV 20d 23.8% 18.1% 26.3% 20.6% 25.0% HV 60d 20.8% 18.4% 22.2% 18.4% 22.0% IV Rank 10.9% 6.4% 19.9% 12.2% 8.1% IV Percentile 45.3% 20.6% 71.8% 57.9% 20.6% Term Structure 0.1% -4.4% 4.0% 1.2% 0.2% VWIV 21.7% 13.7% 26.7% 22.1% 19.6% Skew 25d 5.6% -0.2% 11.9% 4.7% 4.2% Skew 10d 9.2% 1.3% 19.1% 6.9% 16.7% Call IV 25d 20.3% 13.8% 25.9% 23.7% 18.5% Put IV 25d 25.9% 22.5% 32.0% 28.4% 22.7% Bid-Ask Spread % 35.42 14.05 62.68 62.68 15.98 Gamma HHI 0.07 0.05 0.10 0.08 0.07 Net GEX 452.9K -813.2K 2.0M 1.5M 63.5K Net DEX -20.0M -40.3M 2.6M -40.3M -13.1M Net VEX -488.7K -520.1K -464.8K -471.0K -464.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.04 5.68 0.05 0.04 Total Volume 1,224.261 322 4,281 1,044 989 Total OI 60,215.913 55,811 66,038 56,753 58,755
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-03-01 $53.95 $49.00 23.9% 6.2% 20.6% 12.2% 22.1% 4.7% 1.2% 1.5M -40.3M -471.0K 0.05 62.68 N/A N/A 990 54 29,455 27,298 2021-03-02 $53.52 $49.00 23.1% 6.5% 18.9% 10.8% 21.7% 4.8% -1.0% 2.0M -35.6M -503.2K 0.21 22.85 N/A N/A 266 56 30,308 27,392 2021-03-03 $53.44 $49.00 23.3% 6.5% 18.1% 11.2% 22.2% 5.1% -0.5% 2.0M -35.6M -480.2K 0.49 27.91 N/A N/A 617 301 30,391 27,453 2021-03-04 $52.22 $52.00 26.1% 7.2% 19.6% 16.0% 26.7% 7.5% -0.4% 813.7K -18.4M -501.3K 0.75 44.83 N/A N/A 2,398 1,802 30,743 27,749 2021-03-05 $52.68 $52.00 24.2% 6.4% 20.0% 12.7% 26.4% 8.1% -1.7% 367.6K -20.8M -491.3K 0.24 54.71 N/A N/A 1,188 291 29,984 27,518 2021-03-08 $51.20 $52.00 25.4% 7.1% 21.9% 15.0% 25.6% 5.8% -0.3% -32.0K -7.6M -482.3K 5.68 42.56 N/A N/A 641 3,640 29,648 27,618 2021-03-09 $52.34 $52.00 23.0% 6.6% 23.5% 10.7% 20.5% 11.9% -1.4% 99.8K -18.2M -513.7K 0.18 39.38 N/A N/A 741 130 29,974 30,998 2021-03-10 $52.23 $52.00 22.4% 6.3% 22.8% 9.6% 22.9% -0.2% -0.1% 25.7K -16.9M -501.8K 0.08 34.11 N/A N/A 449 36 30,342 31,034 2021-03-11 $53.78 $51.00 21.1% 6.0% 25.5% 7.4% 22.2% 10.7% 3.0% 888.0K -39.2M -472.1K 0.06 50.64 N/A N/A 3,631 229 30,491 31,049 2021-03-12 $52.84 $51.00 21.5% 6.3% 25.7% 8.1% 22.4% 5.7% 0.4% 944.5K -27.4M -520.1K 0.92 36.99 N/A N/A 238 220 33,332 31,175 2021-03-15 $52.81 $52.00 21.6% 6.2% 25.7% 8.2% 20.5% 4.7% -0.2% 678.9K -28.0M -503.7K 0.35 25.79 N/A N/A 423 149 33,336 31,265 2021-03-16 $53.08 $52.00 20.5% 5.9% 25.7% 6.4% 20.2% 4.2% 0.1% 863.1K -30.8M -503.9K 0.18 29.70 N/A N/A 476 85 33,536 31,347 2021-03-17 $53.17 $52.00 20.9% 6.0% 25.7% 7.1% 22.4% 4.4% 0.5% 963.1K -33.0M -501.3K 0.71 37.40 N/A N/A 458 327 33,689 31,361 2021-03-18 $52.27 $52.00 21.7% 6.2% 26.0% 8.5% 22.1% 3.7% 0.1% 43.2K -20.1M -509.0K 0.36 58.75 N/A N/A 531 192 33,904 31,709 2021-03-19 $52.83 $52.00 21.0% 5.9% 26.2% 7.5% 19.6% 4.6% 1.8% 974.0K -27.8M -471.7K 1.28 43.09 N/A N/A 380 485 34,237 31,801 2021-03-22 $52.68 $52.00 20.2% 5.7% 24.7% 6.9% 19.6% 4.0% 0.7% 469.5K -16.7M -498.2K 0.06 60.15 N/A N/A 2,181 133 27,226 28,585 2021-03-23 $51.75 $52.00 21.2% 5.9% 25.2% 11.3% 20.7% 3.0% 4.0% 80.6K -11.0M -482.8K 0.73 21.96 N/A N/A 361 262 29,049 28,693 2021-03-24 $50.66 $52.00 24.4% 6.3% 26.0% 19.9% 21.0% 9.5% -4.4% -761.3K 1.7M -469.7K 0.42 22.38 N/A N/A 308 128 29,258 28,969 2021-03-25 $50.66 $52.00 22.1% 6.2% 25.2% 13.7% 21.5% 9.5% -1.3% -813.2K 2.6M -480.2K 1.41 18.59 N/A N/A 226 318 29,454 29,154 2021-03-26 $51.68 $52.00 21.9% 5.9% 26.3% 14.5% 13.7% 3.6% 1.1% -297.1K -7.7M -469.6K 0.20 25.21 N/A N/A 592 117 29,557 29,402 2021-03-29 $51.56 $52.00 21.6% 6.1% 24.9% 13.5% 22.4% 4.2% -0.4% -316.7K -6.5M -473.0K 0.22 25.06 N/A N/A 375 84 29,009 29,205 2021-03-30 $51.83 $52.00 20.6% 5.9% 24.9% 10.6% 22.3% 4.5% 0.1% -133.7K -10.5M -474.3K 0.09 14.05 N/A N/A 605 55 29,227 29,286 2021-03-31 $52.09 $52.00 19.7% 5.4% 25.0% 8.1% 19.6% 4.2% 0.2% 63.5K -13.1M -464.8K 0.04 15.98 N/A N/A 955 34 29,451 29,304
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