VWO Options History — April 2021

In April 2021, VWO traded between $51.80 and $54.00. ATM implied volatility averaged 17.9%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.0% (HV 20d: 16.8%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2021-04-13: Highest Volume — 7,417 contracts
  • 2021-04-15: Largest IV drop — 12.0% change
  • 2021-04-14: Highest IV Rank — 13.9%
  • 2021-04-22: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.73$51.80$54.00$52.47$52.88
Max Pain$52.00$52.00$52.00$52.00$52.00
ATM IV17.9%16.2%21.3%17.7%17.4%
Expected Move4.9%4.6%5.2%4.6%4.8%
HV 20d16.8%11.9%23.8%23.8%13.7%
HV 60d20.8%19.0%21.6%21.6%19.2%
IV Rank4.1%0.0%13.9%2.3%7.0%
IV Percentile7.4%0.0%43.7%2.0%4.0%
Term Structure-0.3%-2.7%0.9%-0.4%-0.0%
VWIV17.6%14.8%21.3%16.2%16.5%
Skew 25d2.6%-4.2%7.5%2.4%7.5%
Skew 10d6.7%-3.0%18.6%3.1%6.3%
Call IV 25d18.5%14.5%28.9%17.2%16.1%
Put IV 25d21.1%18.2%28.3%19.6%23.6%
Bid-Ask Spread %28.5616.2144.0718.9327.43
Gamma HHI0.070.060.090.060.07
Net GEX1.1M199.1K2.4M863.6K1.0M
Net DEX-24.3M-36.8M-14.9M-21.4M-24.2M
Net VEX-435.6K-457.4K-409.0K-457.4K-419.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.057.200.090.53
Total Volume1,171.5241407,4173,022289
Total OI60,165.52458,36263,01359,58159,365

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$52.47$52.0017.7%4.6%23.8%2.3%16.2%2.4%-0.4%863.6K-21.4M-457.4K0.0918.93N/AN/A2,77225030,21229,369
2021-04-05$52.65$52.0018.1%5.0%23.6%3.5%19.4%-1.6%0.6%1.0M-21.3M-450.4K0.0521.75N/AN/A7983730,90029,261
2021-04-06$52.97$52.0017.2%4.9%21.1%1.0%20.0%4.2%0.3%1.6M-30.1M-440.6K0.7526.59N/AN/A39129431,72729,266
2021-04-07$52.08$52.0017.6%5.1%20.7%2.3%17.9%4.0%0.5%414.6K-17.8M-434.3K0.7933.56N/AN/A33226131,92729,284
2021-04-08$52.69$52.0017.4%4.9%21.1%1.8%17.6%5.7%-0.2%1.4M-27.3M-428.5K0.8433.11N/AN/A19016031,90229,525
2021-04-09$52.18$52.0017.9%5.2%18.4%3.3%18.3%0.5%0.0%555.5K-20.5M-427.9K1.3422.55N/AN/A14319131,97029,453
2021-04-12$51.80$52.0019.9%5.2%17.5%9.5%21.3%-4.2%-2.7%199.1K-14.9M-409.0K0.1623.53N/AN/A2,33637330,70729,543
2021-04-13$51.94$52.0019.3%5.2%17.6%7.5%19.6%2.7%-2.1%219.8K-18.5M-434.1K0.7126.63N/AN/A4,3383,07932,94729,778
2021-04-14$52.11$52.0021.3%5.2%17.5%13.9%18.1%2.7%-1.5%685.7K-20.1M-423.1K7.2032.17N/AN/A3452,48330,86629,684
2021-04-15$52.64$52.0018.8%4.8%17.9%5.9%17.7%1.7%-0.6%831.3K-24.0M-453.6K0.1544.07N/AN/A2303530,85632,128
2021-04-16$52.85$52.0017.2%4.6%16.9%1.1%16.5%-0.7%-1.3%1.4M-26.0M-454.7K0.0933.01N/AN/A4864530,88632,127
2021-04-19$52.66$52.0017.4%4.9%16.5%1.5%16.7%3.6%0.5%684.1K-21.8M-444.9K0.6422.75N/AN/A29819229,38228,980
2021-04-20$52.34$52.0018.0%5.2%16.6%3.7%18.4%4.1%0.1%486.2K-18.3M-444.3K0.1522.01N/AN/A67810229,52929,094
2021-04-21$52.69$52.0017.4%5.0%15.4%2.6%17.8%3.8%0.8%721.7K-22.2M-447.4K0.9428.78N/AN/A726829,92829,175
2021-04-22$52.62$52.0018.1%5.2%13.1%7.4%15.8%4.5%-0.3%831.8K-21.6M-442.6K0.1723.81N/AN/A3446029,95429,181
2021-04-23$53.31$52.0016.8%4.7%13.6%0.0%16.2%4.0%0.9%1.5M-29.8M-434.4K0.1937.06N/AN/A3346429,86929,208
2021-04-26$53.38$52.0018.1%4.7%12.0%7.3%17.8%1.2%-1.1%1.7M-30.8M-429.2K0.7642.72N/AN/A19414829,81628,969
2021-04-27$53.42$52.0016.6%4.6%11.9%0.0%16.1%5.1%0.1%1.7M-29.5M-432.0K0.1420.60N/AN/A1,10915729,93729,091
2021-04-28$54.00$52.0016.2%4.6%12.3%0.0%17.1%2.9%-0.3%2.4M-36.8M-418.2K0.3742.59N/AN/A2459029,62029,203
2021-04-29$53.74$52.0017.1%4.7%12.4%5.0%14.8%1.2%-0.4%2.2M-33.7M-422.0K0.0616.21N/AN/A5583129,64629,211
2021-04-30$52.88$52.0017.4%4.8%13.7%7.0%16.5%7.5%-0.0%1.0M-24.2M-419.5K0.5327.43N/AN/A18910030,13829,227