VWO Options History — May 2021

In May 2021, VWO traded between $51.01 and $53.93. ATM implied volatility averaged 18.4%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.0% (HV 20d: 16.4%). Max pain ranged from $50.00 to $52.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.03.

Notable Days

  • 2021-05-07: Highest Volume — 4,416 contracts
  • 2021-05-12: Largest IV spike — 17.4% change
  • 2021-05-12: Highest IV Rank — 40.2%
  • 2021-05-12: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.56$51.01$53.93$52.91$53.93
Max Pain$50.30$50.00$52.00$52.00$50.00
ATM IV18.4%15.8%22.5%17.4%15.8%
Expected Move5.2%4.2%6.5%5.0%4.2%
HV 20d16.4%12.7%19.1%13.7%17.9%
HV 60d19.6%18.6%20.3%19.2%18.6%
IV Rank14.2%0.0%40.2%6.9%0.0%
IV Percentile17.2%0.0%64.7%4.0%0.0%
Term Structure0.5%-0.3%1.8%0.5%0.2%
VWIV18.7%14.7%24.6%18.3%15.2%
Skew 25d5.5%2.9%9.1%3.7%6.5%
Skew 10d8.7%3.3%15.2%8.2%6.7%
Call IV 25d16.0%9.3%20.2%16.0%12.5%
Put IV 25d21.5%18.4%26.1%19.7%19.0%
Bid-Ask Spread %39.4218.2872.1653.7219.40
Gamma HHI0.090.060.350.070.16
Net GEX512.7K-3.9M4.0M1.2M4.0M
Net DEX-21.4M-35.8M-3.5M-25.0M-35.8M
Net VEX-393.6K-425.0K-366.1K-425.0K-391.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.0528.840.300.39
Total Volume1,176.151454,416361419
Total OI59,491.5555,34863,59759,16156,514

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$52.91$52.0017.4%5.0%13.7%6.9%18.3%3.7%0.5%1.2M-25.0M-425.0K0.3053.72N/AN/A2788330,02229,139
2021-05-04$52.20$52.0019.3%5.6%14.3%18.5%20.2%4.0%1.8%395.1K-14.6M-418.5K0.3565.62N/AN/A60621330,14829,188
2021-05-05$52.55$52.0018.7%5.1%13.2%16.0%17.3%4.6%1.3%627.3K-20.3M-414.3K0.4868.53N/AN/A984729,97029,190
2021-05-06$52.91$50.0017.5%5.1%12.8%8.2%16.7%2.9%0.2%917.8K-24.0M-387.7K0.1037.96N/AN/A1,28813529,99329,229
2021-05-07$53.50$50.0016.4%4.9%12.7%1.5%24.6%5.1%0.8%2.2M-33.3M-379.5K2.1826.16N/AN/A1,3893,02730,32529,291
2021-05-10$52.58$50.0017.9%5.2%14.1%11.0%20.2%6.2%0.3%752.9K-24.3M-420.5K0.1959.78N/AN/A68212930,78029,490
2021-05-11$52.33$50.0019.1%5.8%14.2%18.9%21.1%7.2%0.4%306.6K-21.0M-418.3K0.4872.16N/AN/A26512831,24829,629
2021-05-12$51.05$50.0022.5%6.5%16.7%40.2%20.6%5.9%0.2%-571.3K-5.8M-402.2K0.2623.03N/AN/A1,05327431,33729,670
2021-05-13$51.01$50.0020.9%6.1%16.2%30.4%21.8%5.1%0.4%-896.4K-3.5M-382.0K0.0618.28N/AN/A1,3457530,98029,875
2021-05-14$51.83$50.0018.0%5.3%17.2%11.7%17.8%6.9%0.7%-874.2K-11.1M-367.9K0.0669.68N/AN/A2,87417830,21829,909
2021-05-17$51.83$50.0018.8%5.4%17.2%16.4%18.2%5.7%0.1%-905.9K-12.7M-378.8K0.3720.48N/AN/A2117831,50429,787
2021-05-18$52.73$50.0018.3%5.2%18.2%13.2%19.3%5.4%1.4%463.3K-24.6M-387.7K0.3443.78N/AN/A1836231,56029,810
2021-05-19$52.32$50.0020.4%5.8%18.3%26.9%21.7%4.9%-0.3%-300.1K-19.6M-384.6K0.0526.85N/AN/A7403531,64129,812
2021-05-20$52.67$50.0018.2%5.1%18.4%12.8%20.2%5.1%1.4%392.7K-25.8M-366.1K28.8430.72N/AN/A1404,03831,55429,840
2021-05-21$52.03$50.0018.9%5.4%18.3%17.6%17.4%4.5%0.3%-3.9M-15.8M-408.1K0.0866.63N/AN/A6585331,60231,995
2021-05-24$52.61$50.0017.6%4.8%18.8%9.1%15.8%5.1%-0.1%798.0K-19.4M-387.7K0.4521.84N/AN/A65029126,37528,973
2021-05-25$53.08$50.0017.7%4.9%19.1%9.6%16.3%6.5%0.2%1.5M-26.4M-381.7K0.2120.65N/AN/A3517326,89529,233
2021-05-26$53.52$50.0018.0%4.6%18.9%11.5%14.7%5.1%-0.1%1.9M-32.5M-384.6K0.1521.64N/AN/A4266527,12729,264
2021-05-27$53.66$50.0016.6%4.5%18.8%2.6%17.3%9.1%-0.2%2.1M-32.4M-385.9K5.1721.49N/AN/A14374027,39629,318
2021-05-28$53.93$50.0015.8%4.2%17.9%0.0%15.2%6.5%0.2%4.0M-35.8M-391.8K0.3919.40N/AN/A30211727,45629,058