VWO Options History — June 2021

In June 2021, VWO traded between $53.42 and $55.11. ATM implied volatility averaged 15.4%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.4% (HV 20d: 15.0%). Max pain ranged from $50.00 to $53.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.59.

Notable Days

  • 2021-06-29: Highest Volume — 9,677 contracts
  • 2021-06-16: Largest IV spike — 15.5% change
  • 2021-06-16: Highest IV Rank — 15.2%
  • 2021-06-03: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.40$53.42$55.11$55.07$54.28
Max Pain$52.14$50.00$53.00$50.00$53.00
ATM IV15.4%13.9%17.2%16.2%14.4%
Expected Move4.3%3.7%5.0%4.5%3.8%
HV 20d15.0%10.4%19.3%19.3%10.6%
HV 60d16.0%14.7%19.0%19.0%14.8%
IV Rank3.2%0.0%15.2%2.6%3.4%
IV Percentile1.4%0.0%8.3%0.8%0.8%
Term Structure0.3%-0.9%1.6%-0.9%0.4%
VWIV16.4%12.3%21.4%15.7%12.3%
Skew 25d3.6%1.9%8.0%3.6%3.6%
Skew 10d6.6%0.2%12.8%7.1%7.8%
Call IV 25d14.0%10.8%15.9%15.1%13.7%
Put IV 25d17.5%15.7%19.4%18.8%17.3%
Bid-Ask Spread %37.6412.1989.9227.1912.19
Gamma HHI0.110.070.160.120.09
Net GEX1.9M142.1K3.2M2.5M2.0M
Net DEX-34.1M-48.6M-15.5M-48.6M-26.2M
Net VEX-426.8K-465.2K-395.8K-396.9K-432.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.590.0255.585.170.02
Total Volume1,950.1361699,6775,7011,617
Total OI59,216.04550,47165,78356,37554,499

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$55.07$50.0016.2%4.5%19.3%2.6%15.7%3.6%-0.9%2.5M-48.6M-396.9K5.1727.19N/AN/A9244,77727,29529,080
2021-06-02$55.11$50.0016.7%4.7%18.4%5.5%16.9%3.6%-0.2%2.2M-47.3M-409.1K0.3517.27N/AN/A2257927,66531,379
2021-06-03$54.44$52.0016.9%5.0%19.1%6.9%21.4%3.1%-0.2%1.9M-37.7M-421.5K1.4544.80N/AN/A12117627,77831,427
2021-06-04$55.00$52.0016.1%4.6%19.2%1.5%17.3%3.8%-0.1%2.1M-46.6M-405.8K55.5832.75N/AN/A663,66827,79631,446
2021-06-07$54.74$52.0016.4%4.6%19.0%3.5%19.0%3.1%-0.3%1.9M-39.8M-431.2K3.0525.35N/AN/A23371027,73834,563
2021-06-08$54.55$52.0016.1%4.5%17.9%1.9%16.5%1.9%-0.4%2.2M-36.4M-425.5K1.3833.52N/AN/A719827,78534,746
2021-06-09$54.50$52.0016.3%4.9%17.7%3.0%18.2%3.4%0.6%2.0M-37.3M-417.4K0.0532.59N/AN/A6833327,84534,836
2021-06-10$54.89$52.0015.1%4.4%14.7%0.0%14.8%2.7%0.0%2.6M-46.7M-442.9K0.3936.50N/AN/A2369329,19934,875
2021-06-11$54.67$52.0014.6%4.2%14.8%0.0%18.0%3.3%0.4%2.7M-42.8M-436.6K1.3751.98N/AN/A10814829,36634,953
2021-06-14$54.82$52.0014.6%4.2%14.1%0.0%17.1%1.9%0.5%3.2M-44.9M-434.7K0.2234.57N/AN/A56212529,20134,944
2021-06-15$54.50$52.0014.9%4.3%14.4%1.9%15.2%2.5%-0.1%3.0M-42.0M-419.0K1.1332.62N/AN/A10211530,14435,040
2021-06-16$53.84$52.0017.2%4.9%14.2%15.2%20.8%3.1%1.1%2.0M-30.7M-438.7K0.1189.92N/AN/A1,43416330,19335,036
2021-06-17$54.16$52.0015.2%4.3%13.9%3.9%15.0%3.0%1.6%1.5M-35.9M-426.6K0.0338.80N/AN/A240630,58035,148
2021-06-18$53.66$52.0015.1%4.3%14.3%3.2%14.9%2.9%1.2%142.1K-27.6M-398.2K0.1063.60N/AN/A5154930,63335,150
2021-06-21$53.57$52.0015.5%4.3%13.5%5.4%16.5%5.2%0.7%296.5K-15.5M-427.4K0.5579.44N/AN/A2,0181,10925,21025,261
2021-06-22$53.42$53.0015.0%4.2%13.1%2.5%17.7%8.0%0.0%260.5K-17.2M-395.8K2.0836.54N/AN/A7291,51427,13226,242
2021-06-23$53.74$53.0014.8%4.1%12.9%1.1%16.5%3.2%0.4%1.1M-16.8M-429.5K2.5322.11N/AN/A2,5686,50427,29826,082
2021-06-24$54.14$53.0014.1%3.9%12.8%0.0%13.7%5.4%0.9%1.7M-22.8M-437.4K0.7225.42N/AN/A19614227,40726,142
2021-06-25$54.45$53.0013.9%3.7%12.9%0.0%13.0%3.5%0.5%1.7M-27.5M-465.2K0.4138.96N/AN/A1636727,52826,272
2021-06-28$54.66$53.0014.6%4.0%12.9%3.9%13.7%3.6%0.3%2.0M-29.9M-453.4K0.0434.98N/AN/A8033627,45126,086
2021-06-29$54.60$53.0014.5%3.8%10.4%4.3%15.7%4.3%-0.0%2.2M-30.6M-443.2K2.1516.96N/AN/A3,0766,60128,17926,123
2021-06-30$54.28$53.0014.4%3.8%10.6%3.4%12.3%3.6%0.4%2.0M-26.2M-432.8K0.0212.19N/AN/A1,5912628,28526,214