VWO Options History — July 2021

In July 2021, VWO traded between $49.77 and $53.97. ATM implied volatility averaged 17.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.5% (HV 20d: 14.4%). Max pain ranged from $53.00 to $53.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2021-07-02: Highest Volume — 6,271 contracts
  • 2021-07-29: Largest IV drop — 29.7% change
  • 2021-07-28: Highest IV Rank — 87.7%
  • 2021-07-27: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.41$49.77$53.97$53.97$51.00
Max Pain$53.00$53.00$53.00$53.00$53.00
ATM IV17.0%13.7%27.1%15.1%18.2%
Expected Move4.7%3.4%6.8%3.9%5.0%
HV 20d14.4%9.0%21.2%9.9%21.2%
HV 60d15.5%14.2%17.6%14.4%17.4%
IV Rank21.3%0.0%87.7%8.3%29.4%
IV Percentile20.2%0.0%97.2%4.8%32.9%
Term Structure0.8%-2.5%13.4%-2.5%-0.0%
VWIV16.6%11.6%23.6%13.5%18.1%
Skew 25d4.4%0.0%9.1%0.0%4.5%
Skew 10d9.1%0.4%17.9%0.4%13.2%
Call IV 25d15.2%11.9%20.8%15.7%16.6%
Put IV 25d19.6%15.6%26.6%15.7%21.1%
Bid-Ask Spread %30.1615.6685.8318.7019.65
Gamma HHI0.100.080.100.080.10
Net GEX510.5K-703.2K1.6M1.6M-515.8K
Net DEX-12.0M-25.6M16.1M-22.3M4.6M
Net VEX-449.6K-486.3K-404.9K-439.1K-415.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0214.590.400.15
Total Volume1,159.191536,271201490
Total OI58,716.14355,25362,69855,25359,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$53.97$53.0015.1%3.9%9.9%8.3%13.5%0.0%-2.5%1.6M-22.3M-439.1K0.4018.70N/AN/A1445729,01626,237
2021-07-02$53.89$53.0013.7%3.4%9.0%0.0%11.6%1.3%0.6%1.6M-21.6M-421.1K0.0261.61N/AN/A6,13713429,03126,268
2021-07-06$53.00$53.0015.6%4.6%10.5%12.1%17.0%2.9%0.1%1.1M-20.9M-479.0K1.1730.01N/AN/A28232934,12226,235
2021-07-07$53.03$53.0015.6%4.6%10.5%12.6%15.8%3.8%0.6%1.2M-22.6M-483.2K0.4016.48N/AN/A1716934,18726,398
2021-07-08$52.01$53.0017.1%5.0%12.3%22.4%17.0%5.0%0.6%-203.8K-9.2M-465.2K0.1217.95N/AN/A90310734,23226,419
2021-07-09$52.94$53.0015.7%4.6%13.9%12.7%16.8%4.4%0.3%671.6K-19.4M-486.3K0.4220.53N/AN/A1556534,02526,456
2021-07-12$52.99$53.0015.5%4.6%13.9%11.8%14.6%4.4%0.3%954.6K-20.7M-469.9K0.2518.37N/AN/A1503734,02326,371
2021-07-13$53.08$53.0015.5%4.5%13.8%11.8%17.5%4.2%-0.0%1.2M-22.9M-468.4K14.5918.25N/AN/A2473,60334,08526,394
2021-07-14$53.34$53.0014.9%4.5%13.9%7.6%15.0%2.1%1.1%1.3M-25.6M-471.7K0.3220.53N/AN/A2879134,27028,239
2021-07-15$53.38$53.0015.2%4.5%13.3%9.4%14.4%3.7%0.6%1.2M-23.5M-482.1K0.0721.77N/AN/A3882634,43628,262
2021-07-16$52.89$53.0014.8%4.3%13.4%7.2%14.8%2.9%0.4%1.2M-19.2M-471.0K0.1221.03N/AN/A3093634,27528,238
2021-07-19$52.05$53.0019.0%5.4%14.2%34.6%17.2%6.5%-0.1%216.8K-7.3M-454.6K0.2961.13N/AN/A1,14233231,64124,582
2021-07-20$52.34$53.0016.6%4.7%14.4%18.6%15.8%5.7%0.6%279.4K-10.8M-454.4K0.2622.24N/AN/A2245831,47924,707
2021-07-21$52.62$53.0016.2%4.6%14.5%16.0%14.0%5.6%0.4%540.0K-13.5M-457.7K0.2922.75N/AN/A1193431,74824,752
2021-07-22$52.77$53.0014.6%4.1%14.4%5.5%17.4%4.7%0.8%706.1K-15.6M-444.7K0.2615.66N/AN/A1453831,84324,777
2021-07-23$51.93$53.0015.5%4.4%15.0%11.4%17.8%4.9%0.7%-184.7K-4.2M-421.5K0.6529.61N/AN/A62040031,90224,802
2021-07-26$50.90$53.0018.6%5.2%16.0%31.9%17.5%4.9%-0.3%-642.6K6.7M-404.9K0.8215.76N/AN/A45637531,70224,672
2021-07-27$49.77$53.0023.1%6.8%17.1%61.4%23.6%5.7%1.3%-703.2K16.1M-412.2K6.2458.54N/AN/A3602,24532,04524,970
2021-07-28$51.28$53.0027.1%5.1%21.0%87.7%20.8%9.1%13.4%-467.8K813.7K-415.9K0.5885.83N/AN/A42624532,28325,100
2021-07-29$51.43$53.0019.0%5.0%21.1%34.8%17.6%5.8%-1.7%-397.9K-1.1M-424.3K0.0237.01N/AN/A2,8545332,34926,945
2021-07-30$51.00$53.0018.2%5.0%21.2%29.4%18.1%4.5%-0.0%-515.8K4.6M-415.0K0.1519.65N/AN/A4256532,67626,845