VWO Options History — August 2021

In August 2021, VWO traded between $49.34 and $52.25. ATM implied volatility averaged 16.9%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.8% (HV 20d: 18.7%). Max pain ranged from $53.00 to $54.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.80.

Notable Days

  • 2021-08-25: Highest Volume — 4,661 contracts
  • 2021-08-19: Largest IV spike — 13.9% change
  • 2021-08-19: Highest IV Rank — 42.5%
  • 2021-08-19: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.10$49.34$52.25$51.48$52.25
Max Pain$53.77$53.00$54.00$53.00$53.50
ATM IV16.9%14.2%20.2%18.1%16.3%
Expected Move4.8%4.2%5.8%4.9%4.3%
HV 20d18.7%15.6%21.6%21.6%16.3%
HV 60d16.2%15.5%17.4%17.4%16.3%
IV Rank20.8%3.2%42.5%28.6%17.1%
IV Percentile21.9%1.2%58.3%31.0%16.3%
Term Structure0.1%-1.8%1.4%-0.2%-0.9%
VWIV16.3%14.1%22.6%16.6%14.1%
Skew 25d4.9%1.8%6.9%5.3%4.9%
Skew 10d10.3%3.0%15.7%12.7%14.3%
Call IV 25d15.2%12.8%17.6%16.5%14.2%
Put IV 25d20.1%17.0%24.1%21.8%19.1%
Bid-Ask Spread %21.948.4049.3218.458.40
Gamma HHI0.110.090.210.110.10
Net GEX184.2K-926.3K5.6M-209.0K2.8M
Net DEX-3.6M-40.0M22.2M-2.4M-40.0M
Net VEX-418.7K-513.0K-368.7K-421.2K-506.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.0233.391.050.19
Total Volume1,180.7272024,661950374
Total OI63,741.558,94569,91660,11469,581

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$51.48$53.0018.1%4.9%21.6%28.6%16.6%5.3%-0.2%-209.0K-2.4M-421.2K1.0518.45N/AN/A46348733,39126,723
2021-08-03$51.61$53.0017.6%4.8%21.0%25.8%14.2%5.3%0.1%-361.4K-2.5M-412.8K0.0523.97N/AN/A2,60412133,48026,774
2021-08-04$51.84$53.0016.8%4.5%21.1%20.1%17.1%4.1%0.2%-198.1K-6.0M-419.3K0.0520.30N/AN/A1,5048033,83127,199
2021-08-05$51.65$54.0016.5%4.7%20.0%18.5%15.2%4.9%0.3%-264.9K-5.2M-442.1K0.4816.38N/AN/A2039835,09027,365
2021-08-06$51.23$54.0015.9%4.7%19.0%14.6%15.3%1.8%0.1%-612.7K-647.1K-439.9K0.5336.48N/AN/A23112336,43127,379
2021-08-09$51.50$54.0015.4%4.6%19.1%10.9%15.3%4.9%0.8%-486.9K-5.1M-420.8K0.2349.32N/AN/A1784136,27727,275
2021-08-10$51.61$54.0014.8%4.3%19.1%6.9%15.7%5.7%-0.2%-793.1K-3.8M-422.8K0.2420.14N/AN/A50912436,37127,358
2021-08-11$51.82$54.0014.2%4.2%19.1%3.2%14.8%4.8%0.7%-663.9K-7.2M-421.0K0.1714.85N/AN/A1723036,48027,382
2021-08-12$51.48$54.0015.1%4.6%19.1%8.8%14.4%2.7%0.9%-559.8K-851.8K-412.8K0.4619.14N/AN/A1517036,50827,455
2021-08-13$51.38$54.0015.0%4.5%18.9%8.2%14.9%3.4%1.1%-715.5K1.4M-400.0K0.4123.37N/AN/A2128736,58127,463
2021-08-16$50.95$54.0015.4%4.4%18.4%10.8%14.6%5.0%1.4%-926.3K5.2M-389.6K0.0721.66N/AN/A4152836,33727,507
2021-08-17$50.00$54.0017.5%5.0%19.2%24.7%17.6%5.9%1.1%-756.2K16.2M-376.8K0.4115.67N/AN/A34114036,33727,503
2021-08-18$50.24$54.0017.7%5.1%19.2%26.4%15.7%4.9%0.8%-456.5K11.8M-389.7K0.0719.10N/AN/A4513036,50227,518
2021-08-19$49.34$54.0020.2%5.8%19.9%42.5%22.6%6.9%-0.1%-692.4K20.9M-376.6K0.9519.08N/AN/A23622436,61127,524
2021-08-20$49.34$54.0019.5%5.7%19.3%37.7%18.4%5.7%-1.3%-550.1K22.2M-373.5K33.3926.91N/AN/A1324,40736,69427,522
2021-08-23$50.09$54.0018.9%5.3%19.1%34.1%18.3%6.5%-1.4%-37.3K527.7K-375.1K0.1116.51N/AN/A1,61317234,30624,639
2021-08-24$51.17$54.0018.8%5.1%18.9%33.6%15.7%4.0%-1.8%354.1K-7.1M-368.7K0.0824.61N/AN/A1,31810534,32927,092
2021-08-25$51.25$54.0017.1%4.9%15.6%21.9%17.1%5.1%-0.3%719.4K-11.4M-429.3K0.0414.50N/AN/A4,50016135,75227,180
2021-08-26$50.84$53.5018.1%4.9%15.8%29.1%18.3%5.7%-0.3%683.7K-7.5M-418.2K0.0220.00N/AN/A1,9974536,62827,223
2021-08-27$51.45$53.5016.2%4.5%16.1%16.5%17.3%5.6%-0.1%5.6M-26.3M-481.2K0.1123.37N/AN/A1,29014141,51427,285
2021-08-30$51.64$53.5016.6%4.5%15.8%18.6%16.2%4.5%0.5%2.1M-31.4M-513.0K0.5530.38N/AN/A23813042,71727,199
2021-08-31$52.25$53.5016.3%4.3%16.3%17.1%14.1%4.9%-0.9%2.8M-40.0M-506.2K0.198.40N/AN/A3136142,41427,167