VWO Options History — September 2021

In September 2021, VWO traded between $49.47 and $53.33. ATM implied volatility averaged 18.6%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.3% (HV 20d: 18.3%). Max pain ranged from $50.00 to $53.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2021-09-01: Highest Volume — 6,677 contracts
  • 2021-09-20: Largest IV spike — 39.2% change
  • 2021-09-20: Highest IV Rank — 66.4%
  • 2021-09-20: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.51$49.47$53.33$52.88$50.08
Max Pain$50.17$50.00$53.50$53.50$50.00
ATM IV18.6%15.5%23.8%15.6%21.7%
Expected Move5.3%4.2%6.9%4.2%6.3%
HV 20d18.3%15.0%21.1%16.8%19.3%
HV 60d17.6%16.5%19.1%16.5%19.0%
IV Rank32.0%11.6%66.4%12.5%52.6%
IV Percentile42.6%10.7%91.7%11.9%77.8%
Term Structure0.2%-1.0%1.6%0.1%0.3%
VWIV18.5%14.9%24.5%15.5%23.2%
Skew 25d4.9%2.6%8.9%4.6%5.1%
Skew 10d8.9%-0.2%22.6%8.0%3.5%
Call IV 25d16.9%14.0%21.1%14.0%19.4%
Put IV 25d21.8%18.1%30.0%18.5%24.4%
Bid-Ask Spread %32.7213.7071.4925.3823.01
Gamma HHI0.090.080.110.110.08
Net GEX2.8M950.9K5.1M3.6M1.3M
Net DEX-34.6M-60.4M-10.4M-50.9M-15.2M
Net VEX-527.5K-558.5K-483.5K-525.7K-534.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0221.381.560.63
Total Volume1,370766,6776,677109
Total OI70,298.57162,73377,64269,73668,556

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$52.88$53.5015.6%4.2%16.8%12.5%15.5%4.6%0.1%3.6M-50.9M-525.7K1.5625.38N/AN/A2,6124,06542,55927,177
2021-09-02$52.59$50.0016.4%4.5%16.8%17.3%17.5%3.7%0.8%3.4M-48.4M-515.7K0.2549.82N/AN/A2586542,73927,183
2021-09-03$52.91$50.0015.5%4.5%16.6%11.6%15.5%3.8%0.2%4.5M-53.4M-553.0K0.1827.87N/AN/A2544744,81929,074
2021-09-07$53.33$50.0016.0%4.7%16.7%14.9%14.9%3.6%0.8%5.1M-60.4M-544.6K0.0614.58N/AN/A1,2697244,78529,034
2021-09-08$52.55$50.0016.8%4.6%17.7%20.4%17.4%4.0%-0.7%4.1M-47.0M-532.9K0.1133.36N/AN/A1,29914844,93129,070
2021-09-09$52.69$50.0016.3%4.6%17.6%17.2%16.1%5.2%-0.5%4.7M-49.7M-527.1K0.2966.64N/AN/A591745,88929,104
2021-09-10$52.52$50.0018.4%4.9%17.5%30.4%18.1%5.2%-0.8%4.2M-45.8M-530.5K0.5230.13N/AN/A20110545,48929,211
2021-09-13$52.67$50.0017.3%4.9%17.5%23.5%19.3%5.5%1.6%4.3M-48.1M-517.4K0.0249.17N/AN/A2,1525145,36129,169
2021-09-14$52.15$50.0018.0%5.1%17.6%27.9%17.7%5.5%0.4%3.3M-39.1M-530.7K0.5834.60N/AN/A17910345,44429,260
2021-09-15$52.18$50.0016.8%4.8%15.9%20.0%16.9%3.0%0.2%3.2M-39.7M-504.5K0.0331.37N/AN/A2,9447945,55029,289
2021-09-16$51.64$50.0016.8%4.7%16.5%20.2%17.4%3.2%1.2%2.1M-30.5M-483.5K4.1060.51N/AN/A21086245,60329,359
2021-09-17$51.48$50.0017.1%4.9%15.0%22.3%17.3%4.1%0.6%2.3M-33.8M-514.2K0.2139.32N/AN/A3036548,27729,365
2021-09-20$49.47$50.0023.8%6.9%21.1%66.4%24.5%8.9%0.2%1.0M-11.1M-512.6K1.0224.71N/AN/A49650842,63921,046
2021-09-21$50.03$50.0022.1%6.4%20.8%55.3%19.5%7.5%-0.3%1.4M-17.3M-523.6K0.6528.68N/AN/A28118442,54521,086
2021-09-22$50.75$50.0020.2%5.8%20.0%42.4%20.4%5.1%0.6%2.0M-30.6M-558.5K0.2671.49N/AN/A56114642,70221,452
2021-09-23$50.97$50.0019.2%5.4%20.0%36.1%17.2%5.5%0.3%2.2M-29.5M-542.9K0.0815.61N/AN/A5774542,87121,602
2021-09-24$50.38$50.0019.0%5.3%20.3%34.8%17.4%5.9%0.0%1.4M-21.9M-517.5K21.3814.74N/AN/A2525,38943,13121,571
2021-09-27$50.73$50.0019.1%5.4%19.9%35.3%18.5%5.1%-1.0%2.1M-27.1M-520.5K0.7816.94N/AN/A24619241,53821,195
2021-09-28$50.07$50.0022.1%6.3%20.3%54.9%21.1%2.6%0.2%1.3M-16.0M-548.6K0.1613.70N/AN/A2433841,71526,428
2021-09-29$49.74$50.0022.3%6.5%19.8%56.4%22.2%5.1%0.3%950.9K-10.4M-539.3K0.0415.55N/AN/A2,0087641,90126,551
2021-09-30$50.08$50.0021.7%6.3%19.3%52.6%23.2%5.1%0.3%1.3M-15.2M-534.3K0.6323.01N/AN/A674241,97926,577