VWO Options History — October 2021

In October 2021, VWO traded between $49.33 and $52.37. ATM implied volatility averaged 17.7%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.2% (HV 20d: 17.5%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.39.

Notable Days

  • 2021-10-27: Highest Volume — 5,564 contracts
  • 2021-10-15: Largest IV drop — 14.2% change
  • 2021-10-04: Highest IV Rank — 57.0%
  • 2021-10-04: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.08$49.33$52.37$50.07$50.59
Max Pain$50.95$50.00$51.00$50.00$51.00
ATM IV17.7%14.6%22.4%22.1%16.7%
Expected Move5.0%4.4%6.5%5.9%4.7%
HV 20d17.5%13.4%21.3%19.3%14.3%
HV 60d18.0%16.6%19.0%18.6%16.8%
IV Rank25.9%5.8%57.0%54.8%19.2%
IV Percentile35.2%3.6%83.7%81.0%25.4%
Term Structure0.1%-1.9%2.6%0.6%1.2%
VWIV16.4%11.5%22.3%22.3%13.1%
Skew 25d4.1%1.8%8.1%5.3%1.8%
Skew 10d7.5%-2.4%14.5%8.8%1.3%
Call IV 25d16.1%12.0%19.6%19.5%16.3%
Put IV 25d20.2%15.9%27.0%24.8%18.2%
Bid-Ask Spread %39.7519.1685.3029.1132.13
Gamma HHI0.100.080.120.080.10
Net GEX2.5M290.1K4.2M971.9K2.0M
Net DEX-29.9M-47.4M-7.1M-14.4M-20.1M
Net VEX-496.1K-544.6K-435.5K-544.6K-440.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.0532.050.311.92
Total Volume2,338.7621285,5643314,966
Total OI68,438.61964,03569,68069,57068,726

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$50.07$50.0022.1%5.9%19.3%54.8%22.3%5.3%0.6%971.9K-14.4M-544.6K0.3129.11N/AN/A2537842,94826,622
2021-10-04$49.33$51.0022.4%6.5%19.5%57.0%20.5%5.2%-0.5%464.6K-8.4M-520.6K0.0530.93N/AN/A6793642,78026,571
2021-10-05$49.84$51.0020.3%5.8%19.7%43.4%20.8%7.4%0.1%365.9K-13.7M-513.9K0.8020.18N/AN/A715742,64726,633
2021-10-06$49.62$51.0020.6%5.8%19.3%45.4%19.2%8.1%0.7%290.1K-7.1M-488.6K0.1720.66N/AN/A1262242,59126,663
2021-10-07$50.60$51.0020.5%5.4%20.8%44.7%19.4%5.8%-1.9%1.6M-22.1M-508.6K0.4724.28N/AN/A21610142,62326,686
2021-10-08$50.81$51.0018.8%5.3%20.9%33.5%17.2%4.8%-0.7%1.8M-25.9M-500.6K0.1578.38N/AN/A1372142,67326,698
2021-10-11$50.69$51.0019.1%5.3%20.8%35.6%18.6%3.2%0.1%1.7M-28.0M-499.4K0.2777.77N/AN/A1283442,63126,716
2021-10-12$50.52$51.0018.8%5.3%20.6%33.5%18.1%4.1%0.1%1.4M-25.3M-504.4K0.1380.20N/AN/A2353042,64226,709
2021-10-13$51.16$51.0018.1%5.2%21.2%28.8%17.7%3.5%-0.9%2.5M-32.3M-478.9K0.1227.82N/AN/A2062542,74926,710
2021-10-14$51.25$51.0017.9%4.8%21.0%27.7%16.9%3.4%-1.3%2.9M-35.6M-484.5K0.1585.30N/AN/A1362042,94326,725
2021-10-15$51.82$51.0015.4%4.4%21.3%11.0%15.3%2.0%0.3%4.2M-43.6M-473.2K32.0549.17N/AN/A1304,16642,94626,734
2021-10-18$51.75$51.0015.8%4.6%15.2%13.8%15.2%4.0%-0.2%3.4M-39.6M-482.5K0.6532.95N/AN/A25916939,86224,173
2021-10-19$52.32$51.0015.3%4.4%15.2%10.1%15.5%3.6%0.3%3.7M-44.1M-513.1K0.4119.16N/AN/A2419939,91226,374
2021-10-20$52.37$51.0015.6%4.5%14.5%12.2%15.1%3.8%0.0%4.0M-47.4M-537.3K1.6220.03N/AN/A1,9503,16140,21526,541
2021-10-21$51.92$51.0016.2%4.6%14.9%16.3%11.8%3.9%-0.1%3.7M-41.4M-514.7K1.4127.32N/AN/A2,3013,23641,09726,538
2021-10-22$51.72$51.0016.1%4.6%14.3%15.3%12.0%2.9%-0.1%3.6M-38.4M-508.9K1.8671.48N/AN/A1,7273,21041,12726,610
2021-10-25$52.01$51.0015.6%4.5%14.2%12.6%14.4%3.5%0.7%3.9M-42.5M-499.8K1.7624.41N/AN/A1,8873,32441,13426,627
2021-10-26$51.71$51.0015.8%4.5%13.4%13.4%11.5%3.4%1.1%3.6M-38.5M-494.8K1.7520.87N/AN/A1,8563,25441,30826,652
2021-10-27$51.37$51.0015.2%4.5%13.4%10.0%16.2%2.7%0.7%3.2M-32.8M-473.2K2.3233.64N/AN/A1,6783,88641,34126,667
2021-10-28$51.24$51.0014.6%4.7%13.4%5.8%13.4%3.9%2.6%2.7M-27.6M-435.5K1.8529.00N/AN/A1,7533,25041,38127,286
2021-10-29$50.59$51.0016.7%4.7%14.3%19.2%13.1%1.8%1.2%2.0M-20.1M-440.5K1.9232.13N/AN/A1,7013,26541,39927,327