VWO Options History — November 2021

In November 2021, VWO traded between $49.10 and $52.10. ATM implied volatility averaged 17.8%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.9% (HV 20d: 12.9%). 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 16 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2021-11-22: Highest Volume — 7,735 contracts
  • 2021-11-26: Largest IV spike — 25.8% change
  • 2021-11-26: Highest IV Rank — 71.5%
  • 2021-11-30: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.95$49.10$52.10$51.11$49.29
Max Pain$50.86$50.00$51.00$51.00$51.00
ATM IV17.8%15.7%23.4%16.6%22.7%
Expected Move5.1%4.4%7.2%4.7%7.2%
HV 20d12.9%11.8%15.7%13.4%14.7%
HV 60d16.4%15.4%17.1%16.9%16.2%
IV Rank30.1%14.4%71.5%18.7%66.6%
IV Percentile40.8%15.9%95.2%24.6%92.9%
Term Structure0.3%-1.6%1.5%0.3%1.5%
VWIV19.8%13.8%31.7%13.8%27.5%
Skew 25d4.3%2.5%8.6%7.2%5.0%
Skew 10d8.6%1.8%17.6%12.8%15.7%
Call IV 25d16.2%10.8%22.7%12.8%19.9%
Put IV 25d20.5%16.4%29.9%20.0%24.8%
Bid-Ask Spread %64.6321.8393.4421.8369.94
Gamma HHI0.110.090.130.100.09
Net GEX3.2M245.3K5.6M2.4M245.3K
Net DEX-27.8M-49.9M-38.6K-27.2M-1.3M
Net VEX-444.7K-481.3K-391.5K-438.6K-416.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.593.131.680.83
Total Volume4,889.4763,2697,7355,1943,269
Total OI71,024.1968,45175,09268,73068,451

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$51.11$51.0016.6%4.7%13.4%18.7%13.8%7.2%0.3%2.4M-27.2M-438.6K1.6821.83N/AN/A1,9413,25341,36927,361
2021-11-02$50.61$51.0017.0%4.8%13.6%21.7%18.2%2.8%0.7%1.9M-19.7M-426.9K1.4538.29N/AN/A2,0242,93341,57427,385
2021-11-03$51.05$51.0015.8%4.4%13.8%15.5%15.6%5.6%1.0%2.0M-24.1M-423.0K1.2538.49N/AN/A2,0142,51341,72127,808
2021-11-04$50.83$50.0016.5%4.8%12.1%20.3%18.7%3.4%-1.6%2.2M-24.7M-449.8K1.3153.76N/AN/A1,9332,52341,69327,816
2021-11-05$50.90$50.0015.7%4.7%12.0%14.4%17.2%2.7%0.2%2.3M-27.3M-458.5K1.2682.69N/AN/A2,1262,67841,71327,810
2021-11-08$51.44$50.0015.8%4.9%12.5%15.6%17.9%2.8%1.0%3.1M-32.5M-441.7K1.4483.17N/AN/A1,9982,88241,63327,809
2021-11-09$51.33$51.0016.2%5.0%12.5%18.2%18.5%2.8%1.2%2.8M-30.8M-452.4K1.2979.56N/AN/A1,9182,47641,73328,206
2021-11-10$51.14$51.0017.3%5.1%11.8%26.2%19.2%2.5%0.5%4.0M-34.6M-468.1K1.2980.64N/AN/A1,9132,46744,08928,230
2021-11-11$52.01$51.0016.9%4.9%13.2%23.5%19.2%3.6%-0.1%5.2M-48.9M-481.3K1.3468.66N/AN/A1,8702,50144,14528,256
2021-11-12$52.10$51.0016.8%4.9%12.6%22.9%18.6%3.4%0.6%5.3M-48.6M-462.8K1.3075.37N/AN/A1,9672,55844,18128,290
2021-11-15$52.01$51.0017.0%4.9%12.6%24.3%20.0%3.7%0.5%5.3M-49.9M-448.1K1.3376.69N/AN/A1,9142,54044,17428,322
2021-11-16$51.97$51.0016.5%4.7%12.0%20.2%18.7%3.5%0.2%5.6M-49.2M-457.5K2.8070.35N/AN/A1,7514,90144,29528,331
2021-11-17$51.82$51.0016.3%4.7%12.0%19.1%19.6%4.4%0.4%5.3M-42.5M-456.8K2.9375.49N/AN/A1,6704,89444,37430,651
2021-11-18$51.18$51.0017.0%4.8%12.4%24.5%20.0%4.3%0.6%4.3M-31.1M-448.2K3.1174.54N/AN/A1,6004,97344,37430,657
2021-11-19$51.08$51.0017.9%5.1%12.4%30.6%18.9%3.7%0.6%4.7M-29.8M-434.5K3.1378.47N/AN/A1,5854,96344,39230,700
2021-11-22$50.70$51.0018.1%5.0%12.4%32.6%19.1%3.9%-0.2%3.8M-22.9M-450.2K1.6879.39N/AN/A2,8904,84541,75927,239
2021-11-23$50.60$51.0019.8%5.2%12.3%45.1%20.6%3.6%-0.9%3.3M-19.7M-458.2K0.6225.89N/AN/A2,3321,45043,38727,353
2021-11-24$50.54$51.0018.6%5.1%12.1%36.1%19.4%6.6%0.3%2.3M-19.0M-437.9K0.6334.80N/AN/A2,2121,40143,33627,472
2021-11-26$49.10$51.0023.4%6.6%15.7%71.5%31.7%7.2%-1.4%382.7K-745.5K-436.1K0.6493.44N/AN/A2,0801,32243,41627,475
2021-11-29$49.16$51.0022.5%6.3%15.2%64.8%24.1%8.6%1.3%290.9K-38.6K-391.5K0.5955.85N/AN/A2,2601,33941,00427,524
2021-11-30$49.29$51.0022.7%7.2%14.7%66.6%27.5%5.0%1.5%245.3K-1.3M-416.7K0.8369.94N/AN/A1,7861,48340,91227,539