VWO Options History — December 2021

In December 2021, VWO traded between $47.78 and $50.36. ATM implied volatility averaged 19.9%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.8% (HV 20d: 16.2%). Max pain ranged from $48.00 to $51.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2021-12-16: Highest Volume — 12,833 contracts
  • 2021-12-13: Largest IV spike — 20.2% change
  • 2021-12-02: Highest IV Rank — 97.7%
  • 2021-12-03: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.35$47.78$50.36$49.35$49.62
Max Pain$49.59$48.00$51.00$51.00$50.00
ATM IV19.9%14.6%27.0%23.4%14.6%
Expected Move5.6%4.2%8.4%7.7%4.2%
HV 20d16.2%14.4%19.0%14.4%16.6%
HV 60d15.4%14.1%16.7%16.1%14.8%
IV Rank45.7%6.2%97.7%71.3%6.2%
IV Percentile60.5%2.8%99.2%94.8%2.8%
Term Structure0.6%-4.4%3.5%1.2%1.4%
VWIV19.5%15.1%29.9%28.5%15.1%
Skew 25d5.7%3.8%10.4%8.4%4.0%
Skew 10d10.3%2.6%21.6%6.1%7.0%
Call IV 25d17.4%14.2%23.7%17.5%14.2%
Put IV 25d23.0%18.3%32.4%25.8%18.3%
Bid-Ask Spread %58.8211.6782.2879.7175.61
Gamma HHI0.100.090.130.090.10
Net GEX393.1K-1.9M1.9M649.4K822.3K
Net DEX-1.1M-16.0M18.0M-6.3M-1.4M
Net VEX-360.1K-435.4K-309.2K-435.4K-320.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.253.061.021.82
Total Volume5,706.1362,90412,8333,0285,637
Total OI67,099.22761,07374,30468,57461,954

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$49.35$51.0023.4%7.7%14.4%71.3%28.5%8.4%1.2%649.4K-6.3M-435.4K1.0279.71N/AN/A1,4961,53240,95827,616
2021-12-02$49.79$51.0027.0%7.0%14.4%97.7%25.8%10.4%-4.4%741.2K-12.7M-432.3K0.8982.26N/AN/A1,7021,52241,12927,749
2021-12-03$48.97$51.0025.7%8.4%15.4%88.2%29.9%5.3%0.7%402.8K-128.0K-422.5K1.0876.99N/AN/A1,4211,53041,36227,817
2021-12-06$49.34$48.0024.1%6.6%15.7%76.4%21.3%9.6%-0.6%199.2K-667.1K-391.3K0.7674.69N/AN/A1,6461,25841,37528,054
2021-12-07$50.03$48.0021.6%5.6%16.1%58.4%18.9%5.3%-2.5%1.0M-10.5M-389.5K0.5447.19N/AN/A2,3711,27641,60928,024
2021-12-08$50.36$48.0019.5%5.5%16.3%42.8%19.3%4.1%-0.1%1.6M-14.8M-387.3K0.3545.92N/AN/A3,4251,20842,73428,099
2021-12-09$50.13$48.0019.8%5.6%16.3%44.6%19.1%5.8%-1.1%1.7M-14.5M-408.7K0.5281.29N/AN/A2,4411,27643,81128,174
2021-12-10$50.17$48.0017.4%5.0%14.9%27.4%17.5%6.8%-2.3%1.9M-16.0M-412.8K0.5079.18N/AN/A2,5041,26043,81328,205
2021-12-13$49.55$48.0020.9%5.1%15.3%53.3%19.4%6.4%3.5%817.3K-9.5M-394.6K0.3082.28N/AN/A7,3462,19543,77227,767
2021-12-14$49.32$50.0024.1%5.6%15.4%76.5%16.4%4.5%0.8%227.5K-1.8M-352.7K0.2578.09N/AN/A7,4091,81943,09728,657
2021-12-15$49.11$50.0019.9%5.7%15.3%45.7%18.1%4.4%2.6%-502.5K2.5M-319.9K0.3061.94N/AN/A6,7552,00743,15428,655
2021-12-16$49.33$50.0019.3%5.5%15.6%41.3%19.2%5.1%1.0%-69.2K-285.7K-322.3K0.8928.65N/AN/A6,7746,05943,08028,828
2021-12-17$49.00$50.0019.1%5.5%15.2%39.5%18.0%4.3%1.3%-1.9M7.1M-348.2K0.8468.97N/AN/A6,2835,25043,08731,217
2021-12-20$47.78$50.0021.8%6.3%17.3%59.6%22.9%6.6%0.5%-507.0K18.0M-329.6K2.3660.30N/AN/A1,5323,61038,80222,271
2021-12-21$48.54$50.0019.1%5.5%18.5%39.9%22.2%6.5%0.9%-172.7K12.0M-333.7K3.0233.87N/AN/A1,2263,70138,90922,377
2021-12-22$48.87$50.0017.8%5.1%18.7%30.2%18.0%5.4%1.3%-27.7K8.4M-328.5K3.0642.45N/AN/A1,1673,56738,91222,553
2021-12-23$49.24$50.0016.6%4.8%19.0%21.4%16.1%3.9%1.9%253.8K4.3M-335.7K2.5318.44N/AN/A1,4093,56938,98122,588
2021-12-27$49.34$50.0016.5%4.7%16.0%20.6%16.2%4.3%1.5%370.7K3.1M-322.2K2.9011.67N/AN/A1,2683,67739,09022,533
2021-12-28$49.25$50.0016.3%4.7%16.0%18.9%16.5%3.8%1.4%257.6K4.4M-311.7K2.8414.21N/AN/A1,3183,74039,12022,513
2021-12-29$48.95$50.0015.8%4.5%16.1%15.1%15.9%4.3%2.0%-29.0K6.5M-313.7K2.5674.88N/AN/A1,4593,72839,22522,661
2021-12-30$49.62$50.0017.8%4.4%16.9%30.2%15.7%4.9%1.5%803.5K-2.1M-309.2K2.5075.52N/AN/A1,4743,68839,22822,623
2021-12-31$49.62$50.0014.6%4.2%16.6%6.2%15.1%4.0%1.4%822.3K-1.4M-320.9K1.8275.61N/AN/A2,0023,63539,31522,639