VWO Options History — January 2022

In January 2022, VWO traded between $48.00 and $51.23. ATM implied volatility averaged 20.0%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.4% (HV 20d: 16.5%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.49.

Notable Days

  • 2022-01-13: Highest Volume — 9,667 contracts
  • 2022-01-18: Largest IV spike — 15.7% change
  • 2022-01-24: Highest IV Rank — 98.6%
  • 2022-01-24: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.60$48.00$51.23$49.80$49.60
Max Pain$49.15$49.00$50.00$50.00$49.00
ATM IV20.0%14.5%27.1%15.2%18.6%
Expected Move5.7%4.2%7.8%4.3%5.3%
HV 20d16.5%14.7%20.8%15.4%20.8%
HV 60d15.3%14.2%17.2%14.2%17.2%
IV Rank46.0%6.0%98.6%10.5%36.2%
IV Percentile61.6%2.4%99.6%9.1%58.3%
Term Structure0.2%-2.7%1.9%1.6%0.4%
VWIV20.1%14.8%26.5%14.8%19.3%
Skew 25d5.5%3.5%7.1%3.5%4.2%
Skew 10d12.3%7.9%17.0%7.9%10.9%
Call IV 25d17.9%13.8%24.6%14.7%17.5%
Put IV 25d23.5%17.2%31.3%18.1%21.7%
Bid-Ask Spread %40.8611.8472.9972.9918.79
Gamma HHI0.110.090.130.110.11
Net GEX1.5M-292.9K3.8M1.0M1.4M
Net DEX-4.7M-31.7M15.2M-4.4M-1.6M
Net VEX-324.3K-364.7K-270.9K-318.9K-270.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.692.621.732.05
Total Volume6,446.72,8949,6675,5932,894
Total OI63,113.751,18171,83362,27752,309

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$49.80$50.0015.2%4.3%15.4%10.5%14.8%3.5%1.6%1.0M-4.4M-318.9K1.7372.99N/AN/A2,0463,54739,70922,568
2022-01-04$49.68$50.0014.5%4.2%15.2%6.0%15.7%3.5%1.9%1.0M-3.0M-300.1K0.9464.80N/AN/A3,9273,67840,44722,448
2022-01-05$48.92$50.0016.8%4.8%15.3%22.5%20.5%4.5%1.4%200.6K5.2M-307.1K1.1039.77N/AN/A3,5293,89041,93322,590
2022-01-06$49.11$49.0017.2%5.2%15.2%26.0%18.4%5.7%1.0%315.7K2.8M-320.7K1.0660.98N/AN/A3,5353,73641,93323,275
2022-01-07$49.41$49.0017.7%5.2%15.3%29.4%16.0%5.9%1.1%669.7K910.1K-309.4K0.9426.20N/AN/A3,9573,73842,12523,311
2022-01-10$49.45$49.0019.1%5.4%15.3%39.9%17.4%6.3%0.8%867.1K-540.6K-322.7K1.0659.80N/AN/A3,8954,12842,66823,479
2022-01-11$50.43$49.0016.4%4.9%16.3%19.9%16.0%5.2%0.7%2.6M-17.1M-333.0K0.9022.28N/AN/A3,9563,55143,44023,907
2022-01-12$51.23$49.0017.6%5.1%17.0%28.9%17.9%5.3%-0.0%3.8M-31.7M-340.1K0.6911.84N/AN/A4,1312,83244,20623,989
2022-01-13$50.69$49.0017.9%5.1%17.4%31.2%17.6%5.2%0.7%3.5M-24.1M-342.2K2.4726.43N/AN/A2,7876,88045,01324,065
2022-01-14$50.71$49.0018.2%5.2%17.4%33.1%20.3%5.7%0.2%3.1M-19.7M-364.7K2.6234.99N/AN/A2,5536,69345,05626,344
2022-01-18$49.93$49.0021.1%6.0%18.2%54.1%21.5%5.2%-0.1%2.1M-8.7M-346.9K2.4217.25N/AN/A2,7546,65145,13626,352
2022-01-19$50.21$49.0021.3%6.1%15.4%55.9%22.3%6.2%-0.3%2.8M-11.0M-342.1K1.9333.22N/AN/A2,7385,28745,26126,364
2022-01-20$50.53$49.0021.0%6.0%14.7%53.5%22.7%5.8%0.3%3.1M-19.8M-358.0K1.9213.10N/AN/A2,7335,25145,40926,386
2022-01-21$49.71$49.0023.7%6.8%15.9%73.9%25.5%6.4%-0.7%2.9M-4.1M-342.2K0.9366.22N/AN/A3,4863,24245,43026,403
2022-01-24$48.85$49.0027.1%7.8%16.9%98.6%26.5%6.6%-2.7%553.3K5.5M-344.2K1.4758.10N/AN/A1,3521,98129,14822,033
2022-01-25$49.12$49.0025.1%7.2%17.1%84.0%22.6%7.1%-1.5%801.1K1.2M-340.5K1.3954.96N/AN/A1,4702,04029,41822,195
2022-01-26$48.51$49.0024.5%7.0%17.6%79.6%22.8%7.1%-1.3%445.7K7.7M-304.1K1.0171.91N/AN/A1,7711,78529,85522,233
2022-01-27$48.15$49.0024.4%7.0%17.7%78.5%23.4%6.2%-0.7%23.6K13.9M-291.0K1.9331.55N/AN/A1,0321,99330,62722,266
2022-01-28$48.00$49.0021.5%6.2%16.8%57.3%20.0%5.2%1.0%-292.9K15.2M-287.0K1.2332.00N/AN/A1,5601,92530,58422,359
2022-01-31$49.60$49.0018.6%5.3%20.8%36.2%19.3%4.2%0.4%1.4M-1.6M-270.9K2.0518.79N/AN/A9481,94629,96022,349