VWO Options History — February 2022

In February 2022, VWO traded between $47.38 and $50.78. ATM implied volatility averaged 21.5%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.0% (HV 20d: 20.5%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.58.

Notable Days

  • 2022-02-16: Highest Volume — 10,160 contracts
  • 2022-02-10: Largest IV spike — 19.5% change
  • 2022-02-24: Highest IV Rank — 100.0%
  • 2022-02-28: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.47$47.38$50.78$49.89$47.83
Max Pain$49.89$49.00$50.00$49.00$50.00
ATM IV21.5%16.7%29.1%18.5%29.1%
Expected Move6.2%4.8%8.3%5.3%8.3%
HV 20d20.5%19.1%22.5%20.9%22.5%
HV 60d17.7%16.8%18.6%17.2%18.6%
IV Rank56.4%21.9%100.0%35.1%100.0%
IV Percentile74.7%32.1%100.0%57.5%100.0%
Term Structure-1.0%-6.4%1.6%0.9%-6.4%
VWIV21.4%15.5%30.3%19.3%30.3%
Skew 25d6.7%4.4%8.9%4.4%8.9%
Skew 10d11.8%0.2%18.6%9.6%18.6%
Call IV 25d18.8%15.1%25.7%17.5%25.7%
Put IV 25d25.5%20.6%34.6%21.8%34.6%
Bid-Ask Spread %51.3018.7384.5350.2774.13
Gamma HHI0.110.080.140.120.08
Net GEX1.6M-1.4M4.8M1.8M-796.8K
Net DEX-1.4M-23.6M24.1M-6.3M20.0M
Net VEX-282.3K-319.1K-263.6K-286.8K-277.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.273.141.412.14
Total Volume5,036.6322,64010,1603,4144,360
Total OI54,311.31651,12060,25752,42152,878

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$49.89$49.0018.5%5.3%20.9%35.1%19.3%4.4%0.9%1.8M-6.3M-286.8K1.4150.27N/AN/A1,4191,99530,01722,404
2022-02-02$49.89$49.0018.2%5.2%20.9%33.2%15.5%5.5%0.7%2.1M-10.5M-319.1K1.5145.52N/AN/A1,2151,83030,18722,421
2022-02-03$49.45$50.0021.3%6.2%20.3%56.3%22.7%6.8%-1.8%1.4M-3.3M-305.8K1.9081.15N/AN/A9111,72930,24622,582
2022-02-04$49.58$50.0017.8%5.5%20.3%30.4%20.0%5.8%1.6%1.6M-4.3M-288.6K3.1482.53N/AN/A9052,84330,46122,597
2022-02-07$49.51$50.0018.4%5.5%20.2%34.5%19.8%6.2%0.0%1.3M-1.0M-280.9K1.8431.18N/AN/A1,3462,47230,64923,607
2022-02-08$49.88$50.0017.0%5.2%20.4%24.0%18.8%6.1%0.6%2.0M-4.6M-267.3K2.0221.14N/AN/A1,0642,15330,59823,634
2022-02-09$50.65$50.0016.7%4.8%19.9%21.9%17.9%5.4%0.4%3.4M-15.6M-270.1K2.2018.73N/AN/A9352,05930,54023,677
2022-02-10$50.34$50.0020.0%5.7%19.1%46.0%19.6%5.4%0.3%3.0M-14.4M-279.5K2.6020.19N/AN/A8252,14430,55523,684
2022-02-11$49.59$50.0021.8%6.3%19.5%59.7%23.5%6.8%-0.4%1.7M-3.0M-265.5K0.5232.81N/AN/A3,9022,01230,55923,767
2022-02-14$49.24$50.0023.6%6.8%19.6%72.9%21.4%7.6%-1.0%943.3K2.2M-269.3K0.2739.56N/AN/A4,3171,18632,27423,884
2022-02-15$50.29$50.0020.9%6.0%20.4%53.1%19.0%8.6%-1.7%3.2M-14.7M-271.4K0.3242.30N/AN/A4,3051,36732,48123,895
2022-02-16$50.78$50.0019.1%5.5%20.6%39.4%19.1%5.7%0.2%4.8M-23.6M-290.5K1.5168.12N/AN/A4,0426,11832,77724,146
2022-02-17$50.18$50.0021.9%6.3%20.9%60.6%20.5%6.9%-0.6%3.5M-10.6M-306.4K1.2971.92N/AN/A3,9535,10033,31526,702
2022-02-18$49.77$50.0021.5%6.2%20.3%57.1%21.0%6.6%-1.0%3.3M-2.4M-300.0K1.6546.64N/AN/A3,1345,16933,48626,771
2022-02-22$48.94$50.0024.2%6.9%20.2%77.3%24.3%7.6%-1.5%229.9K11.1M-278.1K1.5360.12N/AN/A2,2193,38927,83323,287
2022-02-23$48.47$50.0026.3%7.5%20.4%93.0%24.6%7.6%-3.0%-14.7K12.2M-272.4K1.5626.78N/AN/A1,9533,05528,08723,428
2022-02-24$47.38$50.0028.2%8.1%21.5%100.0%25.3%7.6%-3.4%-1.4M24.1M-270.9K1.4684.53N/AN/A2,0032,91728,13324,018
2022-02-25$48.21$50.0024.9%7.1%22.3%77.3%23.0%7.6%-2.7%-811.3K18.2M-263.6K1.1977.04N/AN/A2,4482,90228,19324,142
2022-02-28$47.83$50.0029.1%8.3%22.5%100.0%30.3%8.9%-6.4%-796.8K20.0M-277.1K2.1474.13N/AN/A1,3882,97228,68024,198