VWO Options History — March 2022

In March 2022, VWO traded between $42.75 and $47.40. ATM implied volatility averaged 27.8%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.4% (HV 20d: 30.2%). Max pain ranged from $46.00 to $50.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.90.

Notable Days

2022-03-18: Highest Volume — 15,036 contracts
2022-03-07: Largest IV spike — 26.0% change
2022-03-01: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.68	$42.75	$47.40	$47.14	$46.33
Max Pain	$47.91	$46.00	$50.00	$50.00	$46.00
ATM IV	27.8%	19.4%	42.9%	33.3%	21.3%
Expected Move	8.1%	5.8%	12.3%	9.5%	5.9%
HV 20d	30.2%	19.3%	37.8%	19.3%	36.3%
HV 60d	23.3%	18.5%	26.4%	18.7%	26.4%
IV Rank	53.3%	19.4%	100.0%	100.0%	26.0%
IV Percentile	91.5%	69.0%	100.0%	100.0%	77.4%
Term Structure	-1.2%	-4.7%	0.9%	-4.3%	-0.4%
VWIV	27.5%	19.5%	43.2%	31.7%	20.8%
Skew 25d	8.0%	3.7%	11.9%	9.9%	5.6%
Skew 10d	16.5%	6.3%	24.5%	19.6%	6.3%
Call IV 25d	23.7%	16.4%	29.8%	28.5%	18.0%
Put IV 25d	31.7%	21.9%	41.7%	38.4%	23.5%
Bid-Ask Spread %	40.80	11.85	79.10	42.01	41.33
Gamma HHI	0.11	0.08	0.13	0.08	0.12
Net GEX	278.4K	-1.4M	2.3M	-984.0K	2.1M
Net DEX	6.7M	-31.9M	48.6M	25.9M	-24.2M
Net VEX	-344.1K	-419.8K	-245.7K	-254.6K	-404.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.20	2.09	2.05	0.46
Total Volume	6,652.043	3,447	15,036	4,409	5,501
Total OI	62,147.696	52,848	70,613	52,848	61,387

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-03-01	$47.14	$50.00	33.3%	9.5%	19.3%	100.0%	31.7%	9.9%	-4.3%	-984.0K	25.9M	-254.6K	2.05	42.01	N/A	N/A	1,446	2,963	28,694	24,154
2022-03-02	$47.40	$50.00	29.2%	8.4%	19.3%	79.3%	28.1%	8.4%	-1.3%	-1.3M	24.7M	-255.1K	0.24	71.61	N/A	N/A	11,834	2,897	28,659	24,207
2022-03-03	$46.62	$50.00	29.5%	8.4%	19.9%	80.6%	30.6%	6.0%	-1.8%	-138.8K	10.0M	-348.6K	0.80	26.69	N/A	N/A	3,508	2,803	38,389	24,207
2022-03-04	$45.72	$50.00	34.0%	9.8%	20.6%	100.0%	33.4%	9.9%	-2.5%	-608.6K	23.5M	-332.8K	0.83	11.85	N/A	N/A	3,644	3,021	39,602	24,227
2022-03-07	$44.23	$50.00	42.9%	12.3%	22.9%	100.0%	43.2%	10.4%	-3.1%	-983.1K	36.3M	-290.2K	0.69	23.74	N/A	N/A	3,527	2,448	39,768	24,309
2022-03-08	$44.30	$50.00	32.9%	11.5%	23.0%	65.9%	38.6%	10.7%	-3.3%	-992.2K	35.3M	-288.3K	0.70	67.96	N/A	N/A	3,665	2,571	39,896	24,324
2022-03-09	$45.52	$50.00	27.8%	9.2%	25.4%	48.4%	31.5%	9.6%	-1.2%	-780.3K	24.8M	-310.1K	0.79	76.64	N/A	N/A	3,449	2,709	40,093	24,411
2022-03-10	$44.73	$50.00	28.5%	9.4%	24.7%	50.6%	27.6%	9.4%	-1.3%	-925.7K	32.2M	-295.7K	0.42	13.43	N/A	N/A	3,396	1,428	40,113	24,416
2022-03-11	$43.88	$50.00	29.9%	10.2%	25.1%	55.6%	33.7%	9.0%	-1.5%	-1.0M	37.4M	-278.4K	0.71	79.10	N/A	N/A	3,091	2,194	40,108	24,732
2022-03-14	$42.75	$49.00	34.8%	8.9%	25.9%	72.3%	29.0%	11.9%	-4.7%	-1.3M	47.0M	-258.9K	0.67	45.23	N/A	N/A	3,163	2,131	40,086	25,060
2022-03-15	$42.77	$49.00	32.7%	8.8%	26.0%	65.1%	26.8%	10.8%	-2.1%	-1.4M	48.6M	-245.7K	0.32	48.55	N/A	N/A	6,442	2,048	40,141	25,595
2022-03-16	$45.90	$48.00	30.3%	8.2%	36.8%	56.9%	30.9%	9.4%	-2.0%	-404.5K	8.9M	-346.5K	0.23	60.49	N/A	N/A	8,388	1,930	43,757	24,667
2022-03-17	$45.76	$46.00	28.3%	7.9%	36.4%	50.1%	26.6%	7.6%	-1.0%	7.6K	6.6M	-347.3K	0.20	24.90	N/A	N/A	7,087	1,429	45,375	24,996
2022-03-18	$46.51	$46.00	24.3%	7.1%	37.1%	36.4%	24.7%	6.9%	0.3%	972.1K	-3.5M	-351.9K	0.66	40.95	N/A	N/A	9,084	5,952	45,583	25,030
2022-03-21	$45.71	$46.00	25.2%	7.0%	37.4%	39.3%	24.5%	7.8%	-0.4%	1.4M	-14.2M	-412.7K	2.09	32.38	N/A	N/A	1,695	3,540	39,351	18,206
2022-03-22	$46.48	$46.00	24.2%	6.8%	37.8%	35.9%	22.6%	6.7%	-0.3%	1.6M	-23.3M	-419.8K	1.53	34.94	N/A	N/A	2,166	3,321	39,417	18,588
2022-03-23	$46.31	$46.00	24.2%	6.8%	37.7%	35.8%	22.9%	6.6%	-0.3%	1.6M	-20.9M	-418.9K	1.80	33.51	N/A	N/A	1,838	3,300	39,765	19,001
2022-03-24	$46.48	$46.00	23.0%	6.7%	37.0%	31.9%	21.0%	5.9%	0.4%	1.7M	-22.7M	-416.6K	1.20	26.77	N/A	N/A	2,739	3,282	39,777	19,129
2022-03-25	$46.06	$46.00	22.1%	6.4%	36.4%	28.6%	21.5%	6.7%	0.3%	1.6M	-17.3M	-413.2K	1.84	31.28	N/A	N/A	1,770	3,251	40,712	19,129
2022-03-28	$46.15	$46.00	21.6%	6.3%	36.4%	27.1%	22.5%	5.7%	0.6%	1.6M	-18.8M	-399.4K	0.99	42.29	N/A	N/A	1,728	1,719	40,737	19,189
2022-03-29	$46.92	$46.00	19.4%	5.8%	36.6%	19.4%	20.7%	6.1%	0.9%	2.3M	-30.8M	-407.5K	0.92	27.70	N/A	N/A	1,820	1,676	40,850	19,317
2022-03-30	$46.87	$46.00	19.7%	5.8%	36.6%	20.4%	19.5%	3.7%	0.8%	2.3M	-31.9M	-418.7K	0.45	35.03	N/A	N/A	3,720	1,683	40,922	19,321
2022-03-31	$46.33	$46.00	21.3%	5.9%	36.3%	26.0%	20.8%	5.6%	-0.4%	2.1M	-24.2M	-404.2K	0.46	41.33	N/A	N/A	3,771	1,730	42,032	19,355