VWO Options History — April 2022

In April 2022, VWO traded between $42.34 and $47.81. ATM implied volatility averaged 22.6%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 1.4% (HV 20d: 24.0%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2022-04-14: Highest Volume — 8,983 contracts
  • 2022-04-13: Largest IV drop — 24.0% change
  • 2022-04-26: Highest IV Rank — 47.6%
  • 2022-04-26: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.06$42.34$47.81$46.86$43.57
Max Pain$46.00$46.00$46.00$46.00$46.00
ATM IV22.6%18.0%27.6%18.0%25.6%
Expected Move6.4%5.4%7.9%5.7%7.4%
HV 20d24.0%16.0%35.8%35.8%18.4%
HV 60d26.3%25.7%27.0%26.4%25.8%
IV Rank30.3%14.5%47.6%14.5%40.9%
IV Percentile79.1%51.2%94.0%51.2%90.5%
Term Structure0.2%-1.2%2.0%2.0%-0.9%
VWIV22.3%19.1%27.0%20.4%26.7%
Skew 25d6.5%4.2%8.2%4.2%6.5%
Skew 10d12.0%8.9%13.7%12.9%12.0%
Call IV 25d19.5%16.7%24.4%16.9%24.4%
Put IV 25d26.0%21.1%31.9%21.1%30.9%
Bid-Ask Spread %40.9021.2373.2065.3651.23
Gamma HHI0.120.110.140.130.11
Net GEX1.5M346.1K3.3M2.5M989.2K
Net DEX-4.6M-47.6M28.0M-31.7M15.3M
Net VEX-335.8K-412.5K-246.2K-411.0K-286.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.202.280.520.94
Total Volume4,883.654778,9835,5543,566
Total OI59,630.0555,64162,80161,50557,795

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$46.86$46.0018.0%5.7%35.8%14.5%20.4%4.2%2.0%2.5M-31.7M-411.0K0.5265.36N/AN/A3,6511,90342,08919,416
2022-04-04$47.81$46.0018.0%5.4%33.9%14.6%20.5%5.7%0.7%3.3M-47.6M-412.5K0.5535.52N/AN/A3,2251,76442,22019,615
2022-04-05$46.98$46.0020.8%5.9%34.8%24.2%20.7%6.3%0.7%2.6M-34.2M-403.2K0.5827.46N/AN/A3,1531,84442,39519,688
2022-04-06$46.54$46.0020.5%6.1%33.8%23.4%21.5%6.4%0.4%2.0M-24.9M-393.6K0.5666.59N/AN/A3,4391,92642,39519,875
2022-04-07$46.26$46.0022.2%6.4%33.2%29.0%23.0%6.9%0.3%2.0M-20.2M-393.9K0.5221.23N/AN/A3,3161,72242,53719,969
2022-04-08$46.30$46.0021.0%6.0%32.3%25.1%22.3%5.9%0.6%2.0M-21.0M-386.0K0.5521.57N/AN/A3,1841,74242,60519,999
2022-04-11$45.64$46.0025.9%6.2%31.2%41.7%22.8%6.9%0.2%1.1M-10.3M-364.1K0.7158.21N/AN/A3,0242,15842,65920,002
2022-04-12$45.46$46.0026.5%6.4%31.3%43.6%22.4%7.0%0.6%689.7K-7.0M-351.4K0.5830.10N/AN/A3,2411,87142,58419,873
2022-04-13$45.95$46.0020.1%5.8%18.8%21.9%21.8%6.5%0.9%1.8M-15.9M-358.2K0.5673.20N/AN/A3,3511,86042,98419,817
2022-04-14$45.50$46.0021.5%6.2%19.1%26.6%19.7%6.9%1.2%1.9M-9.6M-331.2K2.2837.06N/AN/A2,7356,24843,09919,646
2022-04-18$45.24$46.0021.9%6.3%18.2%28.1%19.1%6.3%0.1%1.6M-6.7M-351.1K1.7763.16N/AN/A2,2083,91338,14117,500
2022-04-19$44.99$46.0020.1%5.8%17.3%21.7%21.0%5.6%0.7%1.5M-764.9K-329.5K2.1031.50N/AN/A1,9444,09238,52917,614
2022-04-20$44.79$46.0019.4%5.6%16.0%19.5%20.3%4.9%0.8%1.4M2.9M-313.5K1.8931.99N/AN/A2,1344,03138,62417,675
2022-04-21$43.87$46.0022.2%6.4%17.4%29.1%22.0%6.2%0.1%996.7K12.9M-292.0K1.5331.69N/AN/A1,9673,00839,02217,701
2022-04-22$43.67$46.0023.6%6.8%17.2%33.8%23.3%6.9%-0.2%1.0M13.2M-299.8K1.5139.20N/AN/A2,0023,02339,05417,904
2022-04-25$43.14$46.0025.2%7.2%17.4%39.4%23.9%7.5%-1.1%600.4K20.6M-268.8K0.8041.80N/AN/A1,8051,44439,12217,978
2022-04-26$42.34$46.0027.6%7.9%18.1%47.6%27.0%8.2%-1.2%346.1K28.0M-246.2K0.8433.45N/AN/A1,7351,46239,21618,028
2022-04-27$42.92$46.0026.1%7.5%17.7%42.5%23.9%8.2%-1.1%581.7K25.1M-257.2K0.2026.07N/AN/A3968139,26918,212
2022-04-28$43.35$46.0025.2%7.2%18.4%39.2%24.2%6.7%-0.6%793.9K20.6M-266.0K0.9431.55N/AN/A1,8041,70139,52118,229
2022-04-29$43.57$46.0025.6%7.4%18.4%40.9%26.7%6.5%-0.9%989.2K15.3M-286.9K0.9451.23N/AN/A1,8421,72439,60518,190