VWO Options History — May 2022

In May 2022, VWO traded between $40.44 and $44.08. ATM implied volatility averaged 25.3%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.3% (HV 20d: 23.0%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2022-05-19: Highest Volume — 13,631 contracts
  • 2022-05-05: Largest IV spike — 33.3% change
  • 2022-05-09: Highest IV Rank — 62.9%
  • 2022-05-09: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.12$40.44$44.08$43.28$43.80
Max Pain$45.90$45.00$46.00$46.00$45.00
ATM IV25.3%20.6%32.1%28.3%21.7%
Expected Move7.1%5.9%8.2%8.1%6.2%
HV 20d23.0%15.8%26.9%17.6%26.9%
HV 60d27.1%25.8%27.9%25.8%27.5%
IV Rank39.8%23.7%62.9%50.0%27.4%
IV Percentile84.3%62.7%97.6%94.8%68.7%
Term Structure-0.8%-2.3%0.7%-2.3%-1.0%
VWIV24.2%19.1%27.8%27.3%19.1%
Skew 25d6.1%4.5%8.0%6.9%4.5%
Skew 10d12.6%8.0%17.4%12.8%11.5%
Call IV 25d22.2%18.8%25.7%25.0%19.6%
Put IV 25d28.3%23.9%33.7%32.0%24.1%
Bid-Ask Spread %39.0610.8875.8227.7275.82
Gamma HHI0.120.100.130.110.11
Net GEX342.9K-236.0K1.6M820.7K1.6M
Net DEX29.6M2.6M46.3M21.1M2.6M
Net VEX-233.8K-302.2K-171.1K-268.4K-302.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.251.320.660.49
Total Volume6,564.3813,47213,6313,9785,718
Total OI62,722.90557,88467,81257,88466,580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$43.28$46.0028.3%8.1%17.6%50.0%27.3%6.9%-2.3%820.7K21.1M-268.4K0.6627.72N/AN/A2,3981,58039,60218,282
2022-05-03$43.60$46.0024.5%7.0%15.8%36.9%27.1%5.7%-0.7%1.1M17.0M-275.8K0.8826.21N/AN/A1,8461,62640,01418,364
2022-05-04$44.08$46.0022.7%6.5%16.0%30.8%25.3%4.8%-1.3%1.0M11.8M-278.2K1.1531.57N/AN/A1,7371,99440,03618,363
2022-05-05$42.43$46.0030.3%7.8%20.2%56.8%24.0%7.6%-1.1%441.4K29.8M-238.9K1.2768.67N/AN/A1,7612,23140,10418,812
2022-05-06$41.96$46.0026.3%7.3%20.3%43.0%22.6%6.5%-1.7%191.4K35.6M-220.9K0.5373.37N/AN/A4,3422,29440,17019,196
2022-05-09$40.83$46.0032.1%8.2%21.6%62.9%23.7%8.0%-1.3%-22.7K42.1M-196.6K1.3255.80N/AN/A1,8072,38342,61619,204
2022-05-10$40.88$46.0031.3%8.0%21.6%60.4%24.6%7.7%-1.5%-27.9K42.9M-192.1K0.9824.24N/AN/A2,3642,32642,55619,360
2022-05-11$40.71$46.0026.4%7.6%21.6%43.5%27.0%6.8%-0.4%-217.7K44.8M-181.2K0.4317.37N/AN/A4,1441,79842,79319,245
2022-05-12$40.44$46.0028.3%8.1%20.7%49.8%27.8%7.1%-0.9%-236.0K46.3M-171.1K0.5122.54N/AN/A3,3971,73244,01019,230
2022-05-13$41.48$46.0025.0%7.2%23.5%38.6%24.8%6.1%-0.3%-96.1K41.6M-188.1K0.4644.96N/AN/A3,3941,54944,07319,365
2022-05-16$41.33$46.0024.7%7.1%23.5%37.7%23.8%5.8%-0.5%-72.1K41.9M-189.6K0.5728.22N/AN/A2,8941,65444,18219,376
2022-05-17$42.32$46.0022.8%6.5%25.5%31.0%22.3%5.3%-0.3%264.8K35.6M-200.2K0.3432.69N/AN/A4,8311,62844,20519,255
2022-05-18$41.43$46.0025.9%7.4%26.3%41.9%25.1%6.4%-1.0%-10.8K40.6M-193.0K0.4110.88N/AN/A4,4341,81145,32619,255
2022-05-19$42.10$46.0024.3%7.0%26.5%36.2%24.4%6.3%0.7%239.4K35.9M-209.4K0.8525.00N/AN/A7,3766,25545,42919,339
2022-05-20$42.11$46.0023.3%6.7%26.5%32.9%24.6%4.8%-0.6%572.0K24.5M-266.3K0.7120.77N/AN/A6,8184,87448,24319,569
2022-05-23$42.42$46.0023.4%6.7%26.3%33.1%20.3%7.2%-0.8%386.8K19.5M-269.0K0.6536.45N/AN/A6,2814,10443,90818,807
2022-05-24$41.81$46.0024.4%7.0%26.0%36.6%24.6%4.7%-0.6%117.0K27.0M-247.5K0.6818.96N/AN/A5,5413,74944,67118,855
2022-05-25$41.95$46.0023.8%6.8%25.5%34.4%25.4%5.3%-1.1%296.0K23.7M-274.9K0.3629.71N/AN/A4,9191,75344,71819,827
2022-05-26$42.65$46.0022.1%6.3%26.0%28.6%20.7%5.5%-0.3%262.4K20.5M-269.6K0.2975.29N/AN/A6,0771,75544,82919,861
2022-05-27$42.99$45.0020.6%5.9%26.1%23.7%23.1%5.0%0.0%609.5K16.4M-277.2K0.2574.07N/AN/A6,9171,76045,65319,898
2022-05-31$43.80$45.0021.7%6.2%26.9%27.4%19.1%4.5%-1.0%1.6M2.6M-302.2K0.4975.82N/AN/A3,8351,88346,67519,905