VWO Options History — June 2022

In June 2022, VWO traded between $41.10 and $44.12. ATM implied volatility averaged 23.2%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.6% (HV 20d: 24.8%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2022-06-17: Highest Volume — 9,829 contracts
  • 2022-06-13: Largest IV spike — 21.4% change
  • 2022-06-16: Highest IV Rank — 46.0%
  • 2022-06-16: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.43$41.10$44.12$43.44$41.58
Max Pain$43.43$42.00$45.00$45.00$42.00
ATM IV23.2%20.4%27.1%23.3%21.6%
Expected Move6.6%5.6%7.8%6.7%6.2%
HV 20d24.8%20.8%27.1%26.9%24.9%
HV 60d24.1%21.4%26.9%26.8%22.8%
IV Rank32.5%23.0%46.0%32.9%27.1%
IV Percentile74.3%58.7%91.7%76.2%61.1%
Term Structure0.8%-1.6%1.9%-1.6%1.6%
VWIV21.8%18.7%24.7%20.6%22.3%
Skew 25d5.9%3.3%21.5%4.3%3.3%
Skew 10d9.4%4.1%20.8%7.7%6.8%
Call IV 25d20.9%17.7%24.2%20.8%21.0%
Put IV 25d26.8%23.5%44.5%25.1%24.4%
Bid-Ask Spread %65.5322.2991.6875.4122.29
Gamma HHI0.130.110.160.110.13
Net GEX541.3K-907.9K2.8M1.2M-579.4K
Net DEX15.3M-3.7M36.5M8.3M16.2M
Net VEX-245.5K-301.7K-211.9K-288.6K-215.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.251.340.250.56
Total Volume5,9664,7399,8298,2835,796
Total OI66,739.57160,99370,53267,03262,855

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$43.44$45.0023.3%6.7%26.9%32.9%20.6%4.3%-1.6%1.2M8.3M-288.6K0.2575.41N/AN/A6,6441,63947,04919,983
2022-06-02$44.08$44.0021.4%5.7%27.1%26.2%19.4%6.0%1.9%2.8M-3.7M-301.7K0.4843.11N/AN/A3,5661,70049,90120,015
2022-06-03$43.40$44.0021.6%6.1%23.9%27.0%20.0%5.3%0.9%1.9M9.0M-283.0K0.5065.71N/AN/A3,2551,61649,92320,049
2022-06-06$43.67$44.0022.2%5.9%23.5%29.0%20.0%5.5%1.2%2.2M4.1M-282.7K0.5070.42N/AN/A3,2541,63450,02520,062
2022-06-07$43.86$44.0021.4%5.6%20.8%26.5%18.7%5.9%1.8%2.5M2.5M-280.9K0.3173.53N/AN/A4,5141,39250,06420,070
2022-06-08$44.12$44.0020.4%5.9%20.8%23.0%20.7%5.3%1.8%2.7M-2.5M-282.8K0.4776.85N/AN/A3,4291,62248,96620,079
2022-06-09$43.18$44.0021.9%6.3%22.6%28.0%21.5%5.2%0.7%1.1M14.7M-254.8K0.4974.03N/AN/A3,2721,59348,99220,134
2022-06-10$42.83$44.0022.3%6.4%22.7%29.4%22.3%5.4%1.4%473.2K20.2M-241.2K0.4742.83N/AN/A3,2471,52348,94520,202
2022-06-13$41.34$44.0027.1%7.8%24.8%45.8%24.5%6.0%0.3%-414.0K33.8M-217.9K0.4673.91N/AN/A3,2481,49148,97520,220
2022-06-14$41.94$44.0025.1%7.2%25.3%39.1%24.1%5.7%0.6%-351.2K30.2M-219.4K0.3552.79N/AN/A4,2421,47148,99220,239
2022-06-15$42.60$44.0022.6%6.5%24.5%30.3%23.8%5.2%1.2%125.7K20.4M-258.8K0.4986.96N/AN/A5,0292,44350,27520,195
2022-06-16$41.21$45.0027.1%7.8%26.2%46.0%24.7%7.8%-0.5%-907.9K36.5M-211.9K0.6774.89N/AN/A3,5622,37950,20920,323
2022-06-17$41.43$44.0025.5%7.3%25.6%40.5%22.4%21.5%-0.2%-280.3K32.7M-228.1K1.3491.68N/AN/A4,2025,62750,16320,356
2022-06-21$41.80$44.0023.8%6.8%25.8%34.6%23.7%5.2%0.7%-98.5K16.3M-233.1K0.5474.28N/AN/A4,6652,52643,73217,261
2022-06-22$41.10$42.0024.8%7.1%26.3%38.0%18.7%4.5%0.6%-382.4K19.2M-221.9K0.6637.28N/AN/A3,7062,43945,05316,781
2022-06-23$41.30$42.0024.3%7.0%25.9%36.3%21.4%5.7%1.0%-453.4K19.0M-217.2K0.6329.27N/AN/A3,4162,14045,07516,815
2022-06-24$42.10$42.0022.3%6.4%26.8%29.5%22.5%4.9%1.4%43.8K10.8M-236.0K0.9174.01N/AN/A2,8592,59745,11516,849
2022-06-27$42.25$42.0022.9%6.6%26.1%31.5%22.6%3.4%0.5%40.8K9.7M-228.7K0.6576.81N/AN/A3,7572,45545,28416,797
2022-06-28$42.01$42.0022.8%6.5%26.0%31.1%22.2%4.5%0.8%-115.5K11.7M-229.6K0.6180.64N/AN/A3,6402,20945,92016,794
2022-06-29$41.83$42.0022.8%6.5%25.0%30.9%22.2%4.1%0.2%-204.4K13.2M-223.0K0.6679.42N/AN/A3,3012,18645,98416,810
2022-06-30$41.58$42.0021.6%6.2%24.9%27.1%22.3%3.3%1.6%-579.4K16.2M-215.2K0.5622.29N/AN/A3,7162,08046,03116,824