VWO Options History — July 2022

In July 2022, VWO traded between $39.94 and $41.63. ATM implied volatility averaged 22.7%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.7% (HV 20d: 20.0%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2022-07-15: Highest Volume — 21,498 contracts
  • 2022-07-11: Largest IV spike — 55.6% change
  • 2022-07-12: Highest IV Rank — 66.4%
  • 2022-07-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.85$39.94$41.63$41.39$41.24
Max Pain$42.25$42.00$44.00$42.00$42.00
ATM IV22.7%18.3%33.3%22.7%18.3%
Expected Move6.3%5.2%7.5%6.5%5.2%
HV 20d20.0%15.2%24.9%24.1%17.1%
HV 60d23.0%22.6%23.4%22.6%23.0%
IV Rank29.6%14.2%66.4%30.9%14.2%
IV Percentile62.4%32.5%98.4%70.2%32.5%
Term Structure0.3%-0.6%1.4%1.4%-0.3%
VWIV21.9%18.6%26.1%23.0%18.6%
Skew 25d4.8%2.3%6.4%3.9%2.3%
Skew 10d9.7%5.3%15.8%13.8%5.3%
Call IV 25d20.2%17.8%23.2%20.7%17.9%
Put IV 25d24.9%20.2%29.0%24.6%20.2%
Bid-Ask Spread %55.8911.7786.1780.5722.59
Gamma HHI0.140.110.160.140.15
Net GEX170.1K-1.2M1.5M-721.9K1.3M
Net DEX7.5M-17.3M30.9M18.3M-10.2M
Net VEX-262.8K-342.6K-182.9K-209.8K-315.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.170.670.610.31
Total Volume10,770.45,31921,4985,31911,985
Total OI61,040.255,31667,50762,93357,894

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$41.39$42.0022.7%6.5%24.1%30.9%23.0%3.9%1.4%-721.9K18.3M-209.8K0.6180.57N/AN/A3,2952,02446,12416,809
2022-07-05$41.03$44.0025.4%7.0%23.7%39.9%24.0%5.9%0.5%-954.3K22.4M-197.4K0.6437.84N/AN/A4,0472,59946,13116,893
2022-07-06$40.86$44.0023.8%6.8%23.5%33.4%21.6%6.4%0.1%-1.1M24.0M-197.8K0.6460.50N/AN/A3,8192,43646,78617,637
2022-07-07$41.63$43.0022.5%6.3%24.6%29.1%22.1%4.7%0.7%-940.1K16.0M-208.8K0.6662.35N/AN/A3,6972,44446,80717,665
2022-07-08$41.55$42.0019.7%6.2%24.4%19.1%20.6%5.0%0.9%-1.2M17.2M-205.6K0.6757.60N/AN/A3,9142,63247,00217,753
2022-07-11$40.50$42.0030.6%7.5%24.9%57.3%24.4%5.4%-0.5%-1.0M26.4M-187.8K0.4756.57N/AN/A4,4172,08347,56017,628
2022-07-12$40.32$42.0033.3%7.4%24.8%66.4%24.6%5.8%-0.5%-963.6K28.9M-188.4K0.4611.77N/AN/A4,2251,94047,89117,870
2022-07-13$40.24$42.0024.8%7.1%21.7%37.1%24.0%5.1%-0.3%-1.0M30.7M-182.9K0.3135.04N/AN/A5,4221,70448,07317,854
2022-07-14$39.94$42.0024.2%6.9%21.0%34.8%26.1%5.5%0.2%-560.1K30.9M-191.0K0.4329.96N/AN/A3,9311,70149,61017,797
2022-07-15$40.06$42.0022.2%6.4%20.0%27.9%21.6%5.5%0.5%-467.3K30.0M-194.5K0.2861.95N/AN/A16,7844,71449,64817,859
2022-07-18$40.30$42.0023.2%6.6%16.7%31.3%21.1%5.0%0.1%1.0M-2.5M-325.5K0.1762.68N/AN/A17,0742,96439,61915,697
2022-07-19$40.90$42.0021.5%6.2%17.5%25.4%21.7%5.5%0.5%1.3M-9.3M-337.5K0.1966.20N/AN/A16,0142,96740,73615,754
2022-07-20$40.77$42.0021.8%6.3%17.2%26.6%21.5%4.5%-0.6%1.3M-8.2M-335.5K0.1968.42N/AN/A15,9822,97140,90415,786
2022-07-21$41.16$42.0020.5%5.9%16.5%21.8%21.6%4.5%0.7%1.3M-12.4M-340.6K0.3428.95N/AN/A8,2402,82240,98315,828
2022-07-22$40.74$42.0019.5%5.6%16.8%18.6%20.3%4.0%1.2%1.2M-6.0M-324.4K0.3269.26N/AN/A8,2482,64441,06115,823
2022-07-25$40.89$42.0020.4%5.8%15.2%21.6%19.0%3.9%0.5%1.2M-8.1M-322.0K0.3069.51N/AN/A8,1902,43441,08815,821
2022-07-26$40.59$42.0020.6%5.9%15.2%22.4%20.2%3.8%0.3%1.1M-4.6M-315.9K0.2769.71N/AN/A9,2232,47341,19415,846
2022-07-27$41.43$42.0020.0%5.7%17.1%20.3%21.1%4.3%0.5%1.3M-17.3M-342.6K0.2886.17N/AN/A9,0872,51641,73115,890
2022-07-28$41.51$42.0018.4%5.3%17.1%14.5%20.9%4.3%0.8%1.5M-16.4M-332.0K0.3180.09N/AN/A8,9622,78441,86315,889
2022-07-29$41.24$42.0018.3%5.2%17.1%14.2%18.6%2.3%-0.3%1.3M-10.2M-315.3K0.3122.59N/AN/A9,1632,82241,94515,949