VWO Options History — August 2022

In August 2022, VWO traded between $40.92 and $42.50. ATM implied volatility averaged 18.5%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.3% (HV 20d: 13.1%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.47.

Notable Days

2022-08-05: Highest Volume — 20,191 contracts
2022-08-22: Largest IV spike — 17.7% change
2022-08-30: Highest IV Rank — 25.9%
2022-08-30: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.66	$40.92	$42.50	$41.07	$41.26
Max Pain	$43.74	$42.00	$44.00	$42.00	$44.00
ATM IV	18.5%	16.6%	21.9%	21.0%	20.1%
Expected Move	5.3%	4.8%	6.3%	6.0%	5.8%
HV 20d	13.1%	9.8%	17.1%	17.1%	13.4%
HV 60d	19.6%	18.3%	22.9%	22.9%	18.3%
IV Rank	14.3%	7.3%	25.9%	23.6%	19.5%
IV Percentile	31.5%	13.1%	59.9%	51.6%	44.8%
Term Structure	0.9%	-1.3%	2.0%	-0.1%	-0.3%
VWIV	18.4%	15.5%	21.8%	21.5%	20.0%
Skew 25d	3.8%	2.8%	5.3%	5.3%	4.2%
Skew 10d	7.1%	-2.0%	11.6%	-2.0%	6.0%
Call IV 25d	17.1%	15.2%	19.7%	19.4%	18.6%
Put IV 25d	20.9%	18.7%	24.7%	24.7%	22.8%
Bid-Ask Spread %	70.11	29.62	80.76	79.28	71.96
Gamma HHI	0.21	0.14	0.28	0.15	0.23
Net GEX	2.7M	1.2M	3.8M	1.3M	3.3M
Net DEX	-38.4M	-60.7M	-8.6M	-10.7M	-36.9M
Net VEX	-365.8K	-398.2K	-316.2K	-321.5K	-361.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.47	0.03	22.39	0.31	0.35
Total Volume	4,762.739	89	20,191	11,793	6,539
Total OI	67,627.435	58,138	73,344	58,138	70,278

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
2022-08-01	$41.07	$42.00	21.0%	6.0%	17.1%	23.6%	21.5%	5.3%	-0.1%	1.3M	-10.7M	-321.5K	0.31	79.28	N/A	N/A	9,003	2,790	42,186	15,952
2022-08-02	$40.92	$42.00	20.5%	5.9%	16.8%	21.9%	21.8%	3.6%	0.7%	1.2M	-8.6M	-316.2K	0.31	70.38	N/A	N/A	9,309	2,849	42,212	16,005
2022-08-03	$41.09	$42.00	18.9%	5.4%	16.8%	16.3%	19.7%	2.8%	1.2%	1.3M	-10.2M	-318.4K	0.31	75.76	N/A	N/A	9,163	2,840	42,569	16,182
2022-08-04	$41.37	$44.00	18.8%	5.7%	15.6%	16.1%	20.8%	4.7%	1.6%	1.3M	-14.5M	-318.2K	0.33	73.49	N/A	N/A	8,746	2,853	42,650	16,113
2022-08-05	$41.38	$44.00	18.0%	5.4%	15.6%	13.2%	19.4%	4.4%	1.6%	1.3M	-14.1M	-318.0K	0.21	73.83	N/A	N/A	16,711	3,480	42,934	16,153
2022-08-08	$41.49	$44.00	18.5%	5.5%	12.4%	14.8%	19.9%	4.0%	1.5%	2.3M	-29.7M	-381.4K	0.21	80.21	N/A	N/A	16,623	3,502	50,267	16,285
2022-08-09	$41.38	$44.00	18.7%	5.6%	12.3%	15.5%	21.5%	4.3%	0.7%	2.0M	-27.0M	-377.3K	0.03	68.86	N/A	N/A	3,463	98	50,368	16,631
2022-08-10	$41.89	$44.00	17.3%	5.0%	12.8%	10.8%	16.9%	3.3%	2.0%	2.6M	-48.6M	-398.1K	0.74	65.23	N/A	N/A	205	151	53,754	16,717
2022-08-11	$42.06	$44.00	17.4%	5.0%	12.3%	11.3%	17.9%	3.1%	1.9%	2.7M	-52.3M	-398.2K	0.57	64.28	N/A	N/A	245	140	53,844	16,822
2022-08-12	$42.50	$44.00	17.4%	5.0%	12.6%	10.1%	15.6%	4.0%	1.6%	3.3M	-60.7M	-394.9K	0.26	67.02	N/A	N/A	454	116	53,984	16,891
2022-08-15	$42.40	$44.00	17.4%	5.0%	12.7%	10.1%	16.7%	3.3%	1.4%	3.3M	-59.5M	-391.1K	0.65	73.28	N/A	N/A	133	87	54,320	16,993
2022-08-16	$42.41	$44.00	17.1%	4.9%	11.9%	9.2%	15.5%	3.5%	1.5%	3.3M	-59.0M	-387.0K	0.04	29.62	N/A	N/A	2,434	107	54,361	17,043
2022-08-17	$42.30	$44.00	17.0%	4.9%	11.8%	8.8%	16.4%	3.1%	1.6%	3.3M	-58.2M	-385.1K	0.83	75.90	N/A	N/A	200	167	56,201	17,143
2022-08-18	$42.05	$44.00	16.6%	4.8%	11.8%	7.3%	16.6%	3.6%	1.0%	2.4M	-51.0M	-378.5K	0.55	76.86	N/A	N/A	203	112	56,075	17,244
2022-08-19	$41.52	$44.00	16.6%	4.8%	12.1%	7.3%	16.8%	3.1%	1.6%	3.5M	-39.0M	-369.4K	22.39	80.76	N/A	N/A	147	3,292	56,066	17,200
2022-08-22	$41.25	$44.00	19.6%	5.6%	12.3%	17.7%	17.8%	4.6%	0.3%	3.2M	-37.0M	-371.2K	0.03	71.26	N/A	N/A	950	26	51,745	15,907
2022-08-23	$41.50	$44.00	19.1%	5.5%	12.1%	16.1%	17.7%	4.2%	0.6%	3.5M	-40.8M	-371.9K	0.12	74.61	N/A	N/A	358	44	52,651	15,927
2022-08-24	$41.57	$44.00	17.5%	5.0%	9.8%	10.4%	16.8%	3.4%	0.4%	3.5M	-42.7M	-367.1K	0.10	75.85	N/A	N/A	81	8	52,909	15,958
2022-08-25	$42.32	$44.00	17.2%	4.9%	11.6%	9.4%	16.3%	3.5%	0.8%	3.8M	-57.0M	-374.5K	0.83	40.07	N/A	N/A	604	500	52,957	15,964
2022-08-26	$41.76	$44.00	19.2%	5.5%	12.4%	16.4%	19.4%	3.5%	0.2%	3.6M	-47.0M	-377.4K	1.89	74.48	N/A	N/A	81	153	53,533	16,338
2022-08-29	$41.65	$44.00	19.3%	5.5%	12.4%	16.6%	19.2%	3.3%	0.1%	3.6M	-45.2M	-375.7K	1.59	70.78	N/A	N/A	86	137	53,565	16,408
2022-08-30	$41.07	$44.00	21.9%	6.3%	13.3%	25.9%	20.0%	4.2%	-1.3%	3.2M	-33.6M	-360.7K	1.11	78.72	N/A	N/A	167	186	53,622	16,504
2022-08-31	$41.26	$44.00	20.1%	5.8%	13.4%	19.5%	20.0%	4.2%	-0.3%	3.3M	-36.9M	-361.5K	0.35	71.96	N/A	N/A	4,843	1,696	53,646	16,632