VWO Options History — September 2022

In September 2022, VWO traded between $36.51 and $41.61. ATM implied volatility averaged 21.6%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.0% (HV 20d: 17.7%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2022-09-06: Highest Volume — 10,941 contracts
  • 2022-09-13: Largest IV spike — 29.2% change
  • 2022-09-13: Highest IV Rank — 40.6%
  • 2022-09-29: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.21$36.51$41.61$40.84$36.51
Max Pain$41.90$41.00$44.00$44.00$41.00
ATM IV21.6%17.6%26.1%21.4%23.9%
Expected Move6.0%4.9%7.4%6.1%6.9%
HV 20d17.7%13.5%20.4%13.6%20.4%
HV 60d16.8%15.7%18.3%18.3%16.9%
IV Rank25.0%10.9%40.6%24.3%33.2%
IV Percentile55.0%21.4%87.3%54.0%73.8%
Term Structure0.3%-0.9%1.3%-0.7%0.0%
VWIV20.2%17.1%24.9%21.4%22.4%
Skew 25d4.0%2.0%5.6%3.8%3.3%
Skew 10d8.0%-4.3%16.3%7.5%11.2%
Call IV 25d19.6%16.5%24.5%19.8%23.0%
Put IV 25d23.6%19.4%29.7%23.6%26.3%
Bid-Ask Spread %66.7016.8880.9173.2080.35
Gamma HHI0.210.160.270.240.16
Net GEX2.8M971.2K5.0M3.1M971.2K
Net DEX-20.0M-53.2M6.8M-29.5M6.3M
Net VEX-320.2K-370.9K-228.2K-357.0K-228.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.021.811.811.32
Total Volume2,707.85710410,9412283,465
Total OI70,245.85764,98775,79370,35665,532

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$40.84$44.0021.4%6.1%13.6%24.3%21.4%3.8%-0.7%3.1M-29.5M-357.0K1.8173.20N/AN/A8114753,68016,676
2022-09-02$40.57$44.0019.7%5.7%13.8%18.3%20.7%2.0%-0.2%3.0M-24.4M-338.9K0.0279.85N/AN/A4,92010953,70816,781
2022-09-06$40.28$43.0022.7%6.0%13.9%28.7%18.2%4.2%0.4%3.4M-27.3M-368.0K0.1474.69N/AN/A9,5711,37058,59316,882
2022-09-07$40.61$43.0019.6%5.5%14.3%17.8%17.1%3.7%0.7%3.8M-32.6M-370.9K0.2973.32N/AN/A4,8381,40858,61116,890
2022-09-08$40.39$43.0019.9%5.6%13.5%18.9%18.6%3.6%0.8%3.5M-29.1M-365.4K0.0377.76N/AN/A101358,64116,931
2022-09-09$41.01$42.0017.6%5.0%14.6%10.9%17.1%2.9%1.3%4.4M-40.8M-365.3K0.9973.95N/AN/A11611558,72716,906
2022-09-12$41.61$42.0020.2%4.9%15.1%19.9%17.6%3.5%0.9%5.0M-53.2M-368.1K0.2570.90N/AN/A73618358,79216,896
2022-09-13$40.30$42.0026.1%6.0%18.7%40.6%18.9%3.7%0.9%3.5M-28.8M-358.6K0.2877.36N/AN/A5,2081,45358,90816,885
2022-09-14$40.55$42.0018.8%5.4%18.9%15.1%19.5%3.2%0.6%3.7M-33.2M-355.5K0.1676.05N/AN/A1342258,86416,648
2022-09-15$40.17$42.0019.0%5.5%19.1%15.8%18.4%3.7%1.0%3.4M-25.5M-341.1K0.6875.60N/AN/A18512558,87416,652
2022-09-16$39.67$42.0018.5%5.3%19.4%13.9%18.6%3.2%1.1%3.0M-16.4M-329.5K0.9372.36N/AN/A4,7264,39058,89216,668
2022-09-19$39.28$42.0021.0%6.0%19.3%22.9%18.9%5.6%0.8%3.2M-25.4M-340.8K0.0463.65N/AN/A1,2365049,96815,135
2022-09-20$39.19$41.0021.0%6.0%19.2%22.7%21.6%5.0%0.3%3.2M-29.0M-344.3K0.2426.14N/AN/A862151,01614,066
2022-09-21$38.53$41.0020.5%5.9%19.6%21.0%18.9%3.2%0.5%2.5M-21.9M-331.3K0.5680.91N/AN/A54330451,05613,931
2022-09-22$38.51$41.0020.5%5.9%19.5%21.1%19.8%4.9%0.5%2.6M-17.3M-313.6K0.1774.54N/AN/A1963451,53813,962
2022-09-23$37.50$41.0023.3%6.7%19.3%30.7%22.0%4.1%0.2%1.6M-2.9M-274.2K0.4016.88N/AN/A38015251,66213,958
2022-09-26$37.07$41.0024.5%7.0%19.2%35.0%23.7%4.5%-0.9%1.3M2.3M-247.7K0.7372.97N/AN/A1,5881,16551,62113,923
2022-09-27$36.96$41.0025.7%7.4%19.2%39.5%24.9%4.9%-0.9%1.3M3.2M-241.9K0.7267.50N/AN/A1,5461,11651,71713,925
2022-09-28$37.35$41.0024.0%6.9%19.8%33.5%23.4%5.0%-0.6%1.5M-1.4M-255.7K0.7871.63N/AN/A1,4221,11351,77313,735
2022-09-29$36.56$41.0026.0%7.4%20.3%40.3%22.7%5.2%-0.8%1.0M6.8M-229.1K0.7721.10N/AN/A1,4181,08951,79913,741
2022-09-30$36.51$41.0023.9%6.9%20.4%33.2%22.4%3.3%0.0%971.2K6.3M-228.2K1.3280.35N/AN/A1,4941,97151,83113,701