VWO Options History — October 2022

In October 2022, VWO traded between $35.33 and $38.24. ATM implied volatility averaged 25.9%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.1% (HV 20d: 23.7%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2022-10-27: Highest Volume — 8,267 contracts
  • 2022-10-24: Largest IV spike — 13.9% change
  • 2022-10-24: Highest IV Rank — 51.7%
  • 2022-10-24: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.44$35.33$38.24$37.09$35.49
Max Pain$38.05$37.00$39.00$39.00$37.00
ATM IV25.9%23.6%29.2%24.6%26.8%
Expected Move7.4%6.8%8.4%7.1%7.7%
HV 20d23.7%20.7%26.8%21.7%25.2%
HV 60d18.8%17.3%20.6%17.3%20.6%
IV Rank40.0%31.8%51.7%35.6%43.1%
IV Percentile83.0%69.8%94.0%79.8%87.7%
Term Structure-0.6%-2.0%0.5%0.5%-1.7%
VWIV27.0%22.5%30.5%23.1%25.1%
Skew 25d4.5%3.0%6.1%4.5%3.3%
Skew 10d9.2%-0.1%14.2%13.7%-0.1%
Call IV 25d23.8%21.1%27.1%22.1%24.1%
Put IV 25d28.3%24.8%31.4%26.7%27.4%
Bid-Ask Spread %45.8415.6972.5168.8564.16
Gamma HHI0.170.150.200.170.16
Net GEX954.3K444.2K2.2M1.2M680.4K
Net DEX5.3M-16.3M16.6M1.1M10.1M
Net VEX-193.1K-285.1K-128.8K-240.4K-128.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.742.061.472.06
Total Volume3,727.5242,5238,2673,3987,956
Total OI65,560.85761,32167,71866,31162,972

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$37.09$39.0024.6%7.1%21.7%35.6%23.1%4.5%0.5%1.2M1.1M-240.4K1.4768.85N/AN/A1,3742,02451,96714,344
2022-10-04$38.05$39.0023.9%6.9%24.1%33.1%22.5%4.5%-0.5%2.0M-13.4M-278.6K1.0148.96N/AN/A1,4611,47752,00114,330
2022-10-05$38.24$39.0024.1%6.9%24.0%33.7%22.7%3.7%-0.7%2.2M-16.3M-285.1K1.3815.69N/AN/A1,1971,65252,20914,065
2022-10-06$37.93$39.0023.6%6.8%24.0%31.8%27.7%5.0%-0.4%1.9M-11.5M-268.1K1.4039.71N/AN/A1,1881,66652,34914,230
2022-10-07$37.13$39.0024.9%7.4%23.8%36.5%28.1%5.3%-0.1%1.1M526.1K-235.8K1.1330.49N/AN/A1,2881,45152,45314,241
2022-10-10$36.68$39.0026.5%7.4%22.8%42.2%30.5%5.4%0.1%914.1K5.0M-220.5K1.4863.34N/AN/A1,2201,81152,57414,054
2022-10-11$36.08$38.0028.8%7.8%21.1%50.3%28.9%6.1%-0.6%687.3K12.3M-191.7K1.3263.81N/AN/A1,2591,66152,59114,062
2022-10-12$36.09$38.0027.8%8.0%20.7%46.6%29.3%5.7%-0.5%668.4K11.7M-196.4K1.2460.64N/AN/A1,2521,55652,67714,503
2022-10-13$36.21$38.0027.2%7.8%20.9%44.5%29.2%4.8%-0.7%609.8K12.3M-191.9K1.1065.95N/AN/A1,2681,39552,70914,525
2022-10-14$35.72$38.0026.1%7.5%21.0%40.9%29.5%4.9%0.2%610.3K16.6M-174.9K0.8864.43N/AN/A1,4541,28052,77014,656
2022-10-17$36.62$38.0025.4%7.3%23.5%38.2%28.6%5.0%-0.2%490.6K10.6M-184.7K0.9234.29N/AN/A1,3131,21053,02214,657
2022-10-18$36.55$38.0025.4%7.3%23.5%38.4%27.8%3.9%-0.8%556.5K10.1M-191.1K1.0040.84N/AN/A1,2701,27653,13714,581
2022-10-19$35.89$38.0026.0%7.5%23.6%40.5%27.9%4.4%-0.1%712.1K16.0M-166.5K0.9922.91N/AN/A1,3881,37353,16614,284
2022-10-20$36.24$38.0025.6%7.3%24.0%38.8%27.9%3.5%-0.4%768.2K7.6M-176.3K1.5172.51N/AN/A1,2751,92553,22712,991
2022-10-21$36.71$38.0025.6%7.3%22.9%39.1%29.9%4.7%-1.1%444.2K2.1M-195.6K1.6868.12N/AN/A1,3632,28453,33712,555
2022-10-24$35.33$38.0029.2%8.4%26.3%51.7%27.9%4.3%-2.0%852.0K8.9M-145.1K0.8427.61N/AN/A1,8791,57250,24711,074
2022-10-25$35.60$37.0025.9%7.4%26.5%40.2%24.7%4.5%-1.3%814.0K8.3M-147.2K0.7426.54N/AN/A2,0871,53850,88111,205
2022-10-26$36.11$37.0025.8%7.4%26.8%39.7%25.0%4.3%-1.1%1.1M4.7M-153.0K0.8424.45N/AN/A1,7731,48751,38411,156
2022-10-27$35.89$37.0025.1%7.2%25.8%37.2%24.6%4.2%-0.8%995.0K6.0M-149.0K1.7923.80N/AN/A2,9595,30851,56011,177
2022-10-28$35.55$37.0025.1%7.2%26.0%37.1%25.2%3.0%-0.9%767.0K9.4M-135.1K1.9735.46N/AN/A2,7305,37851,68411,171
2022-10-31$35.49$37.0026.8%7.7%25.2%43.1%25.1%3.3%-1.7%680.4K10.1M-128.8K2.0664.16N/AN/A2,6025,35451,71711,255