VWO Options History — November 2022

In November 2022, VWO traded between $35.84 and $40.58. ATM implied volatility averaged 23.9%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.1% (HV 20d: 26.0%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2022-11-02: Highest Volume — 19,382 contracts
  • 2022-11-04: Largest IV spike — 13.2% change
  • 2022-11-04: Highest IV Rank — 48.7%
  • 2022-11-04: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.30$35.84$40.58$36.05$40.58
Max Pain$35.19$35.00$37.00$37.00$35.00
ATM IV23.9%21.5%28.4%25.6%21.5%
Expected Move6.8%6.2%7.6%7.3%6.2%
HV 20d26.0%23.4%29.1%24.0%25.1%
HV 60d23.3%20.8%24.9%20.9%24.9%
IV Rank33.1%24.7%48.7%39.1%24.7%
IV Percentile62.8%40.1%92.5%80.2%40.1%
Term Structure-0.8%-2.2%0.4%-2.2%-1.6%
VWIV23.5%21.3%25.7%25.7%22.0%
Skew 25d3.7%2.9%4.6%3.5%2.9%
Skew 10d8.4%2.6%16.1%12.6%12.2%
Call IV 25d22.1%20.2%24.6%23.9%20.4%
Put IV 25d25.8%23.3%28.5%27.4%23.3%
Bid-Ask Spread %58.4911.1882.6169.3882.61
Gamma HHI0.210.120.260.180.26
Net GEX4.5M541.0K10.5M1.1M10.5M
Net DEX-30.7M-82.8M10.6M4.6M-82.8M
Net VEX-237.2K-313.0K-136.2K-145.1K-246.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.062.621.470.28
Total Volume8,224.3813919,3826,625400
Total OI80,064.95263,26185,69763,26184,300

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$36.05$37.0025.6%7.3%24.0%39.1%25.7%3.5%-2.2%1.1M4.6M-145.1K1.4769.38N/AN/A2,6873,93852,00111,260
2022-11-02$35.84$37.0025.7%7.4%23.8%39.3%25.6%3.1%-0.9%876.7K7.1M-136.2K2.6270.14N/AN/A5,34914,03352,09911,283
2022-11-03$36.10$35.0025.1%6.9%24.0%37.1%25.3%4.5%-0.3%541.0K10.6M-185.9K2.5378.91N/AN/A4,70411,90255,08421,495
2022-11-04$37.48$35.0028.4%7.6%26.8%48.7%25.6%4.0%-1.3%2.3M-10.6M-243.1K1.4176.06N/AN/A6,0288,50555,41521,498
2022-11-07$37.48$35.0027.4%7.4%26.4%45.4%24.7%3.4%-0.7%2.7M-14.0M-245.5K2.5474.94N/AN/A3,2078,13657,26421,527
2022-11-08$37.69$35.0025.6%6.9%25.6%38.9%24.1%3.9%-0.0%2.9M-16.2M-241.8K2.2974.98N/AN/A3,5658,16457,27621,549
2022-11-09$36.94$35.0024.6%7.1%26.8%35.6%23.5%3.9%-0.2%1.9M-3.9M-216.6K1.4075.77N/AN/A5,8418,16057,95521,580
2022-11-10$38.17$35.0023.7%6.8%29.1%32.4%22.8%4.0%0.4%3.6M-24.4M-262.1K2.3574.36N/AN/A3,4798,17160,14121,364
2022-11-11$38.97$35.0022.5%6.5%29.1%28.2%21.5%4.0%-0.2%5.1M-41.1M-280.3K1.3949.22N/AN/A5,0987,10760,31121,379
2022-11-14$38.94$35.0022.7%6.5%28.1%28.7%22.3%4.6%-0.3%5.9M-43.8M-279.4K0.8376.59N/AN/A3,8323,18263,06321,378
2022-11-15$39.67$35.0022.8%6.5%28.5%29.0%21.7%3.9%-0.4%7.4M-68.6M-313.0K0.7439.03N/AN/A4,2273,12464,19821,499
2022-11-16$39.06$35.0023.4%6.7%28.3%31.2%22.7%3.4%-1.0%6.0M-48.2M-280.7K1.3777.40N/AN/A2,8223,86363,19621,589
2022-11-17$39.23$35.0023.8%6.8%28.2%32.5%23.6%3.6%-0.9%6.1M-50.1M-281.5K1.5180.32N/AN/A2,6594,02763,28121,901
2022-11-18$39.00$35.0023.1%6.6%28.2%30.3%23.0%4.0%-0.3%5.9M-44.9M-267.1K1.4011.53N/AN/A2,7113,80763,18221,968
2022-11-21$38.59$35.0023.5%6.7%24.2%31.5%24.4%3.4%-0.6%4.7M-32.0M-241.6K1.7813.34N/AN/A1,8533,30660,57920,525
2022-11-22$38.68$35.0022.4%6.4%24.2%27.9%23.4%3.6%-0.3%4.8M-32.8M-235.5K1.7211.18N/AN/A1,8053,10460,67020,560
2022-11-23$38.92$35.0022.0%6.3%23.9%26.4%22.2%4.0%-0.8%5.5M-36.9M-230.1K1.7249.93N/AN/A1,7413,00360,81020,644
2022-11-25$38.83$35.0022.0%6.3%23.8%26.3%25.2%3.4%-0.9%5.2M-34.9M-218.6K0.5629.43N/AN/A251460,81020,634
2022-11-28$38.69$35.0023.0%6.6%23.4%29.8%21.3%3.1%-1.2%4.9M-31.7M-202.1K0.1575.47N/AN/A2,77840560,85020,658
2022-11-29$39.42$35.0023.6%6.8%23.8%31.8%22.3%2.9%-2.2%7.1M-49.6M-229.2K0.0637.74N/AN/A1,83211863,58321,005
2022-11-30$40.58$35.0021.5%6.2%25.1%24.7%22.0%2.9%-1.6%10.5M-82.8M-246.5K0.2882.61N/AN/A3138763,26921,031