VWO Options History — December 2022

In December 2022, VWO traded between $38.70 and $40.70. ATM implied volatility averaged 23.1%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.8% (HV 20d: 19.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 4.97.

Notable Days

  • 2022-12-15: Highest Volume — 14,499 contracts
  • 2022-12-14: Largest IV drop — 34.0% change
  • 2022-12-12: Highest IV Rank — 80.3%
  • 2022-12-01: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.68$38.70$40.70$40.44$38.97
Max Pain$38.95$35.00$40.00$35.00$39.00
ATM IV23.1%18.5%37.3%23.5%20.4%
Expected Move5.9%5.3%6.7%6.7%5.8%
HV 20d19.4%16.6%24.9%24.9%17.3%
HV 60d23.6%22.7%24.8%24.8%22.8%
IV Rank30.3%13.9%80.3%31.5%20.6%
IV Percentile49.1%15.1%99.6%58.3%27.8%
Term Structure0.9%-2.9%2.4%-2.9%2.0%
VWIV20.6%17.2%24.5%23.2%19.8%
Skew 25d2.8%1.5%4.0%2.3%3.1%
Skew 10d5.3%3.2%10.3%10.3%4.0%
Call IV 25d19.6%17.6%22.5%21.6%19.5%
Put IV 25d22.4%19.9%24.6%23.9%22.6%
Bid-Ask Spread %43.118.5879.8879.8842.97
Gamma HHI0.230.140.420.260.14
Net GEX6.0M1.0M10.8M10.1M1.4M
Net DEX-35.5M-88.0M2.7M-78.1M-916.8K
Net VEX-245.4K-317.7K-152.4K-241.5K-310.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.970.0561.850.230.51
Total Volume1,862.76210514,499348140
Total OI80,167.47665,911101,53684,43574,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$40.44$35.0023.5%6.7%24.9%31.5%23.2%2.3%-2.9%10.1M-78.1M-241.5K0.2379.88N/AN/A2836563,39321,042
2022-12-02$40.70$35.0023.2%6.7%24.9%30.6%22.9%2.0%-2.7%10.8M-88.0M-245.3K0.0578.22N/AN/A4972663,59121,041
2022-12-05$40.23$39.0026.2%6.1%22.7%41.0%20.9%4.0%0.3%9.6M-72.6M-223.4K0.3864.68N/AN/A973763,74021,048
2022-12-06$40.28$39.0027.0%6.2%22.7%43.9%22.7%3.3%0.1%9.8M-72.5M-217.4K2.6561.61N/AN/A379863,76321,046
2022-12-07$40.09$39.0028.3%6.3%22.8%48.5%24.5%3.4%-0.2%9.1M-66.4M-211.0K4.7545.66N/AN/A19291263,78121,104
2022-12-08$40.47$39.0028.1%6.3%21.2%47.9%21.9%2.3%0.5%10.4M-75.7M-210.9K0.5159.62N/AN/A60230763,80622,011
2022-12-09$40.27$40.0028.1%6.0%18.6%47.8%23.7%3.0%1.8%10.2M-68.8M-206.2K1.3938.33N/AN/A1,1341,57464,25422,140
2022-12-12$40.03$40.0037.3%6.1%17.6%80.3%22.9%2.1%1.3%8.9M-55.9M-184.5K5.9738.23N/AN/A1911,14164,61022,909
2022-12-13$40.34$40.0029.4%5.8%17.7%52.4%19.3%2.2%1.4%10.5M-56.7M-173.8K0.1533.29N/AN/A2,48036264,61823,982
2022-12-14$40.30$40.0019.4%5.6%16.6%17.1%19.7%1.5%2.4%9.2M-52.0M-163.4K1.7962.46N/AN/A7951,42062,58624,194
2022-12-15$39.56$40.0019.4%5.6%17.0%17.1%19.9%2.7%1.3%6.3M-25.0M-152.4K11.7339.52N/AN/A1,13913,36063,27925,606
2022-12-16$39.64$40.0018.5%5.3%16.9%13.9%17.2%1.5%1.8%6.0M-8.3M-235.4K0.2336.92N/AN/A1603763,25938,277
2022-12-19$38.89$40.0019.2%5.5%18.2%16.3%19.1%2.8%2.0%1.5M-878.8K-282.0K0.158.58N/AN/A77111236,09429,913
2022-12-20$38.81$39.0019.5%5.6%17.8%17.5%19.0%3.1%1.6%1.5M-3.2M-284.6K0.6710.65N/AN/A1198036,83229,079
2022-12-21$39.16$39.0018.5%5.3%18.1%13.9%17.9%2.9%2.3%2.0M-7.8M-280.7K61.8510.07N/AN/A845,19536,87329,083
2022-12-22$38.75$39.0019.6%5.6%18.3%17.8%20.1%2.8%1.9%1.1M1.6M-303.8K1.3049.64N/AN/A8611236,93033,583
2022-12-23$38.70$39.0018.7%5.4%18.3%14.8%18.4%2.7%1.7%1.0M2.7M-296.4K0.2039.07N/AN/A1082236,95433,686
2022-12-27$39.39$39.0020.2%5.8%19.3%19.9%18.6%3.8%1.1%2.2M-8.9M-304.0K9.4327.62N/AN/A4674,40438,23933,680
2022-12-28$38.81$39.0020.4%5.8%18.9%20.6%20.5%3.1%1.2%1.3M459.9K-309.5K0.0538.74N/AN/A3491838,58535,777
2022-12-29$39.48$39.0021.0%6.0%16.8%22.7%20.2%3.7%0.5%2.2M-8.7M-317.7K0.3539.63N/AN/A782738,74435,793
2022-12-30$38.97$39.0020.4%5.8%17.3%20.6%19.8%3.1%2.0%1.4M-916.8K-310.4K0.5142.97N/AN/A934738,80035,792