VWO Options History — January 2023

In January 2023, VWO traded between $39.41 and $43.16. ATM implied volatility averaged 18.7%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 17.6%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2023-01-13: Highest Volume — 6,196 contracts
  • 2023-01-30: Largest IV spike — 15.0% change
  • 2023-01-04: Highest IV Rank — 24.7%
  • 2023-01-05: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.82$39.41$43.16$39.41$42.14
Max Pain$38.10$38.00$39.00$39.00$38.00
ATM IV18.7%16.6%21.6%21.3%19.0%
Expected Move5.4%4.8%6.3%6.1%5.5%
HV 20d17.6%13.7%20.1%17.6%14.0%
HV 60d21.2%19.4%22.9%22.9%19.7%
IV Rank9.1%0.0%24.7%24.0%9.3%
IV Percentile14.6%0.0%39.7%36.1%17.1%
Term Structure0.5%-0.3%1.4%0.7%-0.3%
VWIV19.0%16.3%21.9%21.9%19.8%
Skew 25d2.8%1.0%3.7%2.3%3.4%
Skew 10d7.2%2.9%11.1%2.9%10.3%
Call IV 25d17.5%15.1%20.6%20.6%17.2%
Put IV 25d20.3%17.7%23.4%22.9%20.7%
Bid-Ask Spread %45.3714.4881.3320.1648.74
Gamma HHI0.170.110.250.160.11
Net GEX3.9M2.1M6.3M2.2M2.2M
Net DEX-45.9M-74.3M-8.0M-8.0M-32.1M
Net VEX-261.3K-309.1K-224.2K-303.6K-241.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0419.381.270.84
Total Volume863.35656,196368239
Total OI68,539.8551,25079,60974,59154,078

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$39.41$39.0021.3%6.1%17.6%24.0%21.9%2.3%0.7%2.2M-8.0M-303.6K1.2720.16N/AN/A16220638,79135,800
2023-01-04$40.36$39.0021.6%6.2%19.4%24.7%20.6%2.7%0.6%3.7M-26.9M-305.8K0.0967.89N/AN/A4544138,90735,926
2023-01-05$40.34$38.0020.9%6.3%19.4%22.6%21.1%3.1%0.4%3.8M-24.5M-309.1K1.3251.30N/AN/A283739,29035,937
2023-01-06$41.00$38.0019.5%6.0%20.1%11.5%20.7%2.8%0.6%4.7M-37.6M-298.9K0.4574.01N/AN/A23110339,30635,946
2023-01-09$41.25$38.0020.9%5.8%19.9%16.8%20.6%3.1%1.4%5.2M-45.5M-288.5K0.1558.91N/AN/A4706939,45836,037
2023-01-10$41.47$38.0021.2%5.8%19.9%18.1%19.1%2.5%0.4%5.4M-49.8M-280.4K0.2555.44N/AN/A2726839,79136,031
2023-01-11$41.63$38.0019.6%5.6%19.7%11.9%20.6%1.0%0.6%5.6M-55.0M-274.5K0.0450.49N/AN/A7272740,00936,031
2023-01-12$41.80$38.0018.2%5.2%19.6%6.8%17.6%2.7%0.6%6.2M-60.3M-268.9K0.0951.88N/AN/A6215540,58736,053
2023-01-13$42.14$38.0017.3%5.0%19.7%2.8%16.3%3.1%0.9%6.3M-68.5M-255.1K19.3869.28N/AN/A3045,89240,85636,077
2023-01-17$41.92$38.0017.5%5.0%18.4%3.6%17.8%3.1%0.4%6.1M-63.8M-256.0K0.0516.51N/AN/A8044041,00738,043
2023-01-18$41.72$38.0018.4%5.3%18.6%6.7%18.0%1.9%0.6%6.3M-61.2M-254.0K0.0825.48N/AN/A4023141,11638,067
2023-01-19$42.02$38.0017.3%5.0%16.7%2.7%19.4%2.5%1.2%4.4M-66.7M-244.6K0.2781.33N/AN/A63717041,01738,063
2023-01-20$42.45$38.0017.2%4.9%16.7%2.1%19.0%3.4%0.8%2.2M-74.3M-246.3K0.0924.23N/AN/A1,0689841,44638,163
2023-01-23$42.78$38.0017.2%4.9%16.7%2.2%18.4%3.7%0.7%2.1M-38.5M-231.8K0.0914.76N/AN/A2,07618121,15530,095
2023-01-24$42.80$38.0016.9%4.9%15.8%1.3%18.0%3.4%0.6%2.4M-40.7M-244.1K0.5955.10N/AN/A1197022,97430,258
2023-01-25$42.84$38.0017.1%4.9%15.7%1.7%17.0%3.7%0.7%2.5M-41.2M-237.5K0.2142.74N/AN/A3918323,06830,323
2023-01-26$43.16$38.0017.5%5.0%15.0%3.5%17.3%3.6%-0.1%2.6M-45.9M-224.9K0.0914.48N/AN/A3593323,20330,320
2023-01-27$42.95$38.0016.6%4.8%13.7%0.0%16.9%2.5%0.1%2.7M-44.9M-224.2K0.7633.59N/AN/A1319923,41930,358
2023-01-30$42.20$38.0019.1%5.5%15.1%9.5%19.6%2.4%-0.3%2.3M-33.5M-237.6K2.2351.03N/AN/A14532423,42430,367
2023-01-31$42.14$38.0019.0%5.5%14.0%9.3%19.8%3.4%-0.3%2.2M-32.1M-241.2K0.8448.74N/AN/A13010923,43030,648