VWO Options History — February 2023

In February 2023, VWO traded between $39.42 and $42.73. ATM implied volatility averaged 18.0%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.4% (HV 20d: 13.6%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 4.06.

Notable Days

  • 2023-02-13: Highest Volume — 4,562 contracts
  • 2023-02-06: Largest IV spike — 17.4% change
  • 2023-02-06: Highest IV Rank — 13.4%
  • 2023-02-13: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.93$39.42$42.73$42.73$39.47
Max Pain$39.95$39.00$40.00$39.00$40.00
ATM IV18.0%16.1%20.1%16.9%18.5%
Expected Move5.1%4.6%5.6%4.8%5.3%
HV 20d13.6%12.7%14.5%14.2%13.5%
HV 60d17.2%15.6%19.8%19.8%15.6%
IV Rank6.3%0.0%13.4%1.1%9.1%
IV Percentile11.3%0.0%28.2%1.6%16.3%
Term Structure0.9%-0.4%2.3%0.2%0.4%
VWIV17.4%15.9%20.4%16.9%17.1%
Skew 25d3.1%1.9%4.0%3.4%2.1%
Skew 10d6.2%3.4%9.2%6.4%8.5%
Call IV 25d16.4%15.1%18.1%15.9%16.9%
Put IV 25d19.5%17.9%20.7%19.2%19.1%
Bid-Ask Spread %52.6211.2381.6681.6615.85
Gamma HHI0.120.110.130.130.13
Net GEX1.6M-258.0K2.8M2.7M-258.0K
Net DEX-15.7M-41.5M7.9M-41.5M7.9M
Net VEX-218.4K-235.2K-195.3K-222.4K-195.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.060.1133.890.220.28
Total Volume884.105794,562435624
Total OI56,814.68454,22260,55354,22256,364

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-02-01$42.73$39.0016.9%4.8%14.2%1.1%16.9%3.4%0.2%2.7M-41.5M-222.4K0.2281.66N/AN/A3587723,52230,700
2023-02-02$42.30$40.0018.1%5.2%13.0%5.8%18.2%3.5%1.0%2.4M-35.2M-235.2K0.9648.07N/AN/A11611123,81330,746
2023-02-03$41.64$40.0017.1%4.9%14.5%2.1%16.4%2.8%0.6%2.4M-28.7M-228.6K0.5370.73N/AN/A51327323,93230,855
2023-02-06$41.27$40.0020.1%5.3%13.8%13.4%16.4%3.9%0.4%2.1M-22.5M-228.3K0.1536.03N/AN/A1872824,18630,977
2023-02-07$41.34$40.0018.9%5.2%13.7%8.9%17.8%4.0%-0.4%2.2M-22.1M-224.4K0.2955.05N/AN/A3028724,23631,006
2023-02-08$41.25$40.0018.0%5.2%13.5%5.6%17.5%3.6%0.8%2.3M-22.6M-213.7K33.8955.56N/AN/A1274,30424,31331,071
2023-02-09$41.36$40.0018.9%5.4%13.5%9.0%17.1%3.4%0.8%2.0M-22.9M-231.8K0.8152.96N/AN/A27522424,33733,153
2023-02-10$41.06$40.0018.6%5.3%13.6%7.7%18.9%3.7%0.4%1.8M-18.6M-228.6K0.1552.35N/AN/A2473724,44833,374
2023-02-13$41.47$40.0019.5%5.6%13.8%11.2%16.9%3.2%0.4%2.3M-25.6M-214.6K32.7953.25N/AN/A1354,42724,48133,394
2023-02-14$41.33$40.0018.1%5.2%13.7%5.6%17.7%3.1%0.7%2.2M-21.8M-223.3K0.2359.16N/AN/A1503524,58435,481
2023-02-15$41.08$40.0016.6%4.8%13.8%0.2%16.2%2.1%1.9%2.5M-20.2M-218.2K3.6039.28N/AN/A9734924,64335,494
2023-02-16$41.08$40.0016.1%4.6%13.5%0.0%16.2%2.8%2.3%2.8M-18.7M-215.3K1.0342.82N/AN/A26527424,63735,569
2023-02-17$40.66$40.0016.4%4.7%13.1%1.3%16.4%3.5%1.7%2.0M-11.5M-215.9K0.3659.35N/AN/A1194324,76035,793
2023-02-21$40.34$40.0019.3%5.5%12.7%11.9%20.4%2.3%1.3%574.0K-4.9M-215.8K0.1167.96N/AN/A1,35315522,07832,807
2023-02-22$40.03$40.0018.5%5.3%12.8%9.2%18.6%1.9%0.6%485.4K586.4K-222.9K0.3074.92N/AN/A611823,00032,946
2023-02-23$40.27$40.0017.0%4.9%13.1%3.5%15.9%3.8%2.3%688.7K-3.6M-201.9K0.6555.65N/AN/A46530123,01932,962
2023-02-24$39.42$40.0018.8%5.4%14.0%10.1%18.1%3.2%0.2%-225.9K7.6M-215.4K0.1611.23N/AN/A3956523,24833,153
2023-02-27$39.64$40.0017.0%4.9%14.5%3.4%17.2%3.2%1.4%144.9K5.4M-198.0K0.6067.90N/AN/A1267523,23133,166
2023-02-28$39.47$40.0018.5%5.3%13.5%9.1%17.1%2.1%0.4%-258.0K7.9M-195.3K0.2815.85N/AN/A48813623,26833,096