VWO Options History — March 2023

In March 2023, VWO traded between $38.39 and $40.72. ATM implied volatility averaged 19.6%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.6% (HV 20d: 16.0%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 4.19.

Notable Days

  • 2023-03-17: Highest Volume — 4,764 contracts
  • 2023-03-09: Largest IV spike — 31.3% change
  • 2023-03-13: Highest IV Rank — 58.6%
  • 2023-03-15: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.66$38.39$40.72$40.25$40.34
Max Pain$39.13$39.00$40.00$40.00$39.00
ATM IV19.6%16.1%28.5%18.3%17.2%
Expected Move5.4%4.6%6.7%5.2%4.9%
HV 20d16.0%14.1%17.8%15.8%15.0%
HV 60d16.1%14.4%16.8%16.1%14.4%
IV Rank16.2%0.3%58.6%8.2%5.3%
IV Percentile27.7%0.4%94.8%13.5%6.7%
Term Structure0.6%-0.7%4.8%-0.5%-0.1%
VWIV18.1%15.0%21.0%17.5%15.9%
Skew 25d3.9%1.7%6.5%2.8%1.8%
Skew 10d8.6%2.3%13.2%4.9%6.3%
Call IV 25d17.0%15.0%20.5%16.7%15.4%
Put IV 25d20.9%17.2%25.9%19.4%17.2%
Bid-Ask Spread %63.5313.2695.4261.9917.91
Gamma HHI0.130.110.160.130.12
Net GEX-69.2K-2.3M1.9M965.6K1.3M
Net DEX1.8M-13.8M21.9M-5.0M-8.6M
Net VEX-166.7K-189.9K-140.1K-187.9K-140.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.190.0378.400.260.56
Total Volume575.0431024,764173150
Total OI53,979.56547,78257,31556,66550,710

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$40.25$40.0018.3%5.2%15.8%8.2%17.5%2.8%-0.5%965.6K-5.0M-187.9K0.2661.99N/AN/A1373623,46333,202
2023-03-02$40.45$40.0017.7%5.1%14.9%6.0%17.1%2.3%1.8%1.3M-8.0M-189.9K0.1874.04N/AN/A1041923,57133,234
2023-03-03$40.72$40.0016.1%4.6%15.0%0.3%15.6%2.2%0.2%1.9M-13.8M-170.3K0.1013.26N/AN/A1521523,63733,236
2023-03-06$40.58$39.0017.8%4.8%14.1%6.4%15.0%4.2%0.7%1.7M-10.9M-175.6K0.4163.29N/AN/A813323,70933,234
2023-03-07$40.00$39.0018.0%4.9%14.6%7.1%17.5%2.5%1.2%1.2M-4.0M-168.7K0.2164.78N/AN/A841823,72033,255
2023-03-08$40.16$39.0018.2%5.0%14.7%8.0%16.8%2.0%0.7%1.6M-5.8M-161.5K0.1083.17N/AN/A971023,73733,258
2023-03-09$39.31$39.0023.9%6.0%16.3%37.0%20.4%4.2%-0.5%-226.3K6.8M-179.9K0.6280.08N/AN/A16510323,83233,266
2023-03-10$39.13$39.0025.1%6.2%16.2%42.4%19.7%5.8%-0.7%-512.3K10.4M-187.0K0.4390.98N/AN/A1898123,76733,363
2023-03-13$39.16$39.0028.5%6.3%16.2%58.6%20.7%5.8%0.1%-587.8K11.0M-181.1K0.5791.19N/AN/A683923,85233,437
2023-03-14$39.03$39.0024.7%5.7%15.5%40.5%20.1%5.0%0.8%-912.9K13.0M-166.2K0.9192.68N/AN/A11210223,88033,415
2023-03-15$38.39$39.0023.3%6.7%16.2%34.0%20.2%5.5%-0.1%-2.3M21.9M-174.6K0.3788.31N/AN/A2699923,87833,397
2023-03-16$38.92$39.0018.6%5.3%17.3%11.9%20.5%6.4%4.8%-1.8M15.0M-160.5K3.8395.42N/AN/A6023023,93033,385
2023-03-17$38.73$39.0019.7%5.6%17.3%17.1%19.2%6.5%1.5%-2.0M15.4M-163.7K78.4065.77N/AN/A604,70423,93533,370
2023-03-20$38.78$39.0017.8%5.1%17.1%8.4%17.3%3.8%1.5%-2.0M12.2M-162.6K0.1278.81N/AN/A1,53718317,51530,267
2023-03-21$39.20$39.0018.4%5.3%17.6%10.9%16.4%5.1%1.0%-1.3M7.6M-168.6K0.2631.44N/AN/A40210618,99630,414
2023-03-22$39.45$39.0018.7%5.4%17.7%12.3%17.5%2.7%0.1%-463.0K-246.0K-169.9K0.7484.43N/AN/A23117019,36630,454
2023-03-23$39.77$39.0018.6%5.3%17.8%11.9%17.8%4.1%0.4%-290.7K-97.2K-164.7K0.0355.55N/AN/A3641119,51130,457
2023-03-24$39.67$39.0018.2%5.2%16.0%10.2%21.0%3.8%0.1%-595.2K1.9M-165.4K4.2272.72N/AN/A5121519,77530,468
2023-03-27$39.50$39.0018.5%5.3%16.0%11.5%21.0%3.4%0.7%-483.2K1.2M-153.1K3.2257.07N/AN/A5171,66419,80030,557
2023-03-28$39.95$39.0018.2%5.2%16.4%10.3%17.6%3.3%0.2%221.6K-3.6M-154.5K0.3345.54N/AN/A1565219,75130,508
2023-03-29$40.14$39.0017.2%4.9%14.9%5.5%15.6%4.2%0.6%604.2K-4.8M-145.3K0.3815.83N/AN/A1435519,86030,555
2023-03-30$40.50$39.0017.9%5.1%15.2%8.8%16.1%1.7%0.2%1.3M-9.3M-141.9K0.1936.98N/AN/A1282419,99630,607
2023-03-31$40.34$39.0017.2%4.9%15.0%5.3%15.9%1.8%-0.1%1.3M-8.6M-140.1K0.5617.91N/AN/A965420,09830,612