VWO Options History — May 2023

In May 2023, VWO traded between $39.05 and $40.47. ATM implied volatility averaged 14.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.5% (HV 20d: 13.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.74.

Notable Days

  • 2023-05-16: Highest Volume — 4,692 contracts
  • 2023-05-24: Largest IV spike — 25.3% change
  • 2023-05-24: Highest IV Rank — 19.6%
  • 2023-05-24: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.87$39.05$40.47$40.11$39.05
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV14.9%13.4%17.8%13.4%16.3%
Expected Move4.3%3.8%5.1%3.8%4.7%
HV 20d13.4%12.0%14.7%12.5%14.5%
HV 60d14.0%13.4%14.5%14.0%13.9%
IV Rank7.7%1.4%19.6%1.4%13.5%
IV Percentile7.2%0.4%27.0%0.4%14.3%
Term Structure0.4%-1.3%1.6%1.6%-1.0%
VWIV14.6%12.9%17.9%15.6%17.9%
Skew 25d3.9%2.4%4.9%2.4%3.5%
Skew 10d8.7%4.2%13.9%4.2%10.8%
Call IV 25d13.4%12.2%15.0%12.7%14.8%
Put IV 25d17.3%15.1%19.9%15.1%18.4%
Bid-Ask Spread %47.6815.8079.1161.0819.53
Gamma HHI0.120.100.140.100.14
Net GEX114.8K-759.4K767.2K254.5K-759.4K
Net DEX503.0K-4.3M7.3M-763.8K7.3M
Net VEX-181.4K-188.9K-173.0K-176.5K-178.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0027.791.250.62
Total Volume601.455434,692962223
Total OI43,92341,77347,86341,89743,047

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$40.11$40.0013.4%3.8%12.5%1.4%15.6%2.4%1.6%254.5K-763.8K-176.5K1.2561.08N/AN/A42853422,77719,120
2023-05-02$39.69$40.0014.2%4.1%12.8%4.7%13.8%3.1%1.0%-298.3K2.8M-182.3K0.3867.35N/AN/A632423,11919,568
2023-05-03$39.67$40.0014.6%4.2%12.8%6.3%14.0%2.5%1.5%-324.5K2.1M-180.4K0.0938.63N/AN/A74723,14119,580
2023-05-04$40.02$40.0015.6%4.6%12.9%10.6%15.2%4.7%1.1%133.8K-34.2K-186.4K0.2774.43N/AN/A2216023,16419,577
2023-05-05$40.47$40.0013.8%4.4%13.3%3.2%14.5%4.8%1.1%644.1K-3.9M-175.2K0.0370.54N/AN/A247823,36119,607
2023-05-08$40.47$40.0014.7%4.4%13.2%6.8%14.1%4.3%1.2%720.8K-4.3M-174.4K0.0079.11N/AN/A2,216823,51719,615
2023-05-09$40.20$40.0014.3%4.4%13.1%5.1%14.8%4.3%1.0%592.3K-3.3M-186.1K2.2169.12N/AN/A5712624,68819,615
2023-05-10$40.25$40.0015.2%4.3%12.9%8.6%12.9%4.7%1.1%662.2K-3.5M-179.8K0.5452.77N/AN/A281524,70119,650
2023-05-11$40.05$40.0014.7%4.2%12.0%6.8%14.3%4.0%0.7%361.6K-1.9M-178.5K0.1765.23N/AN/A2334024,96319,662
2023-05-12$39.59$40.0014.4%4.1%12.5%5.7%14.8%3.4%1.0%-400.2K1.8M-177.3K1.4277.27N/AN/A26037024,98519,688
2023-05-15$40.30$40.0014.9%4.3%14.1%7.7%12.9%3.9%0.4%767.2K-3.7M-175.9K0.2565.01N/AN/A3859725,09620,029
2023-05-16$40.05$40.0014.5%4.2%14.2%6.0%13.3%4.0%0.8%458.6K-2.2M-173.0K27.7943.48N/AN/A1634,52925,28520,065
2023-05-17$40.14$40.0014.4%4.1%13.9%5.4%14.3%3.8%0.4%424.4K-907.3K-188.9K0.0730.31N/AN/A87625,28822,401
2023-05-18$39.91$40.0013.8%4.0%14.0%3.1%13.9%3.7%0.9%275.0K991.9K-188.5K0.0731.48N/AN/A96725,36622,400
2023-05-19$39.86$40.0013.8%4.0%13.6%3.0%13.9%3.8%0.4%331.4K1.9M-184.3K0.6515.80N/AN/A1137325,45922,404
2023-05-22$40.16$40.0014.2%4.1%13.9%4.8%13.1%2.9%-0.2%299.8K-1.3M-184.2K0.2216.77N/AN/A66514422,32219,451
2023-05-23$39.55$40.0014.2%4.1%13.8%4.7%14.8%3.9%0.3%-274.3K3.2M-182.2K0.9621.21N/AN/A13813222,79919,573
2023-05-24$39.28$40.0017.8%5.1%13.8%19.6%17.1%4.8%-1.3%-456.9K5.6M-187.1K0.0742.51N/AN/A5023322,80919,709
2023-05-25$39.23$40.0017.1%4.9%13.0%16.8%17.0%4.9%-0.7%-490.8K5.9M-185.5K0.5717.70N/AN/A744223,17319,679
2023-05-26$39.84$40.0015.3%4.4%14.1%9.1%14.5%3.1%0.0%52.7K514.6K-187.7K0.6143.92N/AN/A24214823,21319,669
2023-05-30$39.36$40.0017.4%5.0%14.7%17.8%15.3%4.7%-1.3%-447.4K4.7M-177.5K0.1445.68N/AN/A2763823,30919,662
2023-05-31$39.05$40.0016.3%4.7%14.5%13.5%17.9%3.5%-1.0%-759.4K7.3M-178.4K0.6219.53N/AN/A1388523,37719,670