VWO Options History — June 2023

In June 2023, VWO traded between $39.72 and $42.06. ATM implied volatility averaged 13.8%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.9% (HV 20d: 15.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2023-06-16: Highest Volume — 6,148 contracts
  • 2023-06-12: Largest IV spike — 16.6% change
  • 2023-06-02: Highest IV Rank — 10.5%
  • 2023-06-02: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.78$39.72$42.06$39.72$40.72
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV13.8%12.2%15.6%14.4%12.2%
Expected Move3.8%3.5%4.5%4.1%3.5%
HV 20d15.6%14.2%16.9%15.8%14.3%
HV 60d13.7%13.1%14.5%14.1%14.2%
IV Rank4.1%0.0%10.5%5.4%0.0%
IV Percentile4.8%0.0%14.3%6.0%0.0%
Term Structure0.9%-1.2%2.1%0.2%0.8%
VWIV13.5%11.7%17.8%17.8%12.1%
Skew 25d2.7%1.5%4.9%3.7%2.5%
Skew 10d6.4%0.1%12.2%5.9%5.4%
Call IV 25d12.3%10.9%13.8%13.8%10.9%
Put IV 25d15.0%13.5%17.6%17.6%13.5%
Bid-Ask Spread %51.1116.4784.2016.5735.07
Gamma HHI0.170.110.680.130.12
Net GEX1.6M-264.6K10.8M-264.6K1.2M
Net DEX-11.5M-26.6M2.1M2.1M-12.5M
Net VEX-182.9K-201.8K-162.9K-175.9K-198.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.023.310.480.03
Total Volume724.7621196,1481,191268
Total OI41,392.52434,22446,72143,15037,508

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$39.72$40.0014.4%4.1%15.8%5.4%17.8%3.7%0.2%-264.6K2.1M-175.9K0.4816.57N/AN/A80738423,38819,762
2023-06-02$40.36$40.0015.6%4.5%16.5%10.5%14.8%4.9%-1.2%603.1K-5.4M-184.7K0.0740.47N/AN/A2011424,10720,084
2023-06-05$40.34$40.0015.1%4.2%16.0%8.2%14.6%3.4%1.0%515.2K-5.1M-180.0K1.7561.37N/AN/A22839924,27220,088
2023-06-06$40.61$40.0013.4%3.8%16.2%1.2%13.2%3.6%0.9%1.0M-9.0M-177.7K0.2764.57N/AN/A1353724,46720,461
2023-06-07$40.52$40.0013.8%3.8%16.0%3.2%13.2%2.6%1.5%848.8K-7.5M-178.2K0.1453.38N/AN/A1341924,57920,484
2023-06-08$40.75$40.0013.4%3.7%16.1%1.4%11.7%3.1%1.6%1.2M-10.6M-171.3K0.0343.07N/AN/A116324,69820,486
2023-06-09$40.84$40.0013.0%3.5%16.0%0.0%11.9%2.6%2.1%1.5M-11.7M-167.9K0.1525.31N/AN/A1312024,80820,485
2023-06-12$40.97$40.0015.2%3.6%15.3%8.9%14.1%3.1%1.8%1.6M-12.6M-165.1K0.8273.97N/AN/A13310924,91320,481
2023-06-13$41.30$40.0015.5%3.7%14.3%10.2%13.8%3.4%1.3%2.1M-16.0M-162.9K0.0483.91N/AN/A6492424,89520,584
2023-06-14$41.66$40.0013.0%3.7%14.2%0.0%13.6%2.0%1.9%3.0M-20.9M-165.6K0.1281.30N/AN/A6708025,48420,605
2023-06-15$42.06$40.0012.6%3.6%14.5%0.0%12.5%3.1%1.5%4.1M-26.6M-166.8K0.1362.02N/AN/A4936625,83920,656
2023-06-16$41.95$40.0013.2%3.8%14.3%2.6%12.7%2.1%1.0%10.8M-25.2M-167.9K3.3184.20N/AN/A1,4284,72026,03320,688
2023-06-20$41.00$40.0014.5%4.2%16.9%8.0%14.3%3.0%0.2%740.2K-12.1M-192.0K0.3042.77N/AN/A1,18235715,67118,553
2023-06-21$40.89$40.0013.5%3.9%16.8%3.7%13.4%1.6%0.7%912.8K-12.9M-197.2K0.0416.47N/AN/A240916,81918,809
2023-06-22$40.70$40.0012.8%3.7%15.8%1.0%12.9%2.2%1.2%810.5K-10.2M-200.4K0.3970.82N/AN/A2289016,96518,817
2023-06-23$40.14$40.0013.5%3.9%16.5%3.8%13.1%1.5%0.9%405.1K-6.2M-195.3K0.4142.01N/AN/A52221617,10818,803
2023-06-26$40.33$40.0014.1%4.0%16.5%6.2%13.6%2.0%0.7%561.1K-8.2M-196.9K0.0259.67N/AN/A4301017,53419,007
2023-06-27$40.66$40.0012.5%3.6%15.9%0.0%13.0%2.0%1.0%1.0M-12.1M-198.1K2.0860.28N/AN/A5110617,92719,009
2023-06-28$40.50$40.0014.4%4.1%15.2%7.6%14.2%3.0%0.0%882.7K-10.1M-197.3K0.1432.06N/AN/A2032817,95419,114
2023-06-29$40.30$40.0013.8%3.9%15.0%5.0%13.1%2.3%0.3%781.2K-8.1M-201.8K0.1823.96N/AN/A2384218,16619,132
2023-06-30$40.72$40.0012.2%3.5%14.3%0.0%12.1%2.5%0.8%1.2M-12.5M-198.2K0.0335.07N/AN/A261718,36419,144