VWO Options History — July 2023

In July 2023, VWO traded between $40.06 and $43.09. ATM implied volatility averaged 14.8%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.2% (HV 20d: 16.0%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2023-07-18: Highest Volume — 7,386 contracts
  • 2023-07-06: Largest IV spike — 16.2% change
  • 2023-07-06: Highest IV Rank — 15.2%
  • 2023-07-20: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.63$40.06$43.09$41.06$43.09
Max Pain$39.55$38.00$40.00$40.00$40.00
ATM IV14.8%12.4%16.0%12.4%15.2%
Expected Move4.2%3.6%4.4%3.6%4.4%
HV 20d16.0%13.5%17.8%13.5%17.4%
HV 60d15.0%14.1%15.7%14.2%15.7%
IV Rank10.6%1.1%15.2%1.1%12.2%
IV Percentile17.0%0.4%23.8%0.4%22.2%
Term Structure0.3%-0.4%0.8%0.7%-0.4%
VWIV14.8%12.6%16.7%12.6%15.9%
Skew 25d1.9%1.1%3.0%2.2%1.4%
Skew 10d5.4%0.2%9.2%1.3%2.7%
Call IV 25d14.0%12.1%15.0%12.1%14.7%
Put IV 25d16.0%14.2%17.1%14.3%16.2%
Bid-Ask Spread %59.636.6982.1660.2055.39
Gamma HHI0.120.110.150.120.15
Net GEX1.7M669.4K2.6M1.5M2.6M
Net DEX-21.3M-35.3M-6.4M-16.5M-35.3M
Net VEX-206.1K-223.2K-190.5K-191.5K-204.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0113.570.170.34
Total Volume911.31387,386235670
Total OI39,167.6537,70642,77337,70639,383

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$41.06$40.0012.4%3.6%13.5%1.1%12.6%2.2%0.7%1.5M-16.5M-191.5K0.1760.20N/AN/A2003518,56019,146
2023-07-05$40.86$40.0013.8%3.9%13.6%6.4%13.4%1.5%0.1%1.4M-15.0M-190.5K0.1222.40N/AN/A2182618,72419,162
2023-07-06$40.06$38.0016.0%4.3%15.2%15.2%14.2%2.8%0.2%669.4K-6.4M-202.0K13.5722.24N/AN/A2923,96318,90519,171
2023-07-07$40.63$38.0013.9%4.0%16.1%6.9%13.6%2.2%0.8%980.4K-11.7M-203.7K0.0174.70N/AN/A200318,95819,127
2023-07-10$40.59$38.0015.4%4.2%16.0%13.0%15.2%2.6%0.5%919.1K-11.0M-202.2K2.5077.69N/AN/A7819519,06119,126
2023-07-11$40.95$39.0014.2%4.2%16.3%8.0%15.0%3.0%0.7%1.3M-14.7M-201.3K0.2770.78N/AN/A1664419,05219,283
2023-07-12$41.73$39.0014.3%4.1%17.5%8.7%14.1%2.2%0.5%1.8M-22.7M-205.0K0.3749.80N/AN/A38714219,18719,299
2023-07-13$42.20$39.0014.8%4.2%17.8%10.4%15.5%2.4%0.8%2.0M-28.4M-196.1K0.1882.16N/AN/A56010019,30419,353
2023-07-14$41.92$40.0015.3%4.4%17.7%12.4%15.4%1.6%0.3%2.0M-26.1M-202.4K0.5955.23N/AN/A1277519,68219,403
2023-07-17$41.97$40.0015.4%4.4%17.4%13.0%15.4%2.0%0.1%2.0M-26.5M-196.9K1.0977.63N/AN/A12413519,71119,471
2023-07-18$41.69$40.0015.5%4.4%17.5%13.2%16.7%1.8%0.2%1.9M-22.8M-196.7K1.6872.92N/AN/A2,7534,63319,76519,599
2023-07-19$41.66$40.0015.4%4.4%15.4%13.1%16.2%1.6%0.2%1.9M-22.8M-221.7K1.9172.84N/AN/A10820621,04421,408
2023-07-20$41.34$40.0015.5%4.4%15.6%13.3%15.4%1.1%0.3%1.6M-18.7M-222.8K0.5675.34N/AN/A19310921,02821,527
2023-07-21$41.34$40.0015.4%4.4%15.5%12.9%14.6%1.4%0.1%1.1M-18.8M-223.2K0.3751.73N/AN/A29610921,14021,633
2023-07-24$41.86$40.0015.0%4.3%15.0%11.2%14.9%2.5%-0.1%1.5M-19.9M-215.2K0.3159.90N/AN/A53216318,69319,183
2023-07-25$42.22$40.0015.3%4.4%15.2%12.7%14.3%2.1%0.4%1.8M-24.7M-213.7K0.0171.27N/AN/A411319,11219,329
2023-07-26$42.48$40.0014.5%4.2%15.1%9.5%14.2%1.6%0.7%2.2M-28.4M-208.9K0.0169.30N/AN/A261219,41619,332
2023-07-27$41.97$40.0014.4%4.1%15.8%9.0%15.2%1.3%0.3%1.8M-22.0M-215.2K1.4664.44N/AN/A568219,59119,396
2023-07-28$43.03$40.0014.8%4.2%17.6%10.4%14.4%1.4%-0.4%2.6M-34.3M-208.7K0.176.69N/AN/A4878219,61719,472
2023-07-31$43.09$40.0015.2%4.4%17.4%12.2%15.9%1.4%-0.4%2.6M-35.3M-204.9K0.3455.39N/AN/A50017019,83619,547