VWO Options History — August 2023

In August 2023, VWO traded between $39.84 and $42.47. ATM implied volatility averaged 16.0%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.4% (HV 20d: 16.4%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.39.

Notable Days

  • 2023-08-02: Highest Volume — 5,874 contracts
  • 2023-08-30: Largest IV drop — 10.8% change
  • 2023-08-08: Highest IV Rank — 22.6%
  • 2023-08-02: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.82$39.84$42.47$42.47$40.63
Max Pain$40.96$40.00$41.00$40.00$41.00
ATM IV16.0%12.5%17.8%16.5%13.0%
Expected Move4.6%3.6%5.0%4.7%3.7%
HV 20d16.4%12.0%20.0%18.3%12.2%
HV 60d16.1%15.3%16.5%15.9%15.4%
IV Rank15.3%1.5%22.6%17.2%3.4%
IV Percentile29.4%0.8%47.6%31.7%3.2%
Term Structure0.4%-0.7%1.7%-0.5%0.9%
VWIV15.4%11.4%19.3%15.2%11.4%
Skew 25d2.5%0.4%3.9%1.7%0.4%
Skew 10d5.1%-3.7%9.6%2.1%-3.7%
Call IV 25d14.9%12.0%17.0%15.1%13.3%
Put IV 25d17.4%13.7%20.9%16.8%13.7%
Bid-Ask Spread %56.7921.7873.5758.7569.51
Gamma HHI0.180.120.280.140.28
Net GEX-1.4M-3.0M2.2M2.2M-3.0M
Net DEX4.1M-27.8M21.6M-27.8M9.5M
Net VEX-241.2K-264.7K-215.7K-215.7K-223.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.0326.240.340.29
Total Volume885.9571595,874303161
Total OI45,736.91339,62148,82639,62145,978

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$42.47$40.0016.5%4.7%18.3%17.2%15.2%1.7%-0.5%2.2M-27.8M-215.7K0.3458.75N/AN/A2267719,93419,687
2023-08-02$41.55$41.0017.3%5.0%20.0%20.4%18.0%3.9%-0.7%1.3M-16.4M-222.9K14.5451.05N/AN/A3785,49620,05519,744
2023-08-03$41.75$41.0017.5%5.0%18.5%21.2%19.3%3.0%-0.3%171.7K-11.7M-249.2K4.3552.15N/AN/A4620020,12625,145
2023-08-04$41.78$41.0016.2%4.6%17.9%16.2%17.0%2.6%0.4%192.5K-11.6M-247.6K0.2871.54N/AN/A2817820,13325,272
2023-08-07$41.70$41.0016.4%4.6%17.9%16.9%15.9%2.6%0.9%132.3K-11.0M-243.4K0.0467.79N/AN/A2,2388420,39025,313
2023-08-08$41.28$41.0017.8%4.9%18.2%22.6%16.4%3.2%0.9%-347.8K-4.7M-252.7K0.4466.90N/AN/A1948520,77725,359
2023-08-09$41.39$41.0016.9%4.8%16.8%18.8%16.0%2.9%0.3%-143.5K-7.2M-248.0K0.7953.52N/AN/A14911820,78125,403
2023-08-10$41.39$41.0016.7%4.8%16.3%17.9%16.3%3.0%0.3%-226.4K-6.9M-246.6K26.2455.35N/AN/A1764,61920,84325,519
2023-08-11$40.81$41.0016.2%4.6%16.8%16.0%15.9%2.7%0.5%-1.3M5.2M-264.7K0.2659.68N/AN/A41611020,88427,872
2023-08-14$40.64$41.0016.3%4.7%16.8%16.7%15.6%2.7%0.4%-1.6M8.6M-255.6K0.3962.59N/AN/A31612220,67927,929
2023-08-15$40.16$41.0017.3%4.9%17.1%20.3%17.1%1.8%0.5%-2.2M15.6M-251.4K0.7663.00N/AN/A17313120,61428,047
2023-08-16$39.95$41.0016.2%4.7%17.2%16.2%15.9%2.6%0.7%-2.6M19.6M-248.7K1.1966.58N/AN/A10612620,66128,066
2023-08-17$40.05$41.0016.4%4.7%17.1%16.9%12.9%1.7%0.7%-2.7M17.2M-245.9K0.7671.90N/AN/A18013720,68127,948
2023-08-18$39.84$41.0016.6%4.8%17.1%17.6%16.2%2.9%0.3%-3.0M21.3M-248.8K0.9773.57N/AN/A23522920,75128,075
2023-08-21$39.91$41.0016.6%4.8%16.4%17.8%15.3%2.5%-0.2%-2.5M21.2M-240.4K0.6539.07N/AN/A32921418,66025,253
2023-08-22$39.84$41.0015.8%4.5%15.8%14.3%15.3%2.7%0.1%-2.6M21.6M-237.0K0.2043.82N/AN/A3096218,80225,457
2023-08-23$40.45$41.0016.0%4.6%16.8%15.1%14.4%2.6%0.6%-2.4M12.6M-237.1K0.2447.80N/AN/A50212018,95925,513
2023-08-24$40.27$41.0015.9%4.6%16.5%14.9%14.3%2.6%0.5%-2.5M14.8M-236.0K0.5546.58N/AN/A24413519,25725,525
2023-08-25$40.25$41.0015.4%4.4%13.0%12.8%14.4%2.3%0.6%-2.5M15.7M-236.8K1.0243.59N/AN/A11912119,49425,612
2023-08-28$40.63$41.0014.8%4.2%13.7%10.3%14.7%1.9%0.6%-2.4M9.5M-235.2K0.2121.78N/AN/A4479619,56825,717
2023-08-29$41.17$41.0014.0%4.0%14.1%7.5%14.1%2.9%0.9%-1.9M-722.6K-229.9K0.0350.07N/AN/A6141919,88325,711
2023-08-30$41.00$41.0012.5%3.6%12.0%1.5%12.8%1.2%1.7%-2.2M485.2K-231.0K0.4569.61N/AN/A1104920,15925,713
2023-08-31$40.63$41.0013.0%3.7%12.2%3.4%11.4%0.4%0.9%-3.0M9.5M-223.6K0.2969.51N/AN/A1253620,23825,740