VWO Options History — September 2023

In September 2023, VWO traded between $39.03 and $40.95. ATM implied volatility averaged 14.3%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.0% (HV 20d: 12.3%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.88.

Notable Days

  • 2023-09-15: Highest Volume — 4,838 contracts
  • 2023-09-21: Largest IV spike — 13.7% change
  • 2023-09-28: Highest IV Rank — 17.8%
  • 2023-09-28: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.02$39.03$40.95$40.95$39.20
Max Pain$40.10$40.00$41.00$41.00$40.00
ATM IV14.3%12.5%16.6%12.8%15.5%
Expected Move4.1%3.6%4.8%3.7%4.4%
HV 20d12.3%11.6%13.0%12.6%11.6%
HV 60d15.2%14.4%15.7%15.5%14.4%
IV Rank8.6%1.4%17.8%2.5%13.2%
IV Percentile17.7%0.8%46.0%2.0%33.3%
Term Structure0.9%-0.4%2.3%0.6%0.7%
VWIV14.0%11.6%17.0%13.1%14.9%
Skew 25d2.1%1.0%3.3%1.3%2.8%
Skew 10d4.1%-3.0%11.8%1.9%7.1%
Call IV 25d13.6%11.8%16.2%11.9%14.6%
Put IV 25d15.7%13.2%18.5%13.2%17.4%
Bid-Ask Spread %42.2711.6773.3573.3513.58
Gamma HHI0.240.120.590.300.14
Net GEX-2.6M-8.9M-653.6K-2.8M-1.7M
Net DEX9.9M1.6M20.5M2.7M10.5M
Net VEX-208.9K-222.8K-195.8K-222.8K-212.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.0526.330.450.05
Total Volume768.05854,83842689
Total OI42,724.4536,87647,87046,04141,579

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$40.95$41.0012.8%3.7%12.6%2.5%13.1%1.3%0.6%-2.8M2.7M-222.8K0.4573.35N/AN/A29413220,28925,752
2023-09-05$40.75$40.0013.5%4.1%12.7%5.2%15.2%2.3%0.8%-3.3M6.8M-214.1K2.4771.25N/AN/A5112620,54325,854
2023-09-06$40.56$40.0013.8%4.2%12.3%6.4%14.7%1.5%1.0%-3.5M11.0M-214.7K0.6958.36N/AN/A17812320,60625,980
2023-09-07$40.11$40.0015.6%4.3%12.7%13.6%15.0%2.1%1.1%-3.0M20.5M-211.2K0.6861.02N/AN/A1067220,58026,078
2023-09-08$40.20$40.0013.9%4.0%12.8%6.9%13.5%1.5%2.2%-3.1M19.3M-205.1K2.7059.27N/AN/A236220,62726,147
2023-09-11$40.64$40.0013.4%3.7%12.6%4.8%13.1%2.1%1.4%-4.9M12.9M-200.0K0.0568.19N/AN/A2,0849820,64126,208
2023-09-12$40.56$40.0013.5%3.8%12.5%5.3%13.6%2.1%0.9%-4.6M12.8M-207.2K0.0924.05N/AN/A1811721,22526,300
2023-09-13$40.52$40.0013.2%3.8%11.7%4.2%13.4%1.0%1.2%-4.9M13.5M-204.9K0.1655.45N/AN/A961521,29126,308
2023-09-14$40.78$40.0012.5%3.6%11.7%1.4%13.2%1.6%1.3%-8.9M8.9M-201.0K0.5737.17N/AN/A26014721,36526,314
2023-09-15$40.52$40.0013.0%3.7%12.0%3.5%13.0%1.7%2.3%-753.6K18.3M-195.8K26.3361.59N/AN/A1774,66121,51126,359
2023-09-18$40.14$41.0013.4%3.8%12.3%4.8%11.6%2.8%1.0%-653.6K2.1M-208.3K0.1432.65N/AN/A3875517,08520,014
2023-09-19$39.97$40.0013.2%3.8%12.4%4.1%13.0%1.9%1.0%-724.0K2.3M-204.4K0.1961.57N/AN/A2404517,22619,650
2023-09-20$39.86$40.0013.5%3.9%12.5%5.2%13.2%1.3%1.1%-733.1K1.6M-208.3K0.1711.67N/AN/A2544317,36119,644
2023-09-21$39.23$40.0015.3%4.4%12.3%12.5%14.0%3.0%0.6%-1.3M8.8M-209.1K0.8716.20N/AN/A625417,58919,647
2023-09-22$39.64$40.0014.5%4.1%13.0%9.2%12.6%2.6%0.4%-978.1K4.8M-207.5K0.0836.10N/AN/A1851517,55719,608
2023-09-25$39.47$40.0016.2%4.6%13.0%16.0%15.2%2.9%-0.1%-1.1M6.3M-206.4K1.1126.85N/AN/A17419317,71319,614
2023-09-26$39.03$40.0016.3%4.7%12.9%16.6%17.0%2.1%0.9%-1.3M10.6M-210.4K16.2631.52N/AN/A2494,04917,71819,646
2023-09-27$39.06$40.0016.6%4.8%11.7%17.8%15.8%2.7%0.4%-1.7M11.9M-219.4K4.4729.48N/AN/A3013417,82123,602
2023-09-28$39.16$40.0016.6%4.8%11.8%17.8%15.9%3.3%-0.4%-1.7M11.6M-215.5K0.1416.11N/AN/A1762417,84823,589
2023-09-29$39.20$40.0015.5%4.4%11.6%13.2%14.9%2.8%0.7%-1.7M10.5M-212.3K0.0513.58N/AN/A85417,98523,594