VWO Options History — October 2023

In October 2023, VWO traded between $37.72 and $39.61. ATM implied volatility averaged 17.1%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.4% (HV 20d: 13.7%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.64.

Notable Days

  • 2023-10-19: Highest Volume — 4,859 contracts
  • 2023-10-11: Largest IV drop — 11.4% change
  • 2023-10-04: Highest IV Rank — 24.6%
  • 2023-10-04: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.58$37.72$39.61$39.06$37.91
Max Pain$39.59$39.00$40.00$40.00$39.00
ATM IV17.1%15.0%18.3%16.4%17.5%
Expected Move4.9%4.3%5.3%4.7%5.0%
HV 20d13.7%11.0%15.5%11.0%15.1%
HV 60d13.9%12.7%14.5%14.1%13.0%
IV Rank19.6%11.4%24.6%17.0%21.1%
IV Percentile52.5%27.4%64.7%44.4%59.9%
Term Structure-0.1%-0.9%0.9%0.2%-0.3%
VWIV16.3%14.2%18.4%16.0%17.6%
Skew 25d3.3%2.0%4.5%2.0%3.2%
Skew 10d8.3%2.3%13.6%4.3%2.3%
Call IV 25d15.5%13.7%17.6%15.7%16.1%
Put IV 25d18.8%17.4%20.2%17.7%19.3%
Bid-Ask Spread %25.0712.2551.1820.1213.52
Gamma HHI0.170.140.200.140.19
Net GEX-2.3M-3.1M-1.4M-1.8M-2.7M
Net DEX17.6M5.7M28.0M12.2M25.3M
Net VEX-197.5K-213.6K-188.2K-209.1K-190.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.640.0148.080.360.29
Total Volume648.864864,859217189
Total OI42,169.77340,22145,61541,64542,580

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$39.06$40.0016.4%4.7%11.0%17.0%16.0%2.0%0.2%-1.8M12.2M-209.1K0.3620.12N/AN/A1605718,04923,596
2023-10-03$38.56$40.0018.1%5.2%11.6%23.6%18.4%2.6%-0.6%-2.1M18.2M-213.6K1.1117.03N/AN/A556118,07023,612
2023-10-04$38.44$40.0018.3%5.3%11.6%24.6%17.1%3.2%-0.4%-2.3M19.5M-209.2K0.3022.61N/AN/A1414318,15723,577
2023-10-05$38.56$40.0016.4%4.8%11.3%16.7%17.8%3.4%0.2%-2.3M18.2M-207.6K0.1834.67N/AN/A1051918,21623,576
2023-10-06$39.14$40.0016.1%4.6%12.7%15.7%14.6%3.3%0.9%-1.9M11.6M-202.1K0.1841.32N/AN/A2734818,23123,590
2023-10-09$38.84$40.0017.0%4.7%12.0%19.1%16.8%2.9%0.2%-2.1M14.3M-201.6K0.3024.92N/AN/A1243718,36823,619
2023-10-10$39.50$40.0017.0%4.8%13.8%19.1%15.1%3.4%0.1%-1.5M7.2M-193.0K0.1726.79N/AN/A1312218,36423,642
2023-10-11$39.61$40.0015.0%4.3%13.9%11.4%15.5%3.6%0.2%-1.4M5.7M-191.8K0.1332.02N/AN/A2313118,45323,638
2023-10-12$39.19$40.0015.9%4.6%14.0%14.8%15.4%3.1%-0.0%-1.9M10.6M-193.1K0.0235.77N/AN/A2,0993918,60323,654
2023-10-13$39.02$40.0016.6%4.8%13.9%17.7%16.4%4.0%-0.4%-1.9M12.3M-199.0K0.9916.15N/AN/A939219,61023,675
2023-10-16$39.33$40.0016.3%4.7%14.0%16.5%14.5%3.9%-0.4%-1.7M8.4M-191.8K0.3435.65N/AN/A642219,66423,709
2023-10-17$39.14$40.0016.2%4.6%14.1%15.9%14.2%3.1%-0.1%-1.9M10.7M-188.2K0.1620.48N/AN/A2263719,71823,724
2023-10-18$38.47$40.0017.3%5.0%15.2%20.7%15.4%3.5%0.3%-2.4M18.2M-188.3K0.0815.09N/AN/A2191819,74923,730
2023-10-19$38.36$39.0017.9%5.1%14.3%22.7%17.5%3.8%-0.1%-2.2M18.3M-188.6K48.0840.93N/AN/A994,76019,77823,396
2023-10-20$37.91$39.0018.0%5.2%14.1%23.2%17.5%3.7%-0.6%-3.1M25.9M-201.2K1.8551.18N/AN/A11922019,84025,775
2023-10-23$37.83$39.0016.9%4.8%14.0%18.8%16.8%3.6%0.5%-2.8M26.2M-196.9K0.6712.77N/AN/A48632417,21723,004
2023-10-24$38.31$39.0017.8%5.1%14.5%22.6%15.3%3.9%-0.4%-2.6M21.0M-197.3K0.0213.18N/AN/A4561117,20623,216
2023-10-25$37.88$39.0017.6%5.0%15.0%21.6%17.2%3.4%-0.4%-2.7M25.9M-196.6K1.1524.33N/AN/A12314217,58523,226
2023-10-26$37.72$39.0017.9%5.1%14.9%23.0%15.4%4.5%0.0%-2.8M28.0M-194.8K0.7213.45N/AN/A17912917,65023,358
2023-10-27$37.75$39.0017.7%5.1%14.9%22.0%17.1%3.0%0.0%-2.8M27.3M-195.2K0.0127.28N/AN/A2,1153017,68123,390
2023-10-30$38.16$39.0017.8%5.1%15.5%22.4%17.8%2.4%-0.9%-2.5M21.7M-195.0K0.9212.25N/AN/A23221418,81523,424
2023-10-31$37.91$39.0017.5%5.0%15.1%21.1%17.6%3.2%-0.3%-2.7M25.3M-190.8K0.2913.52N/AN/A1474218,96023,620