VWO Options History — November 2023

In November 2023, VWO traded between $38.20 and $40.84. ATM implied volatility averaged 14.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.8% (HV 20d: 15.6%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.21.

Notable Days

  • 2023-11-15: Highest Volume — 4,813 contracts
  • 2023-11-02: Largest IV drop — 13.8% change
  • 2023-11-01: Highest IV Rank — 18.4%
  • 2023-11-01: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.98$38.20$40.84$38.20$40.61
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV14.7%13.7%16.8%16.8%13.7%
Expected Move4.2%3.9%4.8%4.8%3.9%
HV 20d15.6%14.5%17.2%15.3%14.5%
HV 60d14.1%13.0%14.6%13.0%14.2%
IV Rank10.2%6.2%18.4%18.4%6.2%
IV Percentile25.0%10.3%51.6%51.6%10.3%
Term Structure0.4%-0.9%1.0%-0.9%0.2%
VWIV14.6%13.4%16.2%14.8%14.0%
Skew 25d1.7%-0.1%3.9%3.9%-0.1%
Skew 10d5.0%-3.2%10.0%3.9%-3.2%
Call IV 25d14.0%13.2%14.9%13.8%13.8%
Put IV 25d15.7%13.6%17.7%17.7%13.6%
Bid-Ask Spread %37.7610.6471.3430.2328.61
Gamma HHI0.160.120.200.190.15
Net GEX-220.0K-2.8M1.4M-2.8M890.3K
Net DEX-5.6M-18.7M21.9M21.9M-13.4M
Net VEX-179.9K-195.1K-167.0K-188.7K-167.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.0125.740.102.30
Total Volume723.81714,8132361,343
Total OI41,788.76238,05647,05142,68838,939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$38.20$39.0016.8%4.8%15.3%18.4%14.8%3.9%-0.9%-2.8M21.9M-188.7K0.1030.23N/AN/A2152119,03623,652
2023-11-02$38.81$39.0014.5%4.3%16.3%9.3%13.9%3.3%0.7%-2.3M12.7M-187.4K0.4365.33N/AN/A38016319,16523,623
2023-11-03$39.55$39.0014.3%4.2%16.9%8.4%14.8%2.7%0.6%-1.1M1.1M-181.1K1.8651.31N/AN/A49491919,40821,977
2023-11-06$39.64$39.0016.0%4.5%16.6%15.5%15.4%2.2%0.4%-892.8K-1.2M-177.5K0.0171.34N/AN/A2,2611719,74121,834
2023-11-07$39.64$39.0014.8%4.3%15.5%10.5%15.9%2.6%0.5%-898.0K-1.7M-181.0K1.1060.35N/AN/A46951820,88521,847
2023-11-08$39.45$39.0015.8%4.5%15.6%14.4%14.8%1.2%0.9%-1.3M340.6K-186.6K0.1719.92N/AN/A1031821,30022,345
2023-11-09$39.09$39.0015.0%4.3%15.4%11.3%14.7%1.9%0.7%-2.0M5.8M-181.2K0.3766.62N/AN/A1294821,39822,360
2023-11-10$39.36$39.0014.7%4.2%15.5%10.0%13.6%2.8%1.0%-1.7M1.6M-179.1K0.7311.75N/AN/A413021,44922,391
2023-11-13$39.50$39.0014.9%4.3%15.3%11.1%14.0%1.9%0.4%-1.4M-746.1K-169.7K0.1260.06N/AN/A68821,48322,401
2023-11-14$40.41$39.0014.9%4.3%17.2%10.8%14.4%1.7%0.5%720.2K-13.6M-167.0K0.1639.49N/AN/A84013721,52422,408
2023-11-15$40.66$39.0014.7%4.2%15.7%10.3%14.9%0.9%0.2%1.4M-18.7M-170.9K25.7443.90N/AN/A1804,63322,04922,379
2023-11-16$40.22$39.0014.5%4.1%16.3%9.2%14.4%0.9%0.8%722.2K-10.3M-195.1K0.0514.06N/AN/A195922,11524,829
2023-11-17$40.36$39.0014.3%4.1%15.4%8.7%14.5%1.5%0.8%447.4K-13.0M-189.7K0.1310.64N/AN/A6938922,21624,835
2023-11-20$40.84$39.0013.9%4.0%15.6%6.8%14.3%1.4%0.7%1.0M-15.6M-184.5K0.2744.50N/AN/A3619719,72218,334
2023-11-21$40.56$39.0014.2%4.1%15.7%8.1%15.4%1.3%0.1%727.2K-12.1M-189.4K6.1045.52N/AN/A106119,95018,580
2023-11-22$40.45$39.0014.9%4.3%14.9%11.1%14.4%1.0%0.1%582.2K-10.5M-186.4K0.1340.19N/AN/A1221619,95818,635
2023-11-24$40.59$39.0014.2%4.1%14.7%8.1%14.0%1.6%0.1%787.8K-12.8M-182.0K1.2225.07N/AN/A516220,05918,497
2023-11-27$40.44$39.0014.7%4.2%14.9%10.3%13.4%1.8%0.4%657.6K-10.8M-174.0K4.2913.66N/AN/A2410320,08618,557
2023-11-28$40.73$39.0013.9%4.0%14.7%7.1%13.8%0.9%0.2%991.1K-14.3M-169.9K0.0615.08N/AN/A118720,10018,656
2023-11-29$40.50$39.0014.3%4.1%14.6%8.7%16.2%0.7%-0.1%840.7K-11.8M-168.3K1.1035.22N/AN/A707720,18718,654
2023-11-30$40.61$39.0013.7%3.9%14.5%6.2%14.0%-0.1%0.2%890.3K-13.4M-167.5K2.3028.61N/AN/A40793620,23918,700