VWO Options History — December 2023

In December 2023, VWO traded between $39.72 and $41.33. ATM implied volatility averaged 14.7%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.4% (HV 20d: 13.3%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2023-12-15: Highest Volume — 5,430 contracts
  • 2023-12-11: Largest IV spike — 30.7% change
  • 2023-12-11: Highest IV Rank — 23.8%
  • 2023-12-20: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.53$39.72$41.33$40.80$41.11
Max Pain$40.15$39.00$41.00$39.00$41.00
ATM IV14.7%12.4%18.1%14.3%14.3%
Expected Move4.0%3.6%4.3%4.1%4.1%
HV 20d13.3%9.9%15.5%13.7%15.4%
HV 60d14.4%13.8%15.3%14.0%15.0%
IV Rank12.1%1.4%23.8%8.4%13.2%
IV Percentile29.3%0.8%79.4%19.4%23.8%
Term Structure1.0%-0.1%2.3%0.5%0.8%
VWIV14.0%13.0%15.3%14.5%14.0%
Skew 25d1.2%-0.3%4.2%0.7%1.3%
Skew 10d4.3%-2.0%18.9%-0.9%-2.0%
Call IV 25d13.7%10.7%15.5%13.9%13.8%
Put IV 25d14.8%13.2%16.0%14.6%15.1%
Bid-Ask Spread %61.6611.4384.2224.2619.07
Gamma HHI0.170.110.510.140.13
Net GEX794.3K-912.6K5.5M1.1M1.4M
Net DEX-6.9M-23.6M9.7M-14.2M-11.5M
Net VEX-173.4K-194.4K-145.1K-179.1K-179.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.045.380.680.42
Total Volume640.651135,430178114
Total OI41,098.7537,43145,19740,06140,011

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$40.80$39.0014.3%4.1%13.7%8.4%14.5%0.7%0.5%1.1M-14.2M-179.1K0.6824.26N/AN/A1067220,42519,636
2023-12-04$40.42$39.0016.4%4.2%12.9%16.8%14.5%1.4%1.2%520.0K-9.7M-172.8K0.6181.14N/AN/A1207320,48519,693
2023-12-05$40.30$39.0017.1%4.3%13.0%19.5%14.7%0.8%0.9%338.0K-8.0M-171.9K0.0776.25N/AN/A2591720,57919,688
2023-12-06$40.28$39.0015.9%4.2%13.0%14.7%14.4%1.7%1.4%444.3K-8.1M-170.8K0.0469.75N/AN/A147620,65019,697
2023-12-07$40.41$39.0016.2%4.2%12.8%15.9%15.3%1.0%0.4%678.2K-9.4M-167.5K0.9870.81N/AN/A16115720,77519,700
2023-12-08$40.20$39.0013.9%4.0%12.5%6.9%14.2%1.5%1.0%247.6K-7.4M-160.8K2.0774.09N/AN/A9720120,87819,815
2023-12-11$40.39$40.0018.1%3.9%12.4%23.8%13.4%1.2%1.5%13.3K-5.3M-159.8K1.6876.50N/AN/A9115322,65422,335
2023-12-12$40.36$40.0016.2%3.6%12.4%16.3%13.3%4.2%2.3%-59.2K-5.3M-153.6K0.3979.68N/AN/A2339122,71422,425
2023-12-13$40.72$40.0012.5%3.6%9.9%1.4%13.3%1.1%-0.1%1.6M-11.4M-151.3K0.3381.02N/AN/A852822,63822,495
2023-12-14$41.33$40.0012.4%3.6%11.0%1.7%13.2%-0.3%2.1%3.1M-23.6M-145.1K0.0675.27N/AN/A4322422,69922,486
2023-12-15$41.11$40.0013.2%3.8%10.3%6.6%13.0%0.2%0.9%5.5M-20.7M-148.5K5.3884.22N/AN/A8514,57922,72622,471
2023-12-18$40.19$41.0013.4%3.9%13.3%7.8%13.1%1.3%1.6%-563.5K4.8M-183.2K0.1072.22N/AN/A1,96720315,80321,628
2023-12-19$40.45$41.0013.5%3.9%12.8%8.0%13.3%0.9%1.8%144.8K-654.7K-188.2K1.2180.88N/AN/A25831317,59121,726
2023-12-20$39.72$41.0015.1%4.3%14.1%18.1%15.2%0.5%0.4%-912.6K9.7M-194.1K0.2563.62N/AN/A2947317,65121,989
2023-12-21$40.36$41.0014.8%4.2%15.3%16.2%14.5%1.3%0.1%72.9K-166.8K-194.4K0.5767.80N/AN/A1367717,88121,353
2023-12-22$40.22$41.0014.4%4.1%15.3%14.0%14.2%1.1%0.8%-121.9K1.3M-194.3K2.5764.60N/AN/A10326517,94021,319
2023-12-26$40.55$41.0013.6%3.9%15.5%8.6%14.0%1.8%1.2%417.3K-3.1M-185.5K0.5926.14N/AN/A21212618,01621,566
2023-12-27$40.70$41.0013.8%3.9%15.4%9.9%14.0%1.3%0.8%740.7K-5.5M-186.8K0.5934.36N/AN/A1096418,17821,667
2023-12-28$41.02$41.0014.5%4.2%15.5%14.2%14.6%0.6%1.0%1.2M-10.2M-181.5K0.0611.43N/AN/A4863018,26921,723
2023-12-29$41.11$41.0014.3%4.1%15.4%13.2%14.0%1.3%0.8%1.4M-11.5M-179.4K0.4219.07N/AN/A803418,26921,742