VWO Options History — January 2024

In January 2024, VWO traded between $39.03 and $40.56. ATM implied volatility averaged 15.1%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.1% (HV 20d: 15.2%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2024-01-19: Highest Volume — 5,171 contracts
  • 2024-01-17: Largest IV spike — 12.3% change
  • 2024-01-17: Highest IV Rank — 30.5%
  • 2024-01-17: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.99$39.03$40.56$40.56$39.70
Max Pain$40.10$40.00$41.00$41.00$40.00
ATM IV15.1%13.3%17.1%15.4%15.8%
Expected Move4.4%4.1%4.9%4.4%4.5%
HV 20d15.2%13.1%17.0%16.1%13.1%
HV 60d14.7%14.4%15.3%15.3%14.4%
IV Rank18.2%7.2%30.5%19.7%22.3%
IV Percentile41.7%7.5%75.8%44.0%56.7%
Term Structure0.1%-0.4%1.0%0.3%-0.1%
VWIV14.8%13.5%18.3%14.8%14.7%
Skew 25d1.8%0.3%3.2%1.6%1.5%
Skew 10d3.0%-3.0%8.1%4.6%4.7%
Call IV 25d14.5%13.4%16.3%14.6%15.8%
Put IV 25d16.3%14.5%18.8%16.2%17.3%
Bid-Ask Spread %59.3833.4488.7236.9758.40
Gamma HHI0.140.110.220.110.14
Net GEX-460.2K-2.8M669.6K560.4K-439.3K
Net DEX4.3M-2.7M16.4M-2.7M4.6M
Net VEX-155.6K-175.6K-139.3K-175.6K-146.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.0821.191.180.15
Total Volume561.857875,17126493
Total OI36,921.57129,03041,11440,08731,772

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$40.56$41.0015.4%4.4%16.1%19.7%14.8%1.6%0.3%560.4K-2.7M-175.6K1.1836.97N/AN/A12114318,33221,755
2024-01-03$40.52$41.0015.3%4.4%15.8%19.3%15.5%0.3%-0.2%492.6K-1.9M-171.6K4.3537.25N/AN/A4620018,41921,796
2024-01-04$40.45$40.0014.4%4.3%15.8%14.1%14.6%1.9%1.0%418.1K-915.2K-170.7K0.0883.41N/AN/A107918,44921,879
2024-01-05$40.48$40.0014.3%4.4%15.8%13.4%14.3%1.7%0.2%556.3K-1.6M-163.8K0.6188.72N/AN/A694218,51621,878
2024-01-08$40.55$40.0013.8%4.1%15.7%9.8%14.4%2.3%0.5%669.6K-1.6M-159.7K0.3185.80N/AN/A36911518,55321,896
2024-01-09$40.08$40.0013.3%4.1%16.2%7.2%13.9%1.3%-0.2%-452.6K4.9M-153.8K0.7583.09N/AN/A1229118,57021,957
2024-01-10$40.03$40.0014.2%4.1%16.1%12.3%13.6%1.8%0.3%-700.6K6.0M-159.7K0.2836.61N/AN/A2005718,57422,042
2024-01-11$40.19$40.0014.2%4.1%16.2%12.4%13.6%1.3%0.4%-359.0K4.2M-147.2K0.8764.29N/AN/A948218,65622,098
2024-01-12$40.42$40.0014.3%4.1%16.0%13.3%13.9%0.5%0.3%356.5K717.5K-152.1K0.2976.07N/AN/A2447118,73922,159
2024-01-16$39.55$40.0015.3%4.4%16.6%19.0%15.2%1.9%0.2%-2.0M13.7M-142.7K1.3978.82N/AN/A13418618,92822,186
2024-01-17$39.03$40.0017.1%4.9%17.0%30.5%18.3%2.4%-0.3%-2.8M16.4M-148.1K2.4333.44N/AN/A9422818,93321,267
2024-01-18$39.27$40.0016.5%4.7%15.5%26.7%13.5%2.4%-0.1%-2.4M13.8M-141.9K3.7273.71N/AN/A11542818,95721,244
2024-01-19$39.63$40.0015.3%4.4%15.7%19.4%14.8%3.2%0.0%-1.5M11.0M-139.3K21.1986.10N/AN/A2334,93819,02321,658
2024-01-22$39.34$40.0016.7%4.8%14.6%27.9%16.3%2.3%0.0%-1.1M9.6M-151.3K0.1353.22N/AN/A1,61920811,79817,232
2024-01-23$39.55$40.0015.2%4.3%13.5%18.4%15.2%2.0%0.0%-727.6K7.3M-152.9K0.1248.92N/AN/A1571913,38517,426
2024-01-24$40.09$40.0015.6%4.5%14.4%21.0%15.1%2.0%-0.2%-115.1K1.9M-159.4K0.1341.33N/AN/A3344313,68417,433
2024-01-25$40.13$40.0015.2%4.4%14.0%18.8%14.8%1.8%-0.1%4.5K1.0M-161.9K0.2736.67N/AN/A2205913,92317,427
2024-01-26$40.16$40.0014.6%4.2%14.0%15.2%13.9%1.6%-0.2%38.0K686.8K-155.2K0.6435.11N/AN/A533414,04417,473
2024-01-29$40.17$40.0015.8%4.5%13.6%22.6%15.9%1.7%-0.4%41.6K736.7K-158.7K0.1353.79N/AN/A1812314,09617,497
2024-01-30$39.80$40.0015.1%4.3%13.8%18.0%14.5%2.5%0.2%-235.0K3.4M-155.2K0.2055.34N/AN/A1813714,19017,509
2024-01-31$39.70$40.0015.8%4.5%13.1%22.3%14.7%1.5%-0.1%-439.3K4.6M-146.6K0.1558.40N/AN/A811214,24417,528