VWO Options History — February 2024 In February 2024, VWO traded between $39.63 and $41.59. ATM implied volatility averaged 14.6%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.3% (HV 20d: 14.9%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.46.
Notable Days 2024-02-13 : Highest Volume — 5,056 contracts2024-02-29 : Largest IV spike — 50.7% change2024-02-29 : Highest IV Rank — 57.0%2024-02-29 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $40.78 $39.63 $41.59 $39.91 $41.03 Max Pain $39.00 $39.00 $39.00 $39.00 $39.00 ATM IV 14.6% 13.1% 21.5% 14.6% 21.5% Expected Move 4.2% 3.8% 6.2% 4.2% 6.2% HV 20d 14.9% 13.3% 15.9% 13.3% 15.2% HV 60d 14.4% 13.8% 14.8% 13.9% 14.8% IV Rank 14.8% 6.0% 57.0% 14.7% 57.0% IV Percentile 30.5% 6.0% 98.0% 34.5% 98.0% Term Structure -0.4% -8.3% 1.1% 0.6% -8.3% VWIV 14.4% 13.0% 20.7% 15.4% 20.7% Skew 25d 1.8% 0.9% 3.5% 2.3% 3.5% Skew 10d 4.9% -2.1% 42.5% 3.3% 42.5% Call IV 25d 13.9% 12.9% 19.8% 13.7% 19.8% Put IV 25d 15.7% 14.0% 23.3% 16.0% 23.3% Bid-Ask Spread % 81.57 63.30 93.03 89.98 67.87 Gamma HHI 0.14 0.11 0.23 0.15 0.15 Net GEX 691.5K -538.2K 2.3M -391.7K 502.1K Net DEX -4.8M -13.0M 5.6M 3.1M -5.1M Net VEX -149.1K -155.7K -139.2K -154.8K -150.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.46 0.01 47.62 1.13 0.23 Total Volume 699.2 70 5,056 300 75 Total OI 32,846.3 30,064 35,377 31,834 35,136
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-02-01 $39.91 $39.00 14.6% 4.2% 13.3% 14.7% 15.4% 2.3% 0.6% -391.7K 3.1M -154.8K 1.13 89.98 N/A N/A 141 159 14,299 17,535 2024-02-02 $39.63 $39.00 14.7% 4.1% 13.5% 15.3% 13.9% 2.3% -0.5% -538.2K 5.6M -154.8K 0.29 91.82 N/A N/A 201 58 14,324 17,622 2024-02-05 $39.75 $39.00 15.0% 4.1% 13.6% 17.5% 15.6% 2.8% 0.2% -408.5K 4.4M -146.9K 0.85 91.64 N/A N/A 102 87 14,512 17,644 2024-02-06 $40.66 $39.00 14.5% 4.1% 15.9% 14.3% 14.3% 1.7% -0.5% 605.8K -4.2M -148.6K 0.11 85.91 N/A N/A 422 48 14,593 17,725 2024-02-07 $40.69 $39.00 14.3% 4.1% 15.3% 12.9% 14.7% 1.1% -0.1% 794.3K -5.3M -146.2K 1.40 87.98 N/A N/A 42 59 14,896 17,723 2024-02-08 $40.47 $39.00 14.9% 4.3% 15.5% 16.6% 13.7% 2.0% 0.2% 482.8K -2.9M -148.5K 0.44 85.92 N/A N/A 66 29 14,928 17,722 2024-02-09 $40.59 $39.00 13.8% 4.0% 15.4% 10.2% 13.7% 1.7% 0.3% 734.0K -4.3M -145.4K 0.48 89.06 N/A N/A 112 54 14,990 17,747 2024-02-12 $40.84 $39.00 14.3% 4.1% 15.4% 13.4% 14.2% 2.0% -0.2% 1.0M -7.1M -141.2K 0.47 83.43 N/A N/A 137 65 15,045 17,771 2024-02-13 $40.00 $39.00 15.4% 4.4% 15.3% 20.0% 15.2% 1.8% 0.3% -52.9K 2.5M -139.2K 47.62 88.21 N/A N/A 104 4,952 15,047 17,784 2024-02-14 $40.66 $39.00 13.9% 4.0% 15.3% 10.8% 13.6% 2.2% 0.2% 683.3K -2.6M -155.0K 0.19 93.03 N/A N/A 98 19 15,045 20,270 2024-02-15 $40.88 $39.00 14.0% 4.0% 15.3% 11.5% 13.5% 2.5% -0.9% 1.2M -4.3M -154.9K 0.03 90.27 N/A N/A 503 14 15,095 20,282 2024-02-16 $41.11 $39.00 13.5% 3.9% 15.1% 8.2% 13.2% 1.1% -0.1% 2.3M -9.0M -141.3K 0.11 75.18 N/A N/A 734 81 15,032 20,272 2024-02-20 $41.14 $39.00 14.4% 4.1% 14.8% 13.7% 14.6% 2.2% -0.4% 418.8K -5.3M -145.3K 0.10 84.45 N/A N/A 1,400 146 12,722 17,342 2024-02-21 $41.16 $39.00 14.6% 4.2% 14.7% 14.8% 14.6% 0.9% -0.5% 780.1K -7.3M -150.7K 0.05 69.78 N/A N/A 450 24 14,159 17,482 2024-02-22 $41.59 $39.00 13.6% 3.9% 14.4% 8.7% 13.5% 1.0% -0.1% 1.3M -12.1M -151.2K 0.07 63.30 N/A N/A 322 23 14,523 17,503 2024-02-23 $41.55 $39.00 13.1% 3.8% 14.5% 6.0% 14.0% 1.6% 0.3% 1.2M -11.1M -152.7K 0.35 66.86 N/A N/A 216 76 14,791 17,516 2024-02-26 $41.45 $39.00 14.0% 4.0% 14.5% 11.1% 13.2% 1.1% 1.1% 1.2M -11.2M -155.7K 0.06 67.24 N/A N/A 299 19 14,935 17,569 2024-02-27 $41.59 $39.00 13.3% 3.8% 14.5% 6.8% 13.0% 1.1% 0.3% 1.4M -13.0M -147.0K 0.01 77.29 N/A N/A 69 1 15,082 17,577 2024-02-28 $40.95 $39.00 14.2% 4.1% 15.3% 12.8% 14.1% 1.6% -0.0% 616.0K -6.1M -151.6K 15.21 82.16 N/A N/A 159 2,418 15,109 17,577 2024-02-29 $41.03 $39.00 21.5% 6.2% 15.2% 57.0% 20.7% 3.5% -8.3% 502.1K -5.1M -150.7K 0.23 67.87 N/A N/A 61 14 15,168 19,968
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