VWO Options History — March 2024

In March 2024, VWO traded between $41.09 and $42.22. ATM implied volatility averaged 15.0%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.1% (HV 20d: 12.9%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 4.19.

Notable Days

  • 2024-03-26: Highest Volume — 5,063 contracts
  • 2024-03-04: Largest IV spike — 83.6% change
  • 2024-03-05: Highest IV Rank — 87.8%
  • 2024-03-06: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.69$41.09$42.22$41.58$41.78
Max Pain$40.90$39.00$41.00$39.00$41.00
ATM IV15.0%11.3%26.5%14.2%11.3%
Expected Move3.7%3.2%4.1%4.1%3.2%
HV 20d12.9%10.1%15.9%15.8%10.1%
HV 60d14.3%12.9%15.2%14.9%12.9%
IV Rank18.3%0.0%87.8%12.8%0.0%
IV Percentile30.4%0.0%99.6%27.4%0.0%
Term Structure0.7%-1.7%3.0%-0.5%0.8%
VWIV12.7%11.3%14.5%14.1%11.3%
Skew 25d0.7%-3.5%1.8%1.7%0.5%
Skew 10d1.8%-3.2%7.1%0.8%-0.1%
Call IV 25d12.5%11.2%15.1%11.2%11.3%
Put IV 25d13.2%11.6%15.0%12.9%11.8%
Bid-Ask Spread %75.0135.65108.0235.6536.85
Gamma HHI0.140.110.230.150.13
Net GEX1.4M530.3K2.9M1.1M1.4M
Net DEX-16.6M-24.4M-7.4M-11.5M-18.3M
Net VEX-151.9K-163.3K-132.1K-155.0K-156.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.190.0273.460.421.04
Total Volume611395,06351392
Total OI34,743.2530,36737,70235,20235,044

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$41.58$39.0014.2%4.1%15.8%12.8%14.1%1.7%-0.5%1.1M-11.5M-155.0K0.4235.65N/AN/A36015315,22219,980
2024-03-04$41.39$41.0026.2%3.9%15.6%85.6%12.8%-0.6%-0.2%718.4K-9.6M-152.4K0.1679.15N/AN/A51815,52120,094
2024-03-05$41.09$41.0026.5%3.9%15.9%87.8%11.5%-3.5%-1.7%530.3K-7.4M-142.0K3.2376.83N/AN/A268415,52720,098
2024-03-06$41.66$41.0021.0%4.1%14.7%54.1%14.3%0.6%0.2%575.1K-12.1M-158.3K0.12103.92N/AN/A49615,54120,166
2024-03-07$41.88$41.0015.4%4.0%14.7%19.7%14.3%1.7%0.9%1.5M-15.0M-140.3K0.03105.52N/AN/A38115,51520,165
2024-03-08$41.77$41.0014.9%4.0%14.6%16.7%14.5%1.8%-1.7%1.5M-14.9M-143.3K0.05104.86N/AN/A2,18711815,52720,166
2024-03-11$41.88$41.0018.6%3.8%14.6%39.5%12.5%1.5%2.1%2.1M-23.4M-132.1K0.20108.02N/AN/A651317,37820,263
2024-03-12$42.22$41.0014.9%3.7%14.7%17.0%12.5%1.3%1.1%2.9M-24.4M-148.1K0.0388.95N/AN/A5741917,37120,272
2024-03-13$41.95$41.0012.7%3.7%12.5%3.6%12.8%0.9%3.0%2.2M-22.3M-139.6K0.1590.61N/AN/A811217,40220,288
2024-03-14$41.72$41.0013.7%3.9%11.6%10.4%13.5%0.6%1.2%1.7M-17.6M-155.3K0.4891.96N/AN/A854117,40620,296
2024-03-15$41.61$41.0012.5%3.6%11.6%2.5%12.6%1.4%1.7%1.4M-15.7M-163.2K2.0381.79N/AN/A14128616,56420,294
2024-03-18$41.70$41.0012.7%3.6%11.5%3.5%12.6%1.0%0.8%998.6K-16.5M-151.7K0.0268.53N/AN/A1,6312713,62016,747
2024-03-19$41.50$41.0013.2%3.8%11.6%7.4%13.1%1.1%0.6%1.1M-15.9M-161.5K0.3652.31N/AN/A742715,19816,769
2024-03-20$41.81$41.0012.3%3.5%11.9%0.9%12.1%1.2%0.6%1.6M-19.7M-159.3K0.0672.82N/AN/A2001115,26916,788
2024-03-21$41.89$41.0012.6%3.6%11.4%2.8%12.1%0.3%0.5%1.6M-20.8M-158.2K0.1775.65N/AN/A641115,45516,790
2024-03-22$41.59$41.0012.0%3.4%11.7%0.0%12.0%0.4%1.3%1.3M-17.4M-154.5K0.8670.12N/AN/A574915,49816,794
2024-03-25$41.64$41.0011.9%3.4%11.6%0.0%11.6%1.3%1.1%1.3M-17.0M-152.7K0.8361.29N/AN/A877215,54516,840
2024-03-26$41.55$41.0011.4%3.3%11.6%0.0%12.1%0.2%1.4%1.3M-16.7M-151.0K73.4650.16N/AN/A684,99515,60016,871
2024-03-27$41.61$41.0011.8%3.4%10.1%2.6%11.6%0.8%0.9%1.0M-15.0M-163.3K0.1145.17N/AN/A3213615,66219,319
2024-03-28$41.78$41.0011.3%3.2%10.1%0.0%11.3%0.5%0.8%1.4M-18.3M-156.6K1.0436.85N/AN/A454715,69019,354