VWO Options History — May 2024

In May 2024, VWO traded between $42.34 and $44.88. ATM implied volatility averaged 13.3%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.6% (HV 20d: 12.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 4.48.

Notable Days

  • 2024-05-22: Highest Volume — 4,638 contracts
  • 2024-05-13: Largest IV spike — 33.3% change
  • 2024-05-13: Highest IV Rank — 29.7%
  • 2024-05-14: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.80$42.34$44.88$42.34$43.00
Max Pain$40.14$40.00$41.00$41.00$40.00
ATM IV13.3%10.9%15.8%14.0%15.5%
Expected Move3.9%3.1%4.9%4.0%4.4%
HV 20d12.7%9.8%15.7%13.7%9.8%
HV 60d12.0%11.2%12.9%12.9%11.2%
IV Rank14.0%0.0%29.7%18.0%29.5%
IV Percentile23.1%0.0%73.0%30.2%69.8%
Term Structure-0.8%-8.8%1.3%-1.0%-2.3%
VWIV13.1%8.8%14.8%13.9%14.8%
Skew 25d1.5%-4.8%6.8%0.7%1.4%
Skew 10d2.6%-5.6%7.9%-1.6%0.0%
Call IV 25d12.1%6.5%14.6%13.6%13.8%
Put IV 25d13.5%7.7%16.6%14.3%15.2%
Bid-Ask Spread %86.5052.95109.6676.9583.14
Gamma HHI0.220.160.270.210.16
Net GEX2.9M1.2M4.1M2.6M1.2M
Net DEX-35.0M-49.7M-17.3M-22.0M-17.3M
Net VEX-134.1K-145.6K-118.5K-143.3K-141.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.0280.370.981.62
Total Volume626.682364,638101463
Total OI34,29830,49035,57634,58834,092

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$42.34$41.0014.0%4.0%13.7%18.0%13.9%0.7%-1.0%2.6M-22.0M-143.3K0.9876.95N/AN/A515016,24518,343
2024-05-02$43.25$41.0015.6%4.5%15.6%28.3%14.3%4.0%-1.1%3.1M-33.3M-138.3K0.1852.95N/AN/A1913416,27818,370
2024-05-03$43.61$41.0012.8%3.7%15.7%10.2%13.1%-0.4%0.3%3.3M-37.8M-133.4K0.1353.82N/AN/A2513216,37218,386
2024-05-06$43.52$40.0013.6%3.9%15.7%15.2%13.1%1.9%0.4%3.5M-37.1M-130.1K0.7294.98N/AN/A755416,47118,409
2024-05-07$43.23$40.0013.3%3.9%15.7%13.3%12.4%-4.8%-0.8%3.6M-33.4M-127.5K0.6292.58N/AN/A1167216,50918,461
2024-05-08$43.22$40.0014.0%3.8%15.1%17.4%12.7%2.2%0.4%3.8M-33.0M-125.6K0.1080.75N/AN/A1231216,55218,480
2024-05-09$43.36$40.0011.4%3.8%15.1%0.9%13.0%1.7%-0.0%4.1M-35.8M-124.9K0.2685.28N/AN/A1253216,75518,486
2024-05-10$43.45$40.0011.9%3.9%12.7%3.7%12.6%2.0%-1.3%4.1M-37.3M-122.8K0.0379.71N/AN/A233716,81518,500
2024-05-13$43.80$40.0015.8%3.9%12.4%29.7%13.4%1.5%-0.2%3.7M-41.8M-118.5K10.2867.29N/AN/A2322,38516,88518,500
2024-05-14$44.00$40.0014.8%4.9%11.4%23.2%13.4%4.0%-8.8%2.9M-42.8M-137.5K0.0799.68N/AN/A3812516,87718,375
2024-05-15$44.39$40.0013.3%3.8%11.5%13.2%13.5%2.1%-0.4%2.6M-46.4M-125.6K0.1390.91N/AN/A6217816,78418,388
2024-05-16$44.58$40.0012.2%3.5%11.5%5.9%12.4%1.6%0.3%2.8M-47.9M-127.4K0.03109.66N/AN/A7992617,03818,398
2024-05-17$44.88$40.0012.6%3.6%11.0%8.5%8.8%6.8%1.1%2.9M-49.7M-129.8K0.07100.88N/AN/A5743817,17618,400
2024-05-20$44.78$40.0012.2%3.5%11.1%5.8%11.0%-0.9%-4.5%2.7M-39.6M-130.5K0.17105.85N/AN/A1,17619715,03815,452
2024-05-21$44.50$40.0013.0%3.7%11.5%11.2%12.7%0.9%-0.6%2.8M-37.5M-136.0K0.1089.57N/AN/A1251316,13515,632
2024-05-22$44.38$40.0012.8%3.7%11.7%9.9%14.3%4.8%-0.5%2.7M-34.5M-141.5K80.3790.45N/AN/A574,58116,11715,642
2024-05-23$44.05$40.0010.9%3.1%12.3%0.0%14.1%1.2%0.8%2.6M-31.4M-144.6K0.07101.48N/AN/A1351016,14717,863
2024-05-24$44.19$40.0013.3%3.8%11.8%15.3%13.7%0.5%-1.0%2.3M-32.1M-145.6K0.0286.17N/AN/A112216,17417,871
2024-05-28$44.05$40.0014.4%4.1%11.7%22.7%12.2%2.5%-0.8%2.3M-30.1M-145.6K1.5996.46N/AN/A497816,21117,874
2024-05-29$43.55$40.0013.2%3.8%11.7%14.6%14.4%1.4%0.6%1.7M-24.2M-143.9K1.0078.87N/AN/A181816,21617,800
2024-05-30$43.42$40.0012.6%3.6%11.8%10.7%14.0%-3.1%1.3%1.9M-24.5M-136.5K0.0685.61N/AN/A128816,22517,814
2024-05-31$43.00$40.0015.5%4.4%9.8%29.5%14.8%1.4%-2.3%1.2M-17.3M-141.2K1.6283.14N/AN/A17728616,27017,822