VWO Options History — June 2024

In June 2024, VWO traded between $42.80 and $44.34. ATM implied volatility averaged 13.8%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.6% (HV 20d: 12.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2024-06-20: Highest Volume — 4,551 contracts
  • 2024-06-12: Largest IV drop — 29.9% change
  • 2024-06-11: Highest IV Rank — 48.2%
  • 2024-06-04: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.66$42.80$44.34$43.47$43.73
Max Pain$41.68$40.00$42.00$40.00$42.00
ATM IV13.8%11.1%18.4%15.9%11.1%
Expected Move3.8%3.2%4.9%4.6%3.2%
HV 20d12.2%10.1%12.9%10.1%11.6%
HV 60d12.1%11.4%12.2%11.4%12.2%
IV Rank18.4%1.0%48.2%32.0%1.0%
IV Percentile32.3%0.4%98.0%75.8%0.4%
Term Structure-0.5%-6.0%2.1%-1.9%1.1%
VWIV13.1%10.6%18.0%16.3%11.7%
Skew 25d1.2%-2.7%3.0%1.1%1.0%
Skew 10d3.0%-5.7%8.8%2.2%-0.8%
Call IV 25d12.8%11.5%15.5%15.5%11.5%
Put IV 25d14.0%9.9%18.2%16.6%12.5%
Bid-Ask Spread %88.1670.5497.0686.4284.35
Gamma HHI0.200.140.440.170.15
Net GEX2.4M990.3K5.3M1.7M1.8M
Net DEX-26.9M-42.6M-16.0M-23.3M-19.9M
Net VEX-154.1K-168.9K-139.1K-141.5K-158.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0121.640.101.84
Total Volume668554,551103105
Total OI34,539.94726,76639,36534,11429,649

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$43.47$40.0015.9%4.6%10.1%32.0%16.3%1.1%-1.9%1.7M-23.3M-141.5K0.1086.42N/AN/A94916,29817,816
2024-06-04$42.80$40.0017.1%4.9%11.5%39.4%18.0%3.0%-2.5%990.3K-16.0M-143.0K0.6381.21N/AN/A805016,33917,818
2024-06-05$43.33$40.0016.0%4.6%12.1%32.5%14.9%2.6%-3.7%1.6M-21.4M-139.1K0.0170.54N/AN/A2,4333016,37717,825
2024-06-06$43.59$42.0015.2%3.7%12.3%27.8%12.9%1.8%0.3%2.4M-30.1M-162.8K0.0184.21N/AN/A280218,66617,840
2024-06-07$43.20$42.0014.1%3.7%12.7%20.5%12.7%1.8%1.1%2.1M-25.9M-167.4K0.4094.51N/AN/A1345318,91317,840
2024-06-10$43.47$42.0016.1%3.7%12.9%33.5%13.0%1.9%1.8%2.3M-28.2M-159.2K0.0690.05N/AN/A133818,96917,880
2024-06-11$43.31$42.0018.4%4.0%12.6%48.2%12.5%1.6%-6.0%2.0M-28.9M-158.1K0.1194.21N/AN/A84919,04617,878
2024-06-12$43.64$42.0012.9%3.7%12.8%13.0%13.4%1.5%1.3%2.6M-31.8M-156.4K0.0492.81N/AN/A104419,07217,879
2024-06-13$43.64$42.0012.6%3.6%12.3%10.8%12.5%-2.7%-5.0%2.8M-32.3M-152.1K0.0196.57N/AN/A454519,15017,878
2024-06-14$43.72$42.0012.8%3.7%12.2%12.5%12.9%0.8%1.1%2.9M-31.5M-156.7K0.4797.06N/AN/A512419,31617,874
2024-06-17$44.02$42.0012.7%3.6%12.2%11.7%13.4%1.3%2.0%4.2M-36.3M-149.5K0.7693.05N/AN/A27420819,35117,874
2024-06-18$44.34$42.0012.2%3.5%12.6%8.5%12.8%0.4%-2.5%4.4M-42.3M-142.1K0.4187.50N/AN/A1837519,33717,819
2024-06-20$44.28$42.0013.7%3.9%12.4%18.0%13.2%0.9%-0.0%5.3M-42.6M-139.9K21.6481.02N/AN/A2014,35019,38917,865
2024-06-21$43.98$42.0011.8%3.4%12.6%5.9%12.0%1.3%2.1%1.6M-20.0M-168.9K1.2692.26N/AN/A8811115,07324,292
2024-06-24$43.98$42.0012.3%3.5%12.3%8.7%12.3%0.4%0.4%1.5M-20.9M-147.7K0.0986.35N/AN/A2,19819913,22813,538
2024-06-25$43.78$42.0012.0%3.4%12.3%7.2%12.3%1.8%0.4%1.7M-20.2M-163.5K0.2887.48N/AN/A37810615,41413,687
2024-06-26$43.64$42.0012.2%3.5%12.3%8.2%12.1%0.6%0.6%1.6M-20.0M-158.3K0.4092.02N/AN/A863415,72213,768
2024-06-27$43.67$42.0012.4%3.6%11.6%10.0%10.6%2.0%0.1%1.7M-19.6M-163.7K0.3883.33N/AN/A401515,77813,801
2024-06-28$43.73$42.0011.1%3.2%11.6%1.0%11.7%1.0%1.1%1.8M-19.9M-158.6K1.8484.35N/AN/A376815,78513,864