VWO Options History — July 2024

In July 2024, VWO traded between $43.33 and $45.63. ATM implied volatility averaged 13.2%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.9% (HV 20d: 10.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.15.

Notable Days

  • 2024-07-10: Highest Volume — 4,693 contracts
  • 2024-07-24: Largest IV spike — 46.7% change
  • 2024-07-24: Highest IV Rank — 65.1%
  • 2024-07-24: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.37$43.33$45.63$43.81$44.34
Max Pain$40.27$40.00$42.00$42.00$40.00
ATM IV13.2%10.7%21.0%12.0%14.8%
Expected Move3.8%3.1%6.0%3.4%4.2%
HV 20d10.2%7.4%14.4%11.0%14.4%
HV 60d11.7%10.9%12.4%12.2%11.6%
IV Rank15.8%0.0%65.1%7.0%25.7%
IV Percentile27.1%0.0%98.4%3.6%55.2%
Term Structure0.1%-7.3%6.6%0.4%0.1%
VWIV13.0%10.4%17.7%11.2%14.4%
Skew 25d1.6%-1.5%3.7%1.3%2.8%
Skew 10d3.6%-8.2%9.1%0.6%4.6%
Call IV 25d12.0%7.6%15.3%11.1%14.1%
Put IV 25d13.6%8.5%17.9%12.4%16.9%
Bid-Ask Spread %89.8571.98105.8784.5290.20
Gamma HHI0.180.140.240.150.14
Net GEX2.5M484.8K4.4M1.9M1.7M
Net DEX-24.8M-42.1M-9.4M-20.6M-20.7M
Net VEX-154.7K-175.5K-135.6K-153.9K-164.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.0240.110.190.12
Total Volume664.455444,69344398
Total OI29,891.63628,04330,43229,70930,418

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$43.81$42.0012.0%3.4%11.0%7.0%11.2%1.3%0.4%1.9M-20.6M-153.9K0.1984.52N/AN/A37715,81313,896
2024-07-02$44.03$42.0010.9%3.1%10.5%0.4%10.4%-1.5%1.3%2.5M-23.6M-148.7K0.0691.04N/AN/A130815,83313,903
2024-07-03$44.61$42.0010.7%3.1%9.5%0.0%11.5%3.1%0.9%3.3M-30.1M-150.8K0.1090.86N/AN/A991015,92313,903
2024-07-05$44.66$40.0011.2%3.3%8.7%3.5%11.3%1.9%1.5%3.2M-30.4M-149.1K0.0980.49N/AN/A1731616,01113,905
2024-07-08$44.64$40.0011.3%3.3%8.5%4.0%11.2%1.9%1.0%3.5M-30.3M-143.6K0.4185.57N/AN/A441816,01413,907
2024-07-09$44.83$40.0011.2%3.3%7.7%3.2%11.6%1.8%2.1%3.8M-32.3M-142.0K0.3284.95N/AN/A1274016,13213,916
2024-07-10$45.00$40.0011.9%3.4%7.5%8.1%11.3%1.8%-0.3%3.9M-35.6M-141.4K17.5581.00N/AN/A2534,44016,24313,915
2024-07-11$45.36$40.0012.3%3.5%7.6%10.6%11.9%1.2%0.6%3.7M-38.7M-146.1K0.0587.75N/AN/A153716,39113,725
2024-07-12$45.63$40.0011.4%3.3%7.4%4.7%11.3%1.1%0.9%3.7M-42.1M-141.5K0.1585.72N/AN/A3835916,44613,729
2024-07-15$45.14$40.0012.0%3.4%8.7%8.1%11.8%1.1%0.4%4.3M-36.1M-146.4K0.2478.24N/AN/A952316,52413,756
2024-07-16$45.36$40.0011.6%3.3%8.8%5.9%11.3%2.4%0.7%4.4M-39.4M-135.6K0.1888.05N/AN/A781416,53613,779
2024-07-17$44.78$40.0012.0%3.4%10.0%8.3%12.2%1.7%0.8%4.1M-31.1M-141.2K40.1185.43N/AN/A1074,29216,56313,798
2024-07-18$44.41$40.0011.8%3.4%10.2%6.8%12.1%3.7%6.6%2.7M-23.1M-158.6K0.0298.77N/AN/A277616,59213,829
2024-07-19$43.95$40.0015.5%4.4%10.9%30.3%15.7%-0.4%-6.5%1.4M-18.8M-157.8K0.76105.87N/AN/A544116,60113,831
2024-07-22$44.30$40.0013.2%3.8%11.0%15.7%13.2%1.3%0.4%1.4M-18.2M-152.8K0.1195.78N/AN/A1,20413314,63013,413
2024-07-23$43.81$40.0014.3%4.1%11.7%23.0%14.5%0.6%0.1%1.1M-15.7M-168.9K4.0090.13N/AN/A187215,81113,507
2024-07-24$43.41$40.0021.0%6.0%12.1%65.1%17.7%-1.2%-7.3%858.6K-13.6M-175.5K4.39101.17N/AN/A3615815,82113,573
2024-07-25$43.33$40.0015.5%4.5%12.0%30.7%14.8%2.2%-0.4%484.8K-9.4M-171.9K0.0695.80N/AN/A1971115,84213,709
2024-07-26$43.70$40.0014.6%4.2%12.4%25.1%14.8%2.3%-0.3%945.3K-13.1M-171.8K0.04100.52N/AN/A3041215,88013,740
2024-07-29$43.63$40.0014.7%4.2%12.4%25.6%15.4%2.2%-0.7%876.4K-11.9M-168.3K0.0871.98N/AN/A4823715,99413,752
2024-07-30$43.45$40.0016.2%4.7%12.5%35.0%15.4%2.9%-0.5%806.2K-11.6M-172.1K0.39102.79N/AN/A40715816,34013,772
2024-07-31$44.34$40.0014.8%4.2%14.4%25.7%14.4%2.8%0.1%1.7M-20.7M-164.1K0.1290.20N/AN/A3564216,49713,921