VWO Options History — August 2024

In August 2024, VWO traded between $41.86 and $45.16. ATM implied volatility averaged 18.2%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.7% (HV 20d: 18.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 3.92.

Notable Days

  • 2024-08-12: Highest Volume — 4,307 contracts
  • 2024-08-02: Largest IV spike — 107.1% change
  • 2024-08-02: Highest IV Rank — 100.0%
  • 2024-08-02: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.04$41.86$45.16$43.53$44.70
Max Pain$41.82$40.00$42.00$40.00$42.00
ATM IV18.2%14.0%33.1%15.5%14.2%
Expected Move4.8%4.0%9.2%4.5%4.1%
HV 20d18.9%15.0%20.2%15.0%17.0%
HV 60d14.3%12.2%15.0%12.2%14.2%
IV Rank34.2%14.9%100.0%30.6%15.7%
IV Percentile70.9%38.5%100.0%68.3%41.7%
Term Structure-0.8%-9.7%8.1%-1.3%-1.3%
VWIV16.7%12.4%26.2%16.3%15.0%
Skew 25d3.0%-12.6%10.2%2.9%3.4%
Skew 10d9.5%-2.0%29.4%-2.0%9.6%
Call IV 25d15.2%9.8%32.8%15.6%13.6%
Put IV 25d18.2%9.2%23.9%18.5%17.0%
Bid-Ask Spread %79.6850.01122.5681.8450.01
Gamma HHI0.140.130.160.150.13
Net GEX930.0K-387.8K1.8M881.1K1.4M
Net DEX-13.9M-22.9M6.1M-11.1M-20.6M
Net VEX-167.1K-189.4K-152.8K-172.1K-160.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.920.0172.000.121.97
Total Volume591.591554,307345116
Total OI30,978.36429,05632,43830,48131,195

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$43.53$40.0015.5%4.5%15.0%30.6%16.3%2.9%-1.3%881.1K-11.1M-172.1K0.1281.84N/AN/A3073816,53313,948
2024-08-02$43.03$40.0032.1%9.2%15.4%100.0%19.1%-12.6%-8.2%305.0K-6.9M-184.5K3.37106.16N/AN/A17759616,77313,963
2024-08-05$41.86$42.0025.1%5.2%17.9%67.4%20.3%-2.8%4.9%-387.8K6.1M-189.4K0.70112.73N/AN/A16711716,89914,535
2024-08-06$42.33$42.0033.1%5.6%18.5%100.0%21.0%9.4%8.1%-285.7K1.4M-180.8K0.39122.56N/AN/A411616,92514,622
2024-08-07$42.61$42.0027.9%6.1%18.6%77.0%22.4%1.3%-9.7%-341.0K-1.2M-179.4K0.0199.27N/AN/A111116,92314,637
2024-08-08$43.44$42.0018.4%5.0%19.9%34.5%26.2%3.4%-4.8%601.6K-8.4M-181.9K0.15110.73N/AN/A48717,00514,626
2024-08-09$43.55$42.0017.2%4.6%19.7%29.2%14.2%10.2%0.2%750.0K-8.9M-173.1K0.1998.66N/AN/A1552917,02514,629
2024-08-12$43.72$42.0019.0%4.9%19.6%37.0%15.8%4.4%-0.3%769.9K-11.9M-166.7K72.0069.46N/AN/A594,24817,08714,656
2024-08-13$44.09$42.0019.9%4.7%19.8%41.2%14.7%6.8%-0.0%1.0M-13.6M-179.7K0.1574.79N/AN/A2273317,11614,921
2024-08-14$43.78$42.0015.7%4.5%19.4%22.4%15.4%5.4%7.1%570.7K-10.1M-176.9K0.1172.87N/AN/A3604017,30714,934
2024-08-15$44.30$42.0014.7%4.2%19.7%18.2%13.9%3.4%-0.5%1.2M-17.1M-164.6K0.3372.28N/AN/A30110017,25114,954
2024-08-16$44.70$42.0014.1%4.0%19.6%15.3%14.8%3.6%-0.6%1.8M-22.0M-158.1K0.1374.29N/AN/A4045117,42015,018
2024-08-19$45.16$42.0014.0%4.0%19.7%14.9%12.4%4.0%-0.6%1.4M-22.7M-153.1K0.0463.30N/AN/A1,1655114,57714,479
2024-08-20$44.78$42.0014.3%4.1%19.5%16.3%16.5%3.5%-0.8%1.3M-20.4M-165.3K1.2574.36N/AN/A48360415,67314,523
2024-08-21$44.95$42.0014.6%4.2%19.2%17.5%15.5%3.2%-1.2%1.6M-22.3M-153.8K0.3275.40N/AN/A963115,64814,448
2024-08-22$44.41$42.0015.5%4.4%19.8%21.5%13.7%-0.6%-2.0%975.3K-17.2M-160.8K0.7575.80N/AN/A362715,70514,476
2024-08-23$45.03$42.0014.4%4.1%20.1%16.5%15.4%3.5%-1.4%1.6M-22.9M-154.3K0.2558.63N/AN/A591515,71714,502
2024-08-26$44.78$42.0015.3%4.4%20.2%20.9%19.0%3.7%-1.0%1.3M-18.8M-160.5K2.6970.03N/AN/A3931,05915,75114,514
2024-08-27$44.84$42.0015.2%4.3%20.1%20.0%15.6%3.6%-1.9%1.4M-20.7M-152.9K0.5667.41N/AN/A362015,74214,412
2024-08-28$44.59$42.0014.6%4.2%19.0%17.7%14.2%3.0%-1.4%1.2M-17.5M-154.8K0.6266.54N/AN/A794915,76414,428
2024-08-29$44.63$42.0015.0%4.3%17.7%19.3%14.9%2.7%-1.0%1.2M-18.6M-152.8K0.0455.95N/AN/A1,0214215,78714,476
2024-08-30$44.70$42.0014.2%4.1%17.0%15.7%15.0%3.4%-1.3%1.4M-20.6M-160.9K1.9750.01N/AN/A397716,69714,498