VWO Options History — September 2024

In September 2024, VWO traded between $43.50 and $48.30. ATM implied volatility averaged 16.1%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.2% (HV 20d: 14.9%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.56.

Notable Days

  • 2024-09-18: Highest Volume — 4,185 contracts
  • 2024-09-24: Largest IV spike — 26.7% change
  • 2024-09-06: Highest IV Rank — 43.4%
  • 2024-09-30: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.22$43.50$48.30$43.97$47.81
Max Pain$43.80$42.00$44.00$42.00$44.00
ATM IV16.1%12.6%20.4%17.1%19.0%
Expected Move4.4%3.6%5.5%4.9%5.5%
HV 20d14.9%12.0%20.6%14.8%20.6%
HV 60d15.4%14.4%17.9%14.6%17.9%
IV Rank24.2%8.5%43.4%28.8%37.4%
IV Percentile63.6%14.7%96.4%88.9%95.2%
Term Structure0.8%-4.6%2.9%-1.8%-4.6%
VWIV15.8%12.5%20.0%16.8%19.5%
Skew 25d3.1%-1.0%10.6%3.3%-0.1%
Skew 10d5.8%-1.3%12.2%2.0%-1.3%
Call IV 25d14.2%8.8%20.0%15.5%19.6%
Put IV 25d17.3%13.9%20.7%18.8%19.5%
Bid-Ask Spread %81.2567.5996.4375.8582.89
Gamma HHI0.150.130.180.140.15
Net GEX1.3M-88.1K2.5M556.7K1.8M
Net DEX-23.8M-52.0M-6.9M-13.2M-39.1M
Net VEX-154.0K-177.1K-140.5K-161.4K-177.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.0220.830.360.20
Total Volume974.45974,185166187
Total OI31,713.7527,92834,13031,26434,130

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$43.97$42.0017.1%4.9%14.8%28.8%16.8%3.3%-1.8%556.7K-13.2M-161.4K0.3675.85N/AN/A1224416,69614,568
2024-09-04$44.03$42.0018.3%5.3%14.4%34.2%18.2%5.3%-2.6%552.1K-12.2M-164.1K0.1770.14N/AN/A1492616,75014,587
2024-09-05$44.14$44.0017.5%4.3%14.3%30.3%14.8%4.1%1.6%710.8K-14.4M-159.0K0.6081.22N/AN/A1579416,75514,599
2024-09-06$43.50$44.0020.4%4.8%13.9%43.4%15.8%10.6%1.0%-88.1K-6.9M-160.2K0.4889.60N/AN/A1436816,86214,676
2024-09-09$43.78$44.0018.7%4.5%14.0%36.0%15.6%3.9%1.1%195.4K-10.4M-155.5K0.1078.26N/AN/A1881916,93314,729
2024-09-10$43.67$44.0019.4%4.3%14.0%38.8%16.1%4.0%1.0%110.4K-8.9M-154.7K0.2277.49N/AN/A892017,00814,744
2024-09-11$43.91$44.0015.2%4.4%13.8%20.3%16.0%4.0%1.9%712.6K-12.6M-150.0K0.4177.22N/AN/A1305317,10914,756
2024-09-12$44.25$44.0014.9%4.3%13.8%18.7%14.7%4.0%1.7%1.0M-16.3M-146.4K0.1380.02N/AN/A4556117,12614,787
2024-09-13$44.44$44.0014.2%4.1%13.3%15.6%14.3%3.3%2.9%1.2M-19.1M-145.7K0.0283.44N/AN/A8632117,42214,847
2024-09-16$44.61$44.0013.3%3.8%12.9%11.6%13.6%2.7%2.0%1.8M-20.7M-145.7K0.2876.03N/AN/A762117,48814,850
2024-09-17$44.64$44.0013.6%3.9%12.3%12.9%13.5%3.2%1.8%2.0M-21.3M-144.2K1.7187.64N/AN/A11219217,52514,867
2024-09-18$44.59$44.0014.0%4.0%12.0%15.0%18.6%3.2%2.1%1.4M-19.1M-146.8K17.7796.43N/AN/A2233,96217,53415,052
2024-09-19$45.45$44.0012.9%3.7%13.8%10.1%12.5%1.8%2.4%2.4M-31.2M-140.5K0.2686.45N/AN/A46612217,59315,174
2024-09-20$45.34$44.0013.3%3.8%13.0%11.9%12.5%5.9%1.9%1.5M-24.7M-143.4K20.8382.28N/AN/A1813,77116,38115,275
2024-09-23$45.70$44.0012.6%3.6%12.4%8.5%13.3%2.5%2.2%1.8M-27.2M-149.3K0.1274.66N/AN/A2,10726313,94413,984
2024-09-24$47.25$44.0015.9%4.6%16.7%23.5%16.0%0.6%0.6%2.5M-43.8M-153.5K0.2967.59N/AN/A51214615,99914,205
2024-09-25$46.78$44.0014.7%4.2%17.3%18.2%16.2%0.1%1.4%2.5M-40.0M-159.5K0.5081.15N/AN/A32316216,29214,328
2024-09-26$48.30$44.0018.6%5.3%20.0%35.4%20.0%-1.0%0.4%2.2M-52.0M-148.6K6.4093.11N/AN/A4813,07716,39714,343
2024-09-27$48.28$44.0018.3%5.3%20.0%34.1%18.8%-0.1%-0.4%1.7M-43.2M-174.8K0.3183.50N/AN/A3089516,58217,378
2024-09-30$47.81$44.0019.0%5.5%20.6%37.4%19.5%-0.1%-4.6%1.8M-39.1M-177.1K0.2082.89N/AN/A1563116,68917,441