VWO Options History — October 2024 In October 2024, VWO traded between $46.53 and $49.45. ATM implied volatility averaged 19.9%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.3% (HV 20d: 22.2%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 3.02.
Notable Days 2024-10-23 : Highest Volume — 11,696 contracts2024-10-07 : Largest IV spike — 22.6% change2024-10-07 : Highest IV Rank — 59.1%2024-10-30 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $47.67 $46.53 $49.45 $48.16 $46.53 Max Pain $45.30 $45.00 $46.00 $45.00 $46.00 ATM IV 19.9% 16.9% 23.9% 17.1% 22.3% Expected Move 5.7% 4.8% 6.5% 4.9% 6.4% HV 20d 22.2% 17.1% 26.2% 19.3% 17.1% HV 60d 19.2% 17.9% 20.0% 17.9% 18.0% IV Rank 41.2% 27.6% 59.1% 28.9% 51.9% IV Percentile 92.5% 79.8% 97.6% 86.1% 96.0% Term Structure 0.1% -2.3% 3.0% 3.0% 2.6% VWIV 20.4% 17.1% 26.7% 19.6% 26.7% Skew 25d 2.1% -2.7% 8.0% -2.7% 3.0% Skew 10d 5.7% -2.6% 13.1% -0.6% 12.3% Call IV 25d 19.2% 12.5% 24.3% 21.2% 24.3% Put IV 25d 21.4% 18.0% 27.2% 18.5% 27.2% Bid-Ask Spread % 70.54 57.62 97.65 95.61 75.81 Gamma HHI 0.18 0.13 0.27 0.16 0.24 Net GEX 2.5M 1.3M 4.2M 1.7M 3.0M Net DEX -41.2M -55.7M -25.8M -41.6M -31.6M Net VEX -224.9K -358.9K -160.5K -176.3K -354.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.02 0.01 59.92 0.97 0.23 Total Volume 1,651.478 65 11,696 1,042 159 Total OI 41,101.435 34,186 56,414 34,186 56,414
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-10-01 $48.16 $45.00 17.1% 4.9% 19.3% 28.9% 19.6% -2.7% 3.0% 1.7M -41.6M -176.3K 0.97 95.61 N/A N/A 528 514 16,722 17,464 2024-10-02 $49.11 $46.00 16.9% 4.9% 19.9% 28.0% 21.1% -2.0% -1.3% 1.4M -50.1M -166.4K 0.05 97.65 N/A N/A 728 33 17,130 17,968 2024-10-03 $48.45 $45.00 20.3% 6.0% 21.0% 43.0% 25.1% -2.5% -0.3% 1.6M -44.6M -175.9K 0.15 78.36 N/A N/A 84 13 17,357 17,960 2024-10-04 $49.00 $45.00 19.5% 5.5% 19.9% 39.5% 18.5% 8.0% 1.8% 1.5M -50.0M -160.5K 0.69 82.46 N/A N/A 99 68 17,307 17,970 2024-10-07 $49.45 $45.00 23.9% 6.0% 19.9% 59.1% 21.8% 2.0% -0.7% 1.3M -52.7M -162.2K 0.04 61.65 N/A N/A 187 8 17,469 18,000 2024-10-08 $47.81 $45.00 21.2% 5.9% 24.3% 47.1% 21.4% 1.9% -0.7% 1.9M -37.7M -172.1K 0.10 57.62 N/A N/A 173 17 17,530 17,996 2024-10-09 $47.73 $45.00 20.4% 5.8% 24.4% 43.4% 20.5% 2.4% -0.6% 1.9M -36.7M -174.5K 0.35 64.31 N/A N/A 186 66 17,569 18,005 2024-10-10 $47.78 $45.00 19.4% 5.6% 24.4% 39.1% 22.6% 2.0% 0.2% 2.1M -37.4M -170.5K 0.05 68.23 N/A N/A 81 4 17,602 17,991 2024-10-11 $48.16 $45.00 19.4% 5.6% 24.4% 39.2% 19.3% 1.9% -0.0% 2.0M -41.4M -164.6K 59.92 68.86 N/A N/A 63 3,775 17,560 17,995 2024-10-14 $47.91 $45.00 18.1% 5.2% 24.6% 33.3% 18.3% 1.9% -0.0% 2.3M -38.1M -167.4K 0.28 63.15 N/A N/A 712 198 17,577 19,858 2024-10-15 $46.91 $45.00 18.1% 5.2% 26.1% 33.4% 18.6% 2.1% 0.3% 2.2M -25.8M -171.2K 0.01 62.45 N/A N/A 2,977 24 17,766 19,778 2024-10-16 $47.36 $45.00 18.6% 5.3% 26.2% 35.3% 17.9% 1.9% -0.2% 3.1M -35.8M -193.1K 0.03 64.10 N/A N/A 112 3 20,399 19,792 2024-10-17 $47.25 $45.00 17.8% 5.1% 25.6% 31.8% 17.3% 1.5% 1.2% 2.9M -32.8M -195.5K 0.15 65.80 N/A N/A 201 31 20,483 19,792 2024-10-18 $47.78 $45.00 16.9% 4.8% 25.7% 27.6% 17.1% 5.5% 1.1% 4.2M -40.3M -193.2K 1.80 70.97 N/A N/A 2,179 3,932 20,543 19,727 2024-10-21 $47.47 $45.00 18.6% 5.3% 25.8% 35.3% 17.3% 2.4% 0.1% 2.3M -37.5M -215.4K 0.02 58.27 N/A N/A 1,313 21 20,535 16,863 2024-10-22 $47.45 $45.00 18.9% 5.4% 23.0% 36.8% 19.2% 2.0% 0.2% 2.5M -37.8M -222.6K 0.08 65.93 N/A N/A 60 5 21,658 16,870 2024-10-23 $47.11 $45.00 20.2% 5.8% 22.8% 42.4% 20.3% 3.2% -0.1% 2.3M -33.4M -226.3K 0.08 71.15 N/A N/A 10,811 885 21,681 16,875 2024-10-24 $47.05 $46.00 20.4% 5.9% 19.6% 43.7% 20.1% 3.1% -0.3% 3.9M -53.1M -334.8K 0.56 69.24 N/A N/A 78 44 31,833 17,604 2024-10-25 $47.03 $46.00 21.5% 6.2% 19.6% 48.5% 23.0% 2.5% -0.1% 3.7M -52.2M -334.0K 0.15 69.94 N/A N/A 141 21 31,858 17,620 2024-10-28 $47.20 $46.00 22.7% 6.5% 19.4% 53.9% 21.0% 2.9% -1.3% 3.9M -55.7M -324.9K 2.88 64.53 N/A N/A 1,821 5,253 31,855 17,640 2024-10-29 $47.05 $46.00 22.3% 6.4% 19.1% 52.1% 21.4% 2.4% -1.3% 3.4M -44.2M -358.9K 0.69 74.12 N/A N/A 49 34 33,613 22,703 2024-10-30 $46.70 $46.00 22.8% 6.5% 17.6% 54.0% 22.3% 3.4% -2.3% 3.1M -36.3M -358.1K 0.11 72.30 N/A N/A 263 30 33,655 22,746 2024-10-31 $46.53 $46.00 22.3% 6.4% 17.1% 51.9% 26.7% 3.0% 2.6% 3.0M -31.6M -354.7K 0.23 75.81 N/A N/A 129 30 33,654 22,760
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