VWO Options History — November 2024

In November 2024, VWO traded between $45.09 and $48.00. ATM implied volatility averaged 20.6%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.8% (HV 20d: 15.7%). Max pain ranged from $46.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 3.55.

Notable Days

  • 2024-11-06: Highest Volume — 3,952 contracts
  • 2024-11-26: Largest IV drop — 38.2% change
  • 2024-11-25: Highest IV Rank — 83.7%
  • 2024-11-25: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.98$45.09$48.00$46.61$45.56
Max Pain$46.95$46.00$47.00$46.00$47.00
ATM IV20.6%15.3%29.4%25.6%15.3%
Expected Move5.7%4.4%8.4%7.3%4.4%
HV 20d15.7%12.3%17.2%16.5%16.0%
HV 60d18.5%17.6%19.1%17.6%18.5%
IV Rank44.2%20.7%83.7%66.8%20.7%
IV Percentile85.2%59.1%99.2%98.0%59.1%
Term Structure-3.2%-12.3%2.5%-3.9%-5.5%
VWIV19.9%16.2%28.8%25.1%17.0%
Skew 25d2.1%-6.3%14.8%2.9%7.7%
Skew 10d9.8%1.9%32.0%15.5%13.3%
Call IV 25d18.4%14.7%27.4%24.2%15.5%
Put IV 25d20.5%16.8%34.1%27.0%23.1%
Bid-Ask Spread %89.2460.38126.6377.70124.93
Gamma HHI0.190.140.260.230.16
Net GEX1.3M68.2K3.4M2.9M607.5K
Net DEX-4.8M-57.4M19.5M-34.6M5.5M
Net VEX-301.7K-350.5K-241.4K-349.8K-265.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.550.0333.972.340.25
Total Volume751.6103,95229710
Total OI59,818.756,45364,50456,45357,905

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$46.61$46.0025.6%7.3%16.5%66.8%25.1%2.9%-3.9%2.9M-34.6M-349.8K2.3477.70N/AN/A8920833,68722,766
2024-11-04$46.78$47.0028.3%6.5%16.1%79.0%22.6%2.8%-2.5%3.1M-37.6M-344.3K0.4661.59N/AN/A21610033,69722,973
2024-11-05$47.41$47.0029.4%6.9%12.3%83.6%22.9%3.6%-4.1%3.4M-51.5M-338.2K7.7064.32N/AN/A2181,67833,65022,934
2024-11-06$46.98$47.0022.1%5.8%12.7%50.8%20.3%2.7%-1.5%3.1M-38.1M-337.2K33.9770.67N/AN/A1133,83933,84724,590
2024-11-07$48.00$47.0021.0%5.7%14.9%46.1%19.6%2.1%-1.1%3.0M-57.4M-350.5K22.9377.55N/AN/A1613,69233,86828,343
2024-11-08$46.78$47.0017.1%5.3%17.2%28.5%19.2%2.1%-0.8%1.9M-22.0M-349.3K0.1982.34N/AN/A4869333,88530,199
2024-11-11$46.53$47.0018.8%5.1%17.2%36.4%18.1%2.2%1.3%1.6M-13.2M-329.4K0.4580.47N/AN/A2119533,87030,229
2024-11-12$45.78$47.0019.6%5.2%16.6%39.9%18.5%1.6%-1.1%676.3K7.3M-310.1K0.6172.89N/AN/A18111033,88530,259
2024-11-13$45.52$47.0018.4%5.3%16.2%34.5%18.8%0.6%-1.7%487.3K12.9M-302.2K0.2680.81N/AN/A872333,88530,212
2024-11-14$45.23$47.0018.3%5.3%16.2%34.3%17.0%1.5%-2.0%639.3K19.5M-280.7K0.0375.44N/AN/A1,1123533,91130,226
2024-11-15$45.09$47.0017.4%5.0%15.4%30.3%18.4%1.1%-1.0%945.2K19.2M-281.5K0.0382.69N/AN/A159434,84029,664
2024-11-18$45.47$47.0017.5%5.0%15.9%30.8%16.4%1.0%-1.7%323.8K13.6M-277.1K0.0560.38N/AN/A1,1135929,85026,983
2024-11-19$45.59$47.0017.6%5.0%16.0%30.8%16.2%1.6%-1.7%506.0K11.1M-279.6K0.0879.69N/AN/A6675630,89827,027
2024-11-20$45.50$47.0017.6%5.0%15.8%30.9%17.0%2.6%-2.1%510.1K13.4M-279.3K0.2380.18N/AN/A611431,34827,049
2024-11-21$45.39$47.0018.8%5.4%15.8%36.4%18.3%2.3%-11.2%68.2K10.2M-281.3K0.42120.31N/AN/A241031,34727,057
2024-11-22$45.36$47.0025.3%7.2%15.8%65.2%20.5%-2.1%-7.4%374.4K18.3M-241.4K0.16124.21N/AN/A51831,36026,477
2024-11-25$45.52$47.0029.4%8.4%15.8%83.7%22.7%-2.5%-6.6%750.2K5.9M-286.8K0.07121.60N/AN/A14131,39326,480
2024-11-26$45.20$47.0018.2%5.2%15.9%33.5%20.9%14.8%-12.3%546.2K14.2M-277.6K0.05120.38N/AN/A21131,39626,481
2024-11-27$45.34$47.0015.4%4.4%15.9%21.0%28.8%-6.3%2.5%900.9K8.1M-272.9K0.71126.63N/AN/A7531,42126,482
2024-11-29$45.56$47.0015.3%4.4%16.0%20.7%17.0%7.7%-5.5%607.5K5.5M-265.4K0.25124.93N/AN/A8231,42326,482