VWO Options History — December 2024

In December 2024, VWO traded between $44.06 and $47.50. ATM implied volatility averaged 16.5%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.7% (HV 20d: 14.8%). Max pain ranged from $42.00 to $47.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2024-12-19: Highest Volume — 14,631 contracts
  • 2024-12-03: Largest IV drop — 43.8% change
  • 2024-12-02: Highest IV Rank — 67.5%
  • 2024-12-02: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.62$44.06$47.50$45.83$44.06
Max Pain$44.71$42.00$47.00$47.00$46.00
ATM IV16.5%12.5%25.8%25.8%15.3%
Expected Move4.5%3.6%7.4%7.4%4.4%
HV 20d14.8%12.3%16.5%16.2%16.1%
HV 60d17.9%16.0%19.2%18.3%16.0%
IV Rank26.1%8.3%67.5%67.5%20.6%
IV Percentile58.1%13.1%96.8%96.8%55.6%
Term Structure-1.3%-11.3%2.1%-11.3%0.6%
VWIV14.7%9.1%20.9%20.9%14.7%
Skew 25d4.1%-5.2%28.9%0.6%2.8%
Skew 10d7.7%-0.7%29.9%17.2%4.1%
Call IV 25d13.5%10.1%19.8%19.8%14.2%
Put IV 25d17.6%9.6%43.7%20.4%17.0%
Bid-Ask Spread %73.1236.67123.48117.5346.07
Gamma HHI0.180.150.260.170.15
Net GEX433.3K-1.3M1.9M708.8K719.1K
Net DEX-666.4K-47.7M56.5M13.2M-225.7K
Net VEX-196.6K-240.5K-153.0K-217.1K-153.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.016.810.230.83
Total Volume1,482.6675714,63175108
Total OI54,201.52438,75464,15957,90739,768

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$45.83$47.0025.8%7.4%16.2%67.5%20.9%0.6%-11.3%708.8K13.2M-217.1K0.23117.53N/AN/A611431,42626,481
2024-12-03$45.95$47.0014.5%4.2%16.2%17.1%16.1%28.9%-4.5%-42.9K2.9M-212.3K0.01123.48N/AN/A283331,47226,479
2024-12-04$46.03$47.0018.4%5.3%15.3%34.7%17.4%5.6%-4.2%457.3K-805.5K-240.5K0.1890.10N/AN/A571031,50226,480
2024-12-05$46.38$42.0018.6%4.2%15.3%35.3%13.3%4.4%2.1%445.2K-9.5M-218.0K0.1877.24N/AN/A1432631,46426,488
2024-12-06$46.38$42.0015.8%4.0%13.0%22.8%13.3%2.9%-4.6%-133.8K-9.1M-218.9K2.3578.70N/AN/A174031,48226,473
2024-12-09$47.50$42.0022.3%4.6%12.7%51.7%15.3%-5.2%-3.5%1.5M-47.7M-226.2K0.0379.27N/AN/A1,0793131,48826,502
2024-12-10$46.66$42.0021.6%4.5%14.2%48.7%16.0%0.5%0.6%401.7K-15.7M-206.7K6.8188.13N/AN/A3222,19331,59926,501
2024-12-11$46.70$44.0015.4%4.4%12.8%21.3%16.2%5.9%-0.2%-795.3K-11.5M-206.0K1.2474.14N/AN/A587231,56627,988
2024-12-12$46.45$44.0020.1%5.8%12.8%42.1%12.3%5.2%2.0%-1.3M-2.0M-203.8K0.1371.06N/AN/A751031,56928,048
2024-12-13$46.41$44.0014.1%4.0%12.5%15.4%9.1%2.6%-7.5%-370.1K-5.4M-199.7K1.0979.05N/AN/A3,6794,00931,56828,047
2024-12-16$46.25$44.0014.9%4.3%12.5%19.1%14.6%2.7%0.4%-1.2M-704.6K-188.8K0.7275.38N/AN/A503634,95528,033
2024-12-17$46.11$44.0012.5%3.6%12.3%8.3%13.5%1.3%-5.4%1.6M-10.3M-226.0K0.0177.42N/AN/A1,4562034,94228,063
2024-12-18$45.03$44.0016.7%4.8%15.0%26.8%20.1%12.1%1.9%218.7K24.5M-195.4K0.4793.67N/AN/A23711236,03028,072
2024-12-19$45.28$44.0013.8%4.0%15.2%14.1%11.7%3.3%0.7%-651.7K29.2M-183.7K0.4069.90N/AN/A10,4804,15136,01628,143
2024-12-20$44.45$46.0015.5%4.4%16.5%21.5%14.6%2.6%-0.1%156.5K56.5M-186.4K0.4961.83N/AN/A1457131,50030,358
2024-12-23$44.58$46.0013.8%4.0%16.5%13.9%13.7%2.6%1.8%1.4M-5.6M-175.5K0.1236.67N/AN/A1,22014925,39013,364
2024-12-24$44.72$46.0013.4%3.8%16.5%12.1%13.4%-1.7%1.2%1.9M-9.4M-183.5K0.6954.77N/AN/A614226,56913,138
2024-12-26$44.68$46.0013.4%3.8%16.4%12.2%13.9%2.8%1.3%1.8M-6.1M-164.1K0.1045.58N/AN/A1331326,58913,142
2024-12-27$44.46$46.0015.3%4.4%16.4%20.9%14.5%2.8%0.9%1.5M-5.2M-167.9K0.0453.52N/AN/A220926,63513,155
2024-12-30$44.20$46.0015.4%4.4%16.3%21.2%14.6%3.0%0.8%983.3K-1.0M-155.1K0.5541.91N/AN/A1558626,59813,149
2024-12-31$44.06$46.0015.3%4.4%16.1%20.6%14.7%2.8%0.6%719.1K-225.7K-153.0K0.8346.07N/AN/A594926,66913,099