VWO Options History — August 2011

In August 2011, VWO traded between $40.09 and $48.28. ATM implied volatility averaged 37.0%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 9.1% (HV 20d: 46.1%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.07.

Notable Days

2011-08-05: Highest Volume — 6,205 contracts
2011-08-08: Largest IV spike — 61.9% change
2011-08-04: Highest IV Rank — 100.0%
2011-08-08: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.84	$40.09	$48.28	$48.28	$43.93
Max Pain	$46.09	$45.00	$48.00	$48.00	$45.00
ATM IV	37.0%	23.8%	61.0%	23.8%	31.6%
Expected Move	10.1%	6.8%	13.7%	6.8%	9.1%
HV 20d	46.1%	17.6%	57.8%	17.6%	57.8%
HV 60d	30.8%	17.8%	36.1%	17.8%	36.1%
IV Rank	59.2%	33.6%	100.0%	66.1%	36.8%
IV Percentile	95.7%	81.7%	100.0%	81.7%	93.3%
Term Structure	-1.5%	-5.7%	0.8%	0.4%	-1.7%
VWIV	33.0%	21.7%	41.2%	26.3%	31.9%
Skew 25d	12.3%	3.6%	19.4%	6.8%	10.2%
Skew 10d	27.1%	8.4%	39.0%	13.2%	30.9%
Call IV 25d	30.0%	21.7%	39.9%	21.7%	28.0%
Put IV 25d	42.3%	27.9%	59.3%	28.4%	38.2%
Bid-Ask Spread %	52.87	42.92	68.44	68.44	56.74
Gamma HHI	0.13	0.11	0.16	0.16	0.11
Net GEX	-957.2K	-1.9M	2.6M	2.6M	-1.3M
Net DEX	47.4M	-17.8M	67.8M	-17.8M	30.5M
Net VEX	-454.4K	-513.5K	-378.4K	-513.5K	-490.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.02	5.76	4.78	0.22
Total Volume	1,817.652	378	6,205	1,925	378
Total OI	68,459.391	59,630	75,035	59,630	70,301

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
2011-08-01	$48.28	$48.00	23.8%	6.8%	17.6%	66.1%	26.3%	6.8%	0.4%	2.6M	-17.8M	-513.5K	4.78	68.44	N/A	N/A	333	1,592	32,416	27,214
2011-08-02	$46.87	$48.00	24.3%	7.0%	20.3%	69.0%	21.7%	3.6%	-0.3%	1.4M	852.7K	-488.2K	0.61	67.24	N/A	N/A	885	540	32,588	27,283
2011-08-03	$46.66	$48.00	24.1%	6.9%	20.3%	67.8%	26.4%	6.3%	-0.6%	734.0K	11.4M	-476.7K	1.42	60.98	N/A	N/A	970	1,376	32,418	27,559
2011-08-04	$43.99	$48.00	36.0%	10.3%	27.9%	100.0%	30.7%	7.8%	-4.0%	-683.7K	39.3M	-444.2K	2.02	52.63	N/A	N/A	964	1,952	32,897	28,460
2011-08-05	$43.65	$47.00	37.7%	9.5%	27.8%	100.0%	30.1%	10.3%	-0.5%	-1.0M	47.2M	-443.6K	0.04	55.53	N/A	N/A	5,976	229	32,983	30,238
2011-08-08	$40.13	$46.00	61.0%	13.7%	38.7%	100.0%	37.7%	19.4%	-5.7%	-884.0K	64.4M	-378.4K	0.29	50.08	N/A	N/A	3,865	1,108	35,353	30,359
2011-08-09	$42.27	$46.00	47.9%	11.8%	44.2%	71.8%	34.2%	16.1%	-2.1%	-1.2M	60.1M	-415.7K	0.94	53.10	N/A	N/A	2,206	2,082	35,770	31,180
2011-08-10	$40.09	$46.00	60.7%	13.1%	46.6%	99.4%	41.2%	14.5%	-3.7%	-961.5K	66.6M	-411.9K	0.46	46.31	N/A	N/A	447	205	37,428	32,898
2011-08-11	$42.40	$46.00	41.4%	11.9%	52.0%	57.8%	36.9%	17.9%	-2.8%	-904.4K	54.3M	-464.6K	5.76	47.73	N/A	N/A	383	2,206	37,344	32,961
2011-08-12	$42.37	$46.00	37.5%	10.7%	51.8%	49.4%	33.2%	15.2%	-1.8%	-1.3M	58.6M	-456.4K	0.02	58.00	N/A	N/A	2,790	69	37,317	34,065
2011-08-15	$43.39	$46.00	32.0%	9.2%	52.8%	37.6%	28.0%	13.1%	-0.1%	-1.3M	47.5M	-499.0K	0.23	55.27	N/A	N/A	1,404	317	39,741	33,998
2011-08-16	$42.91	$46.00	31.3%	9.0%	52.4%	36.1%	29.7%	12.6%	0.8%	-1.4M	50.8M	-492.0K	1.40	49.08	N/A	N/A	169	237	40,676	34,137
2011-08-17	$43.20	$46.00	30.1%	8.6%	52.5%	33.6%	28.6%	10.3%	0.6%	-1.4M	45.5M	-499.3K	0.28	51.99	N/A	N/A	351	98	40,756	34,279
2011-08-18	$41.37	$46.00	38.6%	11.1%	53.7%	51.9%	39.7%	11.1%	-2.1%	-1.4M	66.2M	-441.1K	1.28	46.21	N/A	N/A	232	298	40,628	34,186
2011-08-19	$40.74	$46.00	39.1%	11.2%	53.6%	52.9%	38.2%	12.1%	-2.3%	-1.2M	67.8M	-431.1K	0.14	45.97	N/A	N/A	691	100	40,708	34,321
2011-08-22	$40.70	$46.00	41.0%	11.8%	53.6%	57.0%	38.2%	13.9%	-3.2%	-1.5M	63.7M	-417.8K	0.24	45.71	N/A	N/A	604	148	34,237	32,740
2011-08-23	$42.10	$45.00	34.4%	9.9%	55.6%	42.8%	34.6%	15.5%	0.7%	-1.8M	57.7M	-443.8K	0.92	42.92	N/A	N/A	554	512	34,694	32,862
2011-08-24	$41.81	$45.00	35.9%	10.3%	55.5%	46.2%	37.2%	14.8%	-0.9%	-1.7M	59.8M	-439.0K	0.66	49.58	N/A	N/A	412	270	35,161	33,239
2011-08-25	$40.99	$45.00	41.4%	11.9%	55.6%	57.9%	32.0%	15.5%	-2.8%	-1.5M	61.8M	-432.4K	0.68	49.38	N/A	N/A	979	668	35,495	33,459
2011-08-26	$41.60	$45.00	33.8%	9.7%	56.0%	41.5%	34.8%	12.6%	0.8%	-1.8M	62.3M	-438.3K	0.66	50.76	N/A	N/A	258	170	35,998	34,029
2011-08-29	$42.94	$45.00	33.4%	9.6%	57.7%	40.6%	33.5%	10.3%	-1.0%	-1.9M	47.7M	-467.6K	0.63	56.36	N/A	N/A	498	312	36,129	34,052
2011-08-30	$43.00	$45.00	35.1%	10.1%	57.1%	44.3%	34.1%	12.9%	-3.3%	-1.7M	43.6M	-466.5K	0.87	56.02	N/A	N/A	1,055	913	36,186	33,823
2011-08-31	$43.93	$45.00	31.6%	9.1%	57.8%	36.8%	31.9%	10.2%	-1.7%	-1.3M	30.5M	-490.3K	0.22	56.74	N/A	N/A	309	69	36,904	33,397