VWO Options History — January 2012

In January 2012, VWO traded between $38.57 and $42.63. ATM implied volatility averaged 24.4%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.1% (HV 20d: 24.3%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.62.

Notable Days

2012-01-23: Highest Volume — 5,064 contracts
2012-01-12: Largest IV spike — 26.0% change
2012-01-03: Highest IV Rank — 29.3%
2012-01-03: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.73	$38.57	$42.63	$39.33	$42.33
Max Pain	$37.90	$37.00	$40.00	$40.00	$39.00
ATM IV	24.4%	21.0%	28.2%	28.2%	22.8%
Expected Move	7.2%	6.0%	8.1%	8.1%	6.5%
HV 20d	24.3%	17.1%	31.6%	31.6%	18.6%
HV 60d	35.5%	31.2%	38.6%	38.6%	31.2%
IV Rank	19.6%	11.1%	29.3%	29.3%	15.1%
IV Percentile	48.6%	28.2%	60.7%	60.7%	40.9%
Term Structure	2.3%	0.8%	4.7%	2.2%	3.1%
VWIV	25.1%	21.0%	32.1%	26.7%	23.3%
Skew 25d	5.4%	3.6%	7.3%	4.4%	3.6%
Skew 10d	14.3%	6.0%	20.5%	15.6%	6.0%
Call IV 25d	22.7%	19.0%	26.1%	26.1%	21.6%
Put IV 25d	28.1%	24.4%	31.8%	30.5%	25.2%
Bid-Ask Spread %	26.08	10.13	45.86	13.40	19.88
Gamma HHI	0.25	0.15	0.34	0.20	0.34
Net GEX	2.1M	-410.1K	4.1M	1.2M	3.0M
Net DEX	9.8M	-22.2M	46.6M	33.3M	-17.7M
Net VEX	-341.7K	-382.7K	-308.2K	-354.4K	-351.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.01	9.46	0.12	0.10
Total Volume	1,546.35	165	5,064	1,621	2,074
Total OI	62,613.2	50,155	73,571	64,219	54,821

Daily Data (20 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
2012-01-03	$39.33	$40.00	28.2%	8.1%	31.6%	29.3%	26.7%	4.4%	2.2%	1.2M	33.3M	-354.4K	0.12	13.40	N/A	N/A	1,447	174	35,831	28,388
2012-01-04	$39.22	$40.00	25.9%	7.4%	30.9%	24.4%	27.7%	4.4%	4.7%	1.5M	37.9M	-335.8K	0.98	10.13	N/A	N/A	124	122	36,510	28,392
2012-01-05	$39.03	$40.00	24.5%	7.0%	30.6%	21.5%	27.4%	5.0%	4.3%	1.7M	41.8M	-323.7K	0.49	14.90	N/A	N/A	440	215	36,587	28,497
2012-01-06	$38.57	$37.00	24.5%	7.8%	30.6%	21.5%	27.6%	7.1%	0.9%	1.6M	46.6M	-308.2K	0.98	45.86	N/A	N/A	553	542	36,915	28,606
2012-01-09	$38.88	$37.00	24.3%	8.0%	28.4%	21.1%	25.7%	6.5%	1.3%	1.9M	43.0M	-314.6K	8.82	36.30	N/A	N/A	112	988	37,401	29,011
2012-01-10	$39.75	$37.00	22.7%	7.6%	29.0%	17.6%	26.0%	6.3%	1.9%	2.3M	30.3M	-319.5K	9.13	39.68	N/A	N/A	300	2,739	37,504	28,187
2012-01-11	$39.76	$37.00	21.9%	8.0%	25.8%	15.9%	32.1%	5.5%	1.5%	2.4M	30.0M	-318.9K	0.13	38.82	N/A	N/A	1,704	226	37,547	28,215
2012-01-12	$39.96	$37.00	27.6%	7.9%	25.5%	28.0%	25.6%	4.9%	0.8%	2.6M	26.1M	-324.5K	0.01	41.12	N/A	N/A	2,274	20	36,756	28,395
2012-01-13	$39.62	$37.00	27.9%	8.0%	25.1%	26.4%	25.7%	6.1%	1.0%	3.3M	30.6M	-323.9K	0.05	35.50	N/A	N/A	3,582	168	38,954	28,380
2012-01-17	$40.27	$37.00	27.8%	8.0%	25.6%	26.2%	26.8%	7.3%	1.6%	4.1M	13.4M	-342.7K	9.46	29.25	N/A	N/A	317	2,999	42,350	28,530
2012-01-18	$41.26	$37.00	25.3%	7.2%	26.7%	20.5%	24.1%	5.1%	2.9%	1.9M	63.9K	-377.5K	0.19	28.56	N/A	N/A	698	133	42,621	30,950
2012-01-19	$41.65	$37.00	23.3%	6.7%	24.3%	16.2%	23.5%	6.0%	2.9%	856.0K	-14.5M	-348.2K	0.13	26.79	N/A	N/A	327	44	43,234	28,132
2012-01-20	$41.70	$37.00	21.0%	6.0%	20.9%	11.1%	21.0%	4.7%	3.3%	-410.1K	-14.6M	-342.4K	0.15	24.13	N/A	N/A	280	41	43,355	28,170
2012-01-23	$41.92	$37.00	23.5%	6.7%	19.2%	16.6%	23.1%	5.6%	1.5%	2.0M	-5.7M	-342.5K	0.06	18.45	N/A	N/A	4,775	289	28,994	21,161
2012-01-24	$42.00	$38.00	23.4%	6.7%	19.1%	16.4%	23.9%	6.9%	2.0%	2.7M	-15.6M	-382.7K	0.15	16.96	N/A	N/A	144	21	34,038	21,374
2012-01-25	$42.49	$38.00	22.6%	6.5%	19.3%	14.6%	22.5%	5.0%	2.7%	2.4M	-17.0M	-353.6K	0.33	16.96	N/A	N/A	397	132	31,044	21,385
2012-01-26	$42.32	$38.00	24.7%	7.1%	19.0%	19.3%	23.0%	5.3%	1.1%	2.4M	-16.7M	-354.7K	0.06	18.19	N/A	N/A	1,813	104	31,418	21,496
2012-01-27	$42.63	$39.00	22.0%	6.3%	17.1%	13.3%	21.7%	4.3%	2.9%	2.7M	-22.2M	-366.6K	0.10	23.22	N/A	N/A	384	39	32,793	21,583
2012-01-30	$41.99	$39.00	23.8%	6.8%	18.6%	17.4%	24.5%	3.6%	3.1%	2.9M	-12.2M	-349.1K	0.90	23.50	N/A	N/A	98	88	33,127	21,612
2012-01-31	$42.33	$39.00	22.8%	6.5%	18.6%	15.1%	23.3%	3.6%	3.1%	3.0M	-17.7M	-351.4K	0.10	19.88	N/A	N/A	1,892	182	33,137	21,684