VWO Options History — August 2012

In August 2012, VWO traded between $39.58 and $41.60. ATM implied volatility averaged 19.7%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.5% (HV 20d: 19.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.02.

Notable Days

2012-08-06: Highest Volume — 6,798 contracts
2012-08-16: Largest IV spike — 23.1% change
2012-08-30: Highest IV Rank — 13.2%
2012-08-01: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.89	$39.58	$41.60	$40.14	$40.11
Max Pain	$41.35	$40.00	$42.00	$40.00	$41.00
ATM IV	19.7%	15.8%	23.8%	23.8%	21.3%
Expected Move	6.0%	5.3%	6.8%	6.8%	6.1%
HV 20d	19.2%	9.8%	23.7%	21.9%	9.8%
HV 60d	23.1%	21.1%	24.7%	24.1%	21.1%
IV Rank	6.6%	0.0%	13.2%	11.1%	12.1%
IV Percentile	7.3%	0.0%	30.6%	30.6%	17.1%
Term Structure	1.5%	0.2%	2.7%	0.6%	1.7%
VWIV	20.4%	14.7%	24.2%	24.2%	19.3%
Skew 25d	4.0%	3.0%	7.1%	7.1%	3.3%
Skew 10d	8.9%	-2.1%	17.1%	1.8%	4.5%
Call IV 25d	19.1%	16.6%	22.2%	22.2%	20.0%
Put IV 25d	23.2%	20.2%	29.3%	29.3%	23.2%
Bid-Ask Spread %	85.89	73.01	104.75	104.75	92.92
Gamma HHI	0.25	0.20	0.30	0.28	0.23
Net GEX	1.7M	-794.8K	3.1M	1.8M	135.0K
Net DEX	14.9M	-4.8M	55.4M	15.1M	46.0M
Net VEX	-428.2K	-503.2K	-355.3K	-503.2K	-368.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.02	0.06	19.38	0.88	0.29
Total Volume	1,611.478	187	6,798	415	502
Total OI	86,825.522	79,293	92,271	89,054	89,058

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
2012-08-01	$40.14	$40.00	23.8%	6.8%	21.9%	11.1%	24.2%	7.1%	0.6%	1.8M	15.1M	-503.2K	0.88	104.75	N/A	N/A	221	194	48,453	40,601
2012-08-02	$39.58	$40.00	22.7%	6.5%	22.2%	8.5%	24.0%	4.6%	1.3%	-549.7K	40.5M	-427.4K	2.90	97.10	N/A	N/A	289	839	38,594	40,699
2012-08-03	$40.76	$40.00	18.6%	5.3%	23.7%	0.0%	18.8%	3.7%	2.7%	889.8K	12.6M	-449.1K	0.39	98.55	N/A	N/A	511	201	38,800	41,225
2012-08-06	$41.01	$41.00	19.8%	6.3%	23.6%	2.7%	21.7%	5.5%	0.4%	1.5M	5.0M	-442.4K	1.25	79.36	N/A	N/A	3,022	3,776	39,266	41,351
2012-08-07	$41.09	$42.00	20.5%	6.4%	23.2%	4.6%	21.8%	4.5%	0.2%	1.5M	4.6M	-476.5K	1.53	73.01	N/A	N/A	1,385	2,117	41,701	44,485
2012-08-08	$41.21	$42.00	19.5%	6.2%	23.2%	2.0%	20.3%	4.5%	1.4%	1.8M	4.4M	-474.1K	0.06	77.25	N/A	N/A	611	36	42,482	46,027
2012-08-09	$41.41	$42.00	18.3%	6.2%	22.2%	0.0%	20.5%	4.2%	1.4%	2.2M	-1.1M	-470.3K	10.37	74.87	N/A	N/A	432	4,479	42,482	46,023
2012-08-10	$41.60	$42.00	16.5%	5.9%	21.5%	0.0%	20.6%	4.0%	1.0%	1.8M	-4.8M	-471.7K	0.12	82.81	N/A	N/A	843	105	42,772	49,499
2012-08-13	$41.26	$42.00	17.5%	6.1%	21.8%	2.3%	22.2%	3.5%	1.5%	2.1M	3.8M	-449.1K	0.55	85.82	N/A	N/A	260	143	43,518	46,501
2012-08-14	$41.27	$42.00	17.9%	6.1%	21.5%	3.2%	20.8%	3.8%	1.1%	2.2M	2.3M	-445.8K	13.01	85.67	N/A	N/A	135	1,757	43,523	46,565
2012-08-15	$41.16	$42.00	15.8%	5.9%	21.5%	0.0%	19.8%	4.2%	1.5%	2.0M	6.0M	-434.0K	0.26	81.17	N/A	N/A	148	39	43,575	47,791
2012-08-16	$41.58	$42.00	19.4%	5.6%	21.5%	8.0%	20.1%	3.2%	1.7%	2.5M	-4.4M	-435.5K	0.19	84.23	N/A	N/A	432	81	43,471	46,050
2012-08-17	$41.35	$42.00	19.2%	5.5%	20.7%	7.5%	18.3%	4.0%	2.2%	2.7M	-2.2M	-415.9K	0.06	79.78	N/A	N/A	3,315	201	43,576	46,113
2012-08-20	$41.35	$42.00	18.8%	5.4%	18.1%	6.6%	19.2%	3.5%	2.6%	2.6M	6.2M	-414.9K	0.27	83.09	N/A	N/A	2,482	664	41,263	40,071
2012-08-21	$41.26	$42.00	20.2%	5.8%	18.0%	9.8%	19.2%	3.7%	1.7%	2.8M	4.6M	-420.7K	0.72	79.61	N/A	N/A	789	567	43,395	40,580
2012-08-22	$41.29	$41.00	19.7%	5.6%	18.0%	8.6%	21.8%	3.7%	1.7%	3.1M	5.6M	-419.2K	10.32	88.23	N/A	N/A	122	1,259	44,138	41,048
2012-08-23	$40.92	$41.00	20.0%	5.7%	17.3%	9.2%	19.5%	3.5%	1.4%	2.2M	18.4M	-416.5K	0.48	87.33	N/A	N/A	130	63	44,153	42,072
2012-08-24	$40.95	$41.00	19.5%	5.6%	14.1%	8.2%	18.8%	3.0%	2.2%	2.3M	16.9M	-411.2K	0.07	87.02	N/A	N/A	421	30	44,261	41,618
2012-08-27	$40.54	$41.00	20.0%	5.7%	14.4%	9.2%	14.7%	3.5%	1.5%	1.5M	29.5M	-381.4K	19.38	86.33	N/A	N/A	119	2,306	44,422	41,645
2012-08-28	$40.47	$41.00	21.3%	6.1%	14.4%	12.1%	21.5%	4.6%	1.4%	1.1M	36.0M	-387.5K	5.48	93.55	N/A	N/A	125	685	44,432	43,082
2012-08-29	$40.27	$41.00	21.1%	6.1%	14.5%	11.8%	21.1%	3.6%	2.5%	484.0K	41.7M	-377.8K	0.34	85.04	N/A	N/A	336	114	44,487	43,652
2012-08-30	$39.78	$41.00	21.8%	6.2%	14.2%	13.2%	21.7%	3.9%	1.5%	-794.8K	55.4M	-355.3K	0.44	87.90	N/A	N/A	542	236	44,795	43,672
2012-08-31	$40.11	$41.00	21.3%	6.1%	9.8%	12.1%	19.3%	3.3%	1.7%	135.0K	46.0M	-368.2K	0.29	92.92	N/A	N/A	389	113	45,247	43,811