VWO Options History — January 2013

In January 2013, VWO traded between $44.23 and $45.47. ATM implied volatility averaged 13.7%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.4% (HV 20d: 12.3%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2013-01-18: Highest Volume — 12,164 contracts
  • 2013-01-10: Largest IV spike — 15.4% change
  • 2013-01-02: Highest IV Rank — 22.0%
  • 2013-01-04: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.87$44.23$45.47$45.47$44.56
Max Pain$43.67$43.00$44.00$44.00$44.00
ATM IV13.7%11.8%15.9%15.9%13.2%
Expected Move4.0%3.4%4.6%4.5%3.8%
HV 20d12.3%9.6%13.2%11.0%9.6%
HV 60d13.0%12.0%13.6%13.6%12.0%
IV Rank11.1%2.0%22.0%22.0%8.8%
IV Percentile2.0%0.8%4.4%1.6%2.8%
Term Structure1.6%0.4%2.3%0.4%2.0%
VWIV14.4%11.6%17.3%16.2%13.1%
Skew 25d3.3%2.1%6.3%6.3%2.6%
Skew 10d9.3%6.0%13.5%13.2%6.9%
Call IV 25d12.9%10.7%14.3%10.7%13.0%
Put IV 25d16.1%14.1%18.5%16.9%15.6%
Bid-Ask Spread %57.009.8491.699.8488.80
Gamma HHI0.280.180.400.310.20
Net GEX8.1M4.2M14.2M7.5M5.4M
Net DEX-74.1M-107.9M-31.5M-99.9M-40.1M
Net VEX-362.0K-403.5K-331.8K-374.6K-353.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.047.172.480.70
Total Volume1,816.61933012,1642,167358
Total OI64,024.52447,99374,76868,92553,093

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$45.47$44.0015.9%4.5%11.0%22.0%16.2%6.3%0.4%7.5M-99.9M-374.6K2.489.84N/AN/A6221,54539,91429,011
2013-01-03$45.20$44.0014.4%4.1%11.5%14.7%15.1%2.8%2.1%8.4M-94.4M-376.6K0.219.88N/AN/A90319040,25829,150
2013-01-04$45.28$43.0013.7%4.6%11.2%11.2%14.9%4.0%0.8%8.6M-96.2M-378.7K0.1236.55N/AN/A1,58719340,86629,264
2013-01-07$44.89$43.0013.4%4.4%11.8%9.7%17.3%3.6%1.4%10.1M-89.6M-383.9K5.6366.58N/AN/A6033,39442,29329,347
2013-01-08$44.52$43.0013.2%4.4%12.4%8.8%15.1%4.6%1.4%11.1M-75.7M-403.5K0.4061.52N/AN/A32112842,36930,959
2013-01-09$44.78$43.0013.2%4.3%12.4%8.8%14.4%3.8%1.9%11.0M-86.2M-391.3K0.1352.28N/AN/A4886142,50331,006
2013-01-10$45.18$43.0015.2%4.4%12.6%18.8%15.3%3.0%1.5%10.3M-100.9M-381.8K0.8045.03N/AN/A78562742,66431,024
2013-01-11$44.84$43.0014.6%4.2%13.0%15.8%14.8%3.4%1.8%11.5M-91.0M-389.1K0.1350.51N/AN/A5917643,28531,140
2013-01-14$45.02$43.0014.6%4.2%12.8%15.6%16.3%3.5%1.9%10.8M-101.0M-371.2K1.5244.06N/AN/A13119943,59830,712
2013-01-15$44.85$44.0014.5%4.2%12.9%15.4%15.1%3.4%1.5%12.4M-94.4M-372.0K0.8540.76N/AN/A28324043,68530,731
2013-01-16$44.77$44.0014.0%4.0%12.9%12.8%14.1%3.1%2.0%14.2M-94.4M-361.9K2.6034.69N/AN/A11930943,83030,938
2013-01-17$45.08$44.0014.5%4.2%13.0%15.3%14.5%2.9%1.8%8.5M-107.9M-349.9K0.0424.48N/AN/A2,6239343,23231,010
2013-01-18$45.13$44.0013.3%3.8%12.9%9.0%13.1%2.1%1.9%8.6M-107.2M-339.1K0.0726.00N/AN/A11,37778742,26530,988
2013-01-22$45.09$44.0013.3%3.8%12.8%9.0%14.5%3.0%1.3%4.8M-49.2M-335.3K0.5679.13N/AN/A1,20767627,59020,403
2013-01-23$44.80$44.0011.8%3.4%12.4%2.0%11.6%2.8%2.3%4.8M-42.8M-340.7K0.3084.46N/AN/A77023127,50620,826
2013-01-24$44.67$44.0012.4%3.6%12.4%4.9%12.6%3.1%1.7%4.6M-40.3M-345.4K4.7087.88N/AN/A15170928,17621,028
2013-01-25$44.56$44.0012.2%3.5%12.5%3.7%15.0%2.8%1.6%4.8M-36.8M-340.7K1.5891.69N/AN/A21634228,22721,192
2013-01-28$44.23$44.0013.8%4.0%12.6%11.8%12.4%2.7%1.5%4.2M-31.5M-331.8K7.1787.82N/AN/A2201,57828,35021,112
2013-01-29$44.75$44.0013.3%3.8%13.2%9.3%13.5%2.7%0.9%4.9M-40.7M-342.5K0.7688.66N/AN/A27821128,47221,940
2013-01-30$44.52$44.0012.7%3.6%12.3%6.3%13.1%2.6%1.4%4.5M-37.0M-339.2K0.0886.44N/AN/A2,72020728,56121,997
2013-01-31$44.56$44.0013.2%3.8%9.6%8.8%13.1%2.6%2.0%5.4M-40.1M-353.2K0.7088.80N/AN/A21114731,08722,006