VWO Options History — February 2013

In February 2013, VWO traded between $43.04 and $44.86. ATM implied volatility averaged 14.0%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.8% (HV 20d: 10.2%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 5.08.

Notable Days

  • 2013-02-22: Highest Volume — 62,246 contracts
  • 2013-02-25: Largest IV spike — 35.1% change
  • 2013-02-25: Highest IV Rank — 34.9%
  • 2013-02-25: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.07$43.04$44.86$44.86$43.51
Max Pain$43.89$43.00$44.00$44.00$43.00
ATM IV14.0%12.1%18.5%12.6%14.0%
Expected Move4.1%3.5%5.3%4.2%4.0%
HV 20d10.2%9.3%11.7%9.8%11.3%
HV 60d11.2%10.6%12.3%12.0%11.1%
IV Rank12.8%3.3%34.9%6.0%12.6%
IV Percentile8.1%1.2%32.5%2.0%10.7%
Term Structure0.4%-2.5%1.9%0.8%-0.4%
VWIV14.2%11.2%18.1%14.5%14.1%
Skew 25d3.2%-2.2%5.1%3.8%-2.2%
Skew 10d6.2%-4.1%13.8%11.9%-2.1%
Call IV 25d13.0%10.8%17.1%13.1%13.8%
Put IV 25d16.2%11.6%19.7%16.9%11.6%
Bid-Ask Spread %44.115.5189.0482.935.51
Gamma HHI0.250.160.470.210.44
Net GEX1.7M-12.0M6.5M6.2M-10.9M
Net DEX-2.4M-48.3M110.2M-48.3M87.0M
Net VEX-394.0K-661.4K-293.8K-353.1K-656.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.080.0748.380.080.58
Total Volume4,566.0539162,246524367
Total OI67,280.15850,342113,39953,248113,399

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$44.86$44.0012.6%4.2%9.8%6.0%14.5%3.8%0.8%6.2M-48.3M-353.1K0.0882.93N/AN/A4844031,10822,140
2013-02-04$44.28$44.0015.6%4.6%10.7%20.8%16.2%4.4%0.0%5.2M-34.1M-333.2K3.9779.59N/AN/A18473131,47522,142
2013-02-05$44.41$44.0013.7%4.2%10.4%11.3%17.1%4.5%1.3%5.7M-35.3M-335.7K48.3878.77N/AN/A1245,99931,51921,958
2013-02-06$44.30$44.0014.5%4.2%10.0%15.0%14.4%4.8%1.1%4.6M-26.0M-346.5K0.1382.82N/AN/A1,19115931,52525,524
2013-02-07$43.94$44.0014.8%4.2%10.1%16.5%16.6%4.3%0.6%3.5M-18.1M-345.3K0.4685.25N/AN/A54525131,51825,383
2013-02-08$44.29$44.0014.3%4.1%10.0%14.2%14.2%5.1%0.9%4.7M-24.4M-337.7K1.3083.08N/AN/A15019531,29425,572
2013-02-11$44.27$44.0013.8%3.9%9.7%11.5%13.4%4.2%1.2%4.9M-25.4M-327.0K0.9184.21N/AN/A44340431,35425,687
2013-02-12$44.34$44.0013.6%3.9%9.6%10.9%12.7%3.1%0.4%5.7M-29.0M-324.8K1.4288.37N/AN/A7710931,64725,932
2013-02-13$44.52$44.0012.2%3.5%9.7%3.9%12.1%3.4%0.7%6.5M-32.8M-316.0K0.0789.04N/AN/A5753931,51425,744
2013-02-14$44.48$44.0013.2%3.8%9.6%8.9%12.0%3.3%0.6%5.7M-32.6M-318.7K0.4410.28N/AN/A632831,71525,703
2013-02-15$44.41$44.0012.6%3.6%9.3%6.0%12.4%3.3%1.1%5.0M-30.8M-310.2K0.556.99N/AN/A36720331,71825,685
2013-02-19$44.43$44.0012.1%3.5%9.3%3.3%11.2%2.9%1.9%5.4M-29.9M-293.8K0.128.24N/AN/A2,52730728,11022,232
2013-02-20$44.02$44.0012.7%3.7%9.7%6.5%12.6%2.4%1.1%4.9M-23.6M-306.6K0.158.47N/AN/A4566930,56322,533
2013-02-21$43.52$44.0013.9%4.0%10.2%12.1%13.9%2.0%-0.1%3.4M-10.0M-299.2K0.0912.79N/AN/A4,45941130,88222,599
2013-02-22$43.69$44.0013.7%3.9%10.4%11.2%12.9%2.6%-0.1%4.6M-15.7M-304.8K36.958.88N/AN/A1,64060,60631,73422,933
2013-02-25$43.04$44.0018.5%5.3%11.5%34.9%18.1%2.6%-2.5%-12.0M110.2M-661.4K0.269.51N/AN/A1,16330633,15377,326
2013-02-26$43.33$44.0016.6%4.8%11.7%25.8%16.2%3.6%-0.8%-11.9M100.4M-657.3K0.206.43N/AN/A1,43828334,26277,552
2013-02-27$43.72$43.0013.6%3.9%11.3%10.8%14.6%2.9%0.5%-8.9M73.9M-657.6K0.406.86N/AN/A25810435,38077,808
2013-02-28$43.51$43.0014.0%4.0%11.3%12.6%14.1%-2.2%-0.4%-10.9M87.0M-656.6K0.585.51N/AN/A23313435,53577,864