VWO Options History — March 2013

In March 2013, VWO traded between $42.24 and $44.42. ATM implied volatility averaged 13.4%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.3% (HV 20d: 12.1%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2013-03-11: Highest Volume — 6,830 contracts
  • 2013-03-11: Largest IV spike — 19.4% change
  • 2013-03-19: Highest IV Rank — 20.3%
  • 2013-03-19: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.20$42.24$44.42$43.57$42.90
Max Pain$43.55$43.00$44.00$43.00$43.00
ATM IV13.4%11.7%15.5%13.3%13.0%
Expected Move3.9%3.4%4.4%3.8%3.7%
HV 20d12.1%11.2%13.2%11.3%12.0%
HV 60d11.6%11.1%12.1%11.1%11.7%
IV Rank9.9%1.3%20.3%9.2%7.9%
IV Percentile8.9%0.4%20.2%6.7%7.9%
Term Structure0.9%0.2%2.2%0.5%1.0%
VWIV13.1%11.5%14.1%13.8%12.9%
Skew 25d3.7%2.3%7.3%3.2%2.5%
Skew 10d6.9%1.0%12.1%1.0%6.2%
Call IV 25d12.2%7.5%13.6%13.5%11.7%
Put IV 25d15.9%14.2%18.3%16.6%14.2%
Bid-Ask Spread %13.086.1922.086.1910.09
Gamma HHI0.540.360.700.430.69
Net GEX-17.1M-27.6M-6.3M-10.3M-26.8M
Net DEX106.1M21.3M170.2M83.7M114.4M
Net VEX-576.8K-643.9K-517.2K-643.9K-561.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.046.220.070.44
Total Volume1,729.051546,830161484
Total OI109,915.395,391119,639113,672105,772

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$43.57$43.0013.3%3.8%11.3%9.2%13.8%3.2%0.5%-10.3M83.7M-643.9K0.076.19N/AN/A1511035,69077,982
2013-03-04$43.19$44.0015.4%4.3%11.2%19.9%14.1%4.3%0.9%-12.7M110.5M-612.8K6.2215.89N/AN/A4032,50835,72577,992
2013-03-05$43.68$44.0013.2%3.9%11.3%8.6%13.7%3.6%0.7%-11.1M78.1M-623.6K0.2422.08N/AN/A2706536,03979,397
2013-03-06$43.91$44.0012.8%3.9%11.5%6.9%13.5%3.2%0.7%-8.9M61.5M-616.4K0.1818.64N/AN/A1302436,27679,405
2013-03-07$44.02$44.0012.7%3.8%11.5%6.2%13.3%2.3%0.8%-9.0M52.6M-606.1K0.0413.79N/AN/A4361836,34179,413
2013-03-08$44.42$44.0011.7%3.7%11.6%1.3%12.4%3.3%1.1%-6.3M21.3M-566.6K1.6415.11N/AN/A35357936,19079,416
2013-03-11$44.22$44.0014.0%3.6%11.3%12.5%12.8%3.0%0.9%-7.9M35.8M-560.6K0.5316.87N/AN/A4,4612,36936,49979,851
2013-03-12$43.77$44.0013.9%3.6%11.9%12.1%12.8%3.3%0.8%-11.0M68.6M-601.4K1.0610.33N/AN/A48551638,26580,598
2013-03-13$43.35$44.0012.1%3.9%12.3%3.2%12.5%3.2%1.2%-16.7M102.3M-586.7K0.3718.87N/AN/A2,06575838,71180,928
2013-03-14$43.57$44.0011.7%3.4%12.4%1.4%12.4%3.3%1.0%-13.8M84.8M-583.1K0.7617.63N/AN/A66450436,44480,911
2013-03-15$43.21$44.0012.6%3.6%12.6%5.8%11.5%3.0%2.2%-22.5M106.3M-577.8K3.7613.47N/AN/A5512,07436,27081,118
2013-03-18$42.73$44.0013.0%3.7%13.1%7.7%13.0%3.6%1.3%-22.9M144.1M-544.4K0.3311.07N/AN/A2,69488321,90973,482
2013-03-19$42.40$43.0015.5%4.4%13.2%20.3%13.7%4.9%0.3%-21.1M163.2M-550.6K0.538.51N/AN/A2,3801,25924,42074,213
2013-03-20$42.65$43.0013.6%3.9%13.2%10.8%13.2%4.4%1.1%-22.3M151.6M-558.2K0.759.03N/AN/A54841225,91675,011
2013-03-21$42.26$43.0015.4%4.4%13.0%19.8%14.1%4.1%0.3%-20.9M165.0M-547.3K0.7310.12N/AN/A1,13883526,27975,400
2013-03-22$42.33$43.0015.3%4.4%12.9%19.2%11.5%4.6%0.2%-21.8M159.3M-555.7K0.6314.30N/AN/A55334626,98375,960
2013-03-25$42.24$43.0014.3%4.1%11.9%14.4%14.0%3.3%0.9%-22.9M170.2M-517.2K0.0812.89N/AN/A2,27118626,98275,931
2013-03-26$42.73$43.0012.6%3.6%12.5%5.6%13.8%3.4%1.2%-24.9M129.6M-562.1K0.279.96N/AN/A56715129,13575,889
2013-03-27$42.88$43.0012.4%3.6%12.0%5.0%12.6%7.3%1.6%-27.6M118.5M-559.9K2.086.83N/AN/A15632429,57875,985
2013-03-28$42.90$43.0013.0%3.7%12.0%7.9%12.9%2.5%1.0%-26.8M114.4M-561.8K0.4410.09N/AN/A33714729,65876,114