VWO Options History — April 2013 In April 2013, VWO traded between $41.23 and $43.76. ATM implied volatility averaged 14.7%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.0% (HV 20d: 14.7%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.25.
Notable Days 2013-04-05 : Highest Volume — 56,852 contracts2013-04-15 : Largest IV spike — 14.6% change2013-04-15 : Highest IV Rank — 30.6%2013-04-15 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $42.41 $41.23 $43.76 $42.52 $43.76 Max Pain $42.18 $42.00 $43.00 $43.00 $42.00 ATM IV 14.7% 12.6% 17.6% 13.6% 13.9% Expected Move 4.3% 3.7% 5.0% 3.9% 4.0% HV 20d 14.7% 10.7% 18.4% 12.3% 18.4% HV 60d 12.4% 10.8% 14.2% 10.9% 14.2% IV Rank 16.3% 5.6% 30.6% 10.6% 12.4% IV Percentile 21.7% 4.8% 39.3% 12.3% 19.0% Term Structure 0.6% -1.2% 1.9% 0.6% 0.7% VWIV 15.0% 12.9% 17.8% 13.6% 15.5% Skew 25d 3.9% 2.1% 5.8% 2.1% 2.5% Skew 10d 9.9% 1.8% 14.7% 1.8% 9.4% Call IV 25d 13.6% 10.3% 16.3% 13.1% 13.5% Put IV 25d 17.6% 15.2% 21.7% 15.2% 16.1% Bid-Ask Spread % 42.21 13.22 100.45 14.64 100.45 Gamma HHI 0.43 0.14 0.76 0.69 0.15 Net GEX -14.0M -40.2M 3.7M -26.7M 3.7M Net DEX 112.1M -31.3M 214.1M 145.5M -31.3M Net VEX -399.9K -544.1K -316.9K -513.9K -371.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.25 0.06 37.89 0.06 0.62 Total Volume 3,713.136 136 56,852 4,784 633 Total OI 88,360.318 46,838 109,158 106,131 52,890
Daily Data (22 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 2013-04-01 $42.52 $43.00 13.6% 3.9% 12.3% 10.6% 13.6% 2.1% 0.6% -26.7M 145.5M -513.9K 0.06 14.64 N/A N/A 4,526 258 29,943 76,188 2013-04-02 $42.56 $43.00 13.0% 3.7% 12.0% 7.9% 12.9% 4.9% 0.9% -29.4M 142.5M -544.1K 0.95 15.37 N/A N/A 137 130 32,293 76,382 2013-04-03 $42.03 $43.00 14.5% 4.1% 11.8% 15.1% 15.0% 2.8% 0.7% -23.4M 184.2M -488.3K 0.73 14.16 N/A N/A 137 100 32,400 76,407 2013-04-04 $42.02 $43.00 14.2% 4.1% 11.5% 13.9% 14.0% 3.0% 1.9% -23.3M 191.6M -466.0K 1.01 15.71 N/A N/A 369 372 32,490 76,460 2013-04-05 $41.96 $42.00 13.6% 4.5% 11.4% 10.7% 15.0% 5.0% 0.5% -23.1M 200.2M -435.8K 37.89 13.22 N/A N/A 1,462 55,390 32,490 76,668 2013-04-08 $42.07 $42.00 13.9% 4.4% 10.7% 12.4% 16.3% 4.7% 0.6% -22.4M 178.8M -407.8K 1.61 19.19 N/A N/A 102 164 31,905 70,098 2013-04-09 $42.51 $42.00 12.6% 3.8% 11.7% 5.6% 13.3% 4.0% 1.3% -32.8M 142.5M -442.2K 0.07 16.20 N/A N/A 1,616 121 31,984 70,158 2013-04-10 $42.88 $42.00 12.7% 3.9% 11.8% 6.1% 15.8% 4.0% 0.9% -37.1M 97.8M -467.1K 2.01 37.23 N/A N/A 285 572 33,416 70,256 2013-04-11 $42.87 $42.00 13.5% 3.9% 11.4% 10.2% 13.5% 3.3% 1.1% -40.2M 100.8M -457.0K 2.11 44.55 N/A N/A 83 175 33,084 70,154 2013-04-12 $42.34 $42.00 15.4% 4.4% 11.9% 19.5% 13.9% 3.6% 0.4% -30.8M 163.1M -405.0K 0.19 50.15 N/A N/A 1,366 264 33,126 70,252 2013-04-15 $41.23 $42.00 17.6% 5.0% 14.7% 30.6% 15.7% 5.0% -1.2% -6.9M 214.1M -321.4K 0.33 48.09 N/A N/A 868 285 34,354 70,460 2013-04-16 $42.14 $42.00 15.5% 4.5% 16.6% 20.3% 15.7% 4.3% 0.1% -20.4M 189.7M -351.6K 0.85 64.20 N/A N/A 489 416 34,873 70,538 2013-04-17 $41.53 $42.00 17.0% 4.9% 17.2% 27.6% 17.6% 5.8% 0.4% -5.1M 213.1M -317.3K 0.20 61.04 N/A N/A 2,089 422 35,172 70,252 2013-04-18 $41.62 $42.00 17.4% 5.0% 17.0% 29.7% 17.8% 5.4% 0.1% -2.3M 211.2M -324.8K 1.32 55.92 N/A N/A 277 367 35,731 70,389 2013-04-19 $42.22 $42.00 16.3% 4.7% 17.6% 23.9% 16.5% 4.1% 0.8% -1.7M 193.2M -330.4K 4.33 58.38 N/A N/A 168 728 35,890 70,587 2013-04-22 $42.33 $42.00 15.9% 4.6% 17.6% 22.1% 15.4% 4.4% 0.6% 1.3M -5.5M -316.9K 15.21 39.24 N/A N/A 241 3,666 27,852 18,986 2013-04-23 $42.54 $42.00 14.5% 4.2% 17.7% 15.4% 14.5% 3.6% 0.2% 1.4M -4.6M -364.1K 0.09 28.40 N/A N/A 1,027 88 28,035 22,580 2013-04-24 $42.81 $42.00 14.1% 4.0% 17.4% 13.3% 14.8% 3.3% 1.0% 2.1M -11.2M -367.5K 0.85 32.34 N/A N/A 485 411 28,949 22,658 2013-04-25 $43.17 $42.00 14.4% 4.1% 17.6% 14.8% 14.3% 3.9% 0.3% 2.7M -18.4M -371.4K 0.45 52.58 N/A N/A 597 269 29,301 22,934 2013-04-26 $42.77 $42.00 14.7% 4.2% 17.9% 16.0% 14.5% 2.7% 0.4% 2.2M -10.9M -367.4K 0.33 72.25 N/A N/A 102 34 29,703 22,926 2013-04-29 $43.22 $42.00 15.4% 4.4% 18.0% 19.7% 13.9% 4.4% 0.1% 3.0M -19.8M -367.5K 0.28 75.36 N/A N/A 310 88 29,754 22,959 2013-04-30 $43.76 $42.00 13.9% 4.0% 18.4% 12.4% 15.5% 2.5% 0.7% 3.7M -31.3M -371.2K 0.62 100.45 N/A N/A 390 243 29,861 23,029
« Mar 2013 | All History | May 2013 » Home VWO History April 2013