VWO Options History — May 2013 In May 2013, VWO traded between $41.54 and $44.79. ATM implied volatility averaged 15.0%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.5% (HV 20d: 14.5%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 18.76.
Notable Days 2013-05-24 : Highest Volume — 162,278 contracts2013-05-09 : Largest IV spike — 19.1% change2013-05-31 : Highest IV Rank — 32.9%2013-05-31 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $43.64 $41.54 $44.79 $43.30 $41.54 Max Pain $42.36 $42.00 $43.00 $42.00 $43.00 ATM IV 15.0% 11.8% 18.1% 16.2% 18.1% Expected Move 4.5% 3.8% 5.2% 4.6% 5.2% HV 20d 14.5% 11.4% 18.7% 18.2% 12.4% HV 60d 14.2% 13.9% 14.6% 14.1% 14.6% IV Rank 17.7% 1.9% 32.9% 23.6% 32.9% IV Percentile 28.6% 1.6% 54.4% 33.3% 54.4% Term Structure 0.5% -0.9% 1.4% -0.1% -0.9% VWIV 16.5% 14.1% 22.1% 16.6% 19.9% Skew 25d 3.3% 2.2% 6.6% 4.9% 5.0% Skew 10d 8.9% 1.7% 12.8% 11.9% 2.7% Call IV 25d 14.5% 10.0% 17.1% 13.2% 17.1% Put IV 25d 17.8% 15.1% 22.2% 18.1% 22.2% Bid-Ask Spread % 93.02 85.56 100.36 98.99 91.66 Gamma HHI 0.31 0.15 0.87 0.15 0.87 Net GEX -6.7M -58.4M 10.3M 3.2M -57.1M Net DEX 31.7M -52.6M 415.9M -22.3M 415.9M Net VEX -478.6K -1.0M -352.6K -368.1K -965.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 18.76 0.26 369.50 1.27 1.38 Total Volume 8,619.273 119 162,278 177 4,114 Total OI 81,634.955 44,333 211,206 53,181 211,206
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 2013-05-01 $43.30 $42.00 16.2% 4.6% 18.2% 23.6% 16.6% 4.9% -0.1% 3.2M -22.3M -368.1K 1.27 98.99 N/A N/A 78 99 29,992 23,189 2013-05-02 $43.70 $42.00 14.5% 4.2% 18.4% 15.2% 14.4% 6.6% 0.8% 3.7M -28.7M -370.0K 0.49 96.54 N/A N/A 80 39 30,027 23,258 2013-05-03 $44.00 $42.00 13.3% 3.8% 18.5% 9.4% 14.1% 2.4% 1.0% 4.3M -38.0M -358.3K 0.59 100.36 N/A N/A 223 132 30,089 23,290 2013-05-06 $44.05 $42.00 12.9% 4.2% 18.5% 7.3% 15.0% 3.0% 0.6% 4.3M -38.1M -352.6K 0.55 86.01 N/A N/A 449 248 30,193 23,329 2013-05-07 $44.40 $42.00 12.5% 4.1% 18.3% 5.2% 14.1% 2.2% 0.9% 4.6M -45.4M -354.3K 0.26 89.19 N/A N/A 415 107 30,535 23,549 2013-05-08 $44.79 $42.00 11.8% 4.0% 18.4% 1.9% 14.2% 3.2% 0.6% 5.0M -52.6M -353.9K 6.06 91.89 N/A N/A 259 1,570 30,840 23,615 2013-05-09 $44.44 $42.00 14.1% 4.3% 18.7% 13.1% 14.5% 2.9% 0.7% 4.7M -46.3M -367.8K 6.00 91.47 N/A N/A 101 606 30,972 24,435 2013-05-10 $44.27 $42.00 13.8% 4.5% 18.1% 11.8% 18.4% 3.3% 0.4% 4.5M -42.1M -366.8K 4.71 93.25 N/A N/A 146 687 31,030 24,921 2013-05-13 $43.87 $42.00 15.6% 4.6% 15.2% 20.9% 22.1% 3.1% 0.8% 4.4M -34.2M -365.4K 8.76 91.78 N/A N/A 151 1,322 31,116 25,392 2013-05-14 $44.08 $42.00 14.8% 4.6% 13.5% 16.9% 16.8% 2.9% 0.2% 4.6M -38.3M -360.6K 0.69 95.95 N/A N/A 173 119 31,136 25,338 2013-05-15 $44.05 $42.00 14.0% 4.4% 12.0% 13.0% 15.8% 3.1% 0.4% 4.5M -37.3M -357.3K 2.01 96.75 N/A N/A 164 329 31,248 25,431 2013-05-16 $43.87 $42.00 15.4% 4.4% 12.3% 19.7% 18.6% 2.5% 0.2% 4.9M -34.8M -354.6K 0.79 98.77 N/A N/A 3,985 3,150 31,266 25,395 2013-05-17 $44.02 $42.00 14.5% 4.2% 11.5% 15.2% 14.9% 3.0% 1.1% 10.3M -37.3M -359.9K 0.87 95.34 N/A N/A 526 457 31,699 25,366 2013-05-20 $44.12 $42.00 14.4% 4.1% 11.5% 14.7% 14.7% 3.0% 0.9% 2.2M -15.5M -353.2K 1.50 85.56 N/A N/A 1,534 2,306 23,218 21,115 2013-05-21 $44.09 $43.00 14.4% 4.1% 11.5% 14.6% 15.1% 2.8% 1.4% 2.1M -14.7M -374.7K 0.61 92.43 N/A N/A 148 90 24,629 23,268 2013-05-22 $43.59 $43.00 15.8% 4.5% 12.3% 21.7% 16.6% 2.4% 0.1% 1.4M -7.3M -371.1K 0.97 91.80 N/A N/A 212 206 24,705 23,350 2013-05-23 $43.27 $43.00 16.3% 4.7% 12.3% 24.3% 18.2% 3.2% 0.5% 913.5K 169.5K -368.8K 2.19 90.07 N/A N/A 165 361 24,855 23,492 2013-05-24 $42.84 $43.00 16.5% 4.7% 12.3% 25.1% 18.3% 3.7% 0.6% 423.0K 5.8M -360.0K 369.50 92.22 N/A N/A 438 161,840 24,803 23,429 2013-05-28 $43.05 $43.00 16.1% 4.6% 11.9% 23.2% 16.8% 4.0% 0.5% -46.4M 217.1M -1.0M 2.35 92.13 N/A N/A 362 851 25,124 184,777 2013-05-29 $42.45 $43.00 17.8% 5.1% 11.8% 31.3% 17.0% 2.8% 0.3% -54.9M 289.6M -1.0M 0.75 92.15 N/A N/A 448 338 25,227 185,201 2013-05-30 $42.35 $43.00 17.2% 4.9% 11.4% 28.3% 17.2% 2.7% 0.4% -58.4M 300.9M -1.0M 0.36 92.09 N/A N/A 439 157 25,537 185,382 2013-05-31 $41.54 $43.00 18.1% 5.2% 12.4% 32.9% 19.9% 5.0% -0.9% -57.1M 415.9M -965.5K 1.38 91.66 N/A N/A 1,728 2,386 25,752 185,454
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