VWO Options History — June 2013

In June 2013, VWO traded between $36.50 and $42.20. ATM implied volatility averaged 22.7%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.4% (HV 20d: 21.3%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 33.33.

Notable Days

  • 2013-06-06: Highest Volume — 402,267 contracts
  • 2013-06-20: Largest IV spike — 37.7% change
  • 2013-06-20: Highest IV Rank — 100.0%
  • 2013-06-24: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.51$36.50$42.20$42.20$38.80
Max Pain$41.75$40.00$43.00$42.00$40.00
ATM IV22.7%18.1%33.2%18.5%22.5%
Expected Move6.5%5.2%9.5%5.3%6.5%
HV 20d21.3%13.6%32.5%13.6%32.3%
HV 60d18.0%15.0%22.5%15.0%22.5%
IV Rank59.9%33.1%100.0%34.9%50.8%
IV Percentile83.0%55.6%100.0%59.1%90.1%
Term Structure-0.7%-3.0%0.5%-0.5%0.2%
VWIV22.2%18.1%29.8%20.5%21.3%
Skew 25d5.6%3.4%9.5%4.7%5.2%
Skew 10d12.0%-1.3%23.1%11.4%15.1%
Call IV 25d20.8%17.2%28.9%17.2%21.2%
Put IV 25d26.4%21.2%36.4%22.0%26.4%
Bid-Ask Spread %79.2370.3491.5390.9672.47
Gamma HHI0.850.760.910.860.88
Net GEX-46.1M-67.2M-18.9M-59.5M-42.4M
Net DEX547.2M326.6M760.0M326.6M498.6M
Net VEX-1.1M-1.6M-579.0K-949.6K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio33.330.13499.961.4182.22
Total Volume30,785.7681402,26786650,099
Total OI259,623.95213,868311,498213,868250,981

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$42.20$42.0018.5%5.3%13.6%34.9%20.5%4.7%-0.5%-59.5M326.6M-949.6K1.4190.96N/AN/A36050626,877186,991
2013-06-04$41.72$42.0018.1%5.2%14.0%33.1%21.4%3.4%-0.8%-63.8M401.9M-921.1K0.8090.95N/AN/A1,24399527,107187,246
2013-06-05$40.87$42.0020.5%5.9%14.7%44.9%18.7%3.8%-1.4%-51.8M510.8M-789.2K0.3391.53N/AN/A1,63354428,215186,802
2013-06-06$41.29$42.0021.2%6.1%14.9%48.8%20.1%4.3%-0.6%-59.8M467.4M-836.3K499.9690.77N/AN/A803401,46429,691187,043
2013-06-07$41.11$43.0019.1%5.6%14.8%42.4%20.8%4.8%0.0%-59.7M442.2M-1.6M2.4478.14N/AN/A19848329,388281,542
2013-06-10$40.53$43.0018.2%5.3%15.3%40.6%18.1%5.0%0.5%-67.2M526.8M-1.6M0.5179.73N/AN/A1,32467729,458281,902
2013-06-11$39.73$43.0020.9%5.7%16.2%56.3%20.0%5.1%-0.2%-63.0M655.1M-1.5M53.5774.31N/AN/A96651,74529,293282,205
2013-06-12$39.46$43.0024.4%6.4%15.8%77.2%21.8%5.1%-0.2%-47.1M562.8M-1.2M0.7776.21N/AN/A1,18991229,833233,261
2013-06-13$40.37$43.0021.5%6.2%18.7%59.8%23.0%5.3%-1.0%-47.4M466.6M-1.3M6.2676.34N/AN/A4983,11730,288233,314
2013-06-14$39.79$43.0021.2%6.1%19.0%58.1%20.5%5.9%-0.5%-51.5M534.8M-1.3M0.2380.21N/AN/A2,92467730,622236,439
2013-06-17$40.07$42.0021.7%6.2%19.3%61.2%22.1%6.6%-0.5%-52.1M502.0M-1.2M0.5478.15N/AN/A1,21165232,572236,233
2013-06-18$40.16$42.0021.6%6.2%19.3%60.4%20.6%4.5%-0.3%-52.8M495.6M-1.2M1.2079.65N/AN/A1,1411,37133,578236,788
2013-06-19$38.88$42.0021.0%6.0%21.5%58.5%21.0%5.7%0.5%-46.0M662.4M-1.0M1.0083.80N/AN/A1,6531,64634,421237,909
2013-06-20$37.19$42.0028.9%8.3%25.4%100.0%29.8%9.5%-3.0%-23.0M760.0M-650.7K1.6973.54N/AN/A6,01710,16035,004237,699
2013-06-21$37.85$41.0025.5%7.3%27.0%80.7%26.4%6.7%-1.8%-27.3M744.1M-754.0K1.6171.68N/AN/A2,5264,07839,652243,531
2013-06-24$36.50$40.0033.2%9.5%29.0%100.0%23.2%7.5%-2.3%-18.9M679.5M-628.4K10.5570.34N/AN/A3,54337,38128,884222,405
2013-06-25$37.20$40.0028.0%8.0%30.2%75.9%28.4%7.6%-1.0%-20.4M617.6M-579.0K0.7574.98N/AN/A9,2596,94931,300203,588
2013-06-26$37.99$40.0024.4%7.0%31.7%59.6%23.3%5.6%0.0%-30.9M575.9M-960.1K0.1375.39N/AN/A4,07651139,686210,119
2013-06-27$38.57$40.0023.4%6.7%32.5%54.7%22.9%5.3%-0.5%-37.8M512.9M-1.1M0.6575.51N/AN/A71846541,377209,235
2013-06-28$38.80$40.0022.5%6.5%32.3%50.8%21.3%5.2%0.2%-42.4M498.6M-1.1M82.2272.47N/AN/A60249,49741,563209,418