VWO Options History — July 2013

In July 2013, VWO traded between $37.72 and $40.41. ATM implied volatility averaged 21.8%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 6.9% (HV 20d: 28.7%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.01.

Notable Days

  • 2013-07-16: Highest Volume — 16,326 contracts
  • 2013-07-02: Largest IV spike — 23.8% change
  • 2013-07-02: Highest IV Rank — 69.3%
  • 2013-07-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.21$37.72$40.41$38.86$39.06
Max Pain$38.77$38.00$40.00$40.00$39.00
ATM IV21.8%18.1%26.6%21.4%21.1%
Expected Move6.3%5.2%7.6%6.1%6.1%
HV 20d28.7%21.6%34.9%31.5%21.6%
HV 60d23.3%22.1%23.7%22.5%23.5%
IV Rank47.7%30.8%69.3%45.9%44.5%
IV Percentile83.5%56.3%98.8%84.9%84.1%
Term Structure0.1%-0.8%1.2%0.6%-0.3%
VWIV22.9%19.0%28.3%22.2%19.5%
Skew 25d5.2%3.5%7.5%5.1%4.2%
Skew 10d14.1%7.6%21.3%11.9%10.5%
Call IV 25d20.1%16.6%23.6%19.9%19.7%
Put IV 25d25.3%20.1%30.8%25.0%23.9%
Bid-Ask Spread %77.3967.4889.4071.5289.40
Gamma HHI0.590.130.930.870.13
Net GEX-32.0M-122.5M3.5M-36.8M1.6M
Net DEX255.3M-32.2M521.0M397.9M18.6M
Net VEX-900.5K-1.1M-684.9K-945.6K-861.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.049.361.300.11
Total Volume4,450.68229516,3265,8704,279
Total OI196,009.591118,483270,888214,411122,932

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$38.86$40.0021.4%6.1%31.5%45.9%22.2%5.1%0.6%-36.8M397.9M-945.6K1.3071.52N/AN/A2,5563,31441,861172,550
2013-07-02$38.20$40.0026.6%7.6%31.8%69.3%25.4%7.2%-0.8%-26.7M454.5M-849.3K1.8676.29N/AN/A3,3706,27444,082175,770
2013-07-03$37.90$40.0025.6%7.3%31.2%64.8%27.3%6.6%0.1%-22.3M481.9M-807.2K1.0677.11N/AN/A2,0252,14946,284177,695
2013-07-05$37.72$38.0024.1%7.2%30.8%58.3%28.3%7.5%0.1%-17.9M510.0M-749.0K8.3067.50N/AN/A2412,00148,049179,040
2013-07-08$37.78$38.0023.5%6.9%30.9%55.3%24.8%7.0%-0.5%-16.7M518.2M-684.9K0.9567.48N/AN/A36234548,205178,417
2013-07-09$38.23$38.0022.4%6.5%31.1%50.6%20.9%6.5%0.3%-23.7M501.5M-704.4K0.5070.24N/AN/A3,8401,93448,402178,401
2013-07-10$37.86$38.0022.3%6.6%30.6%50.0%22.8%6.2%-0.3%-14.9M521.0M-688.8K2.1971.15N/AN/A12527452,051179,260
2013-07-11$39.62$38.0021.5%6.2%34.9%46.2%23.0%6.5%0.1%-65.1M332.0M-979.2K0.1172.91N/AN/A11,7481,31252,123179,463
2013-07-12$39.20$38.0023.4%6.7%34.0%54.9%26.0%5.6%-0.2%-50.4M378.3M-1.0M6.2669.88N/AN/A4102,56863,105180,242
2013-07-15$39.71$38.0022.1%6.3%34.0%48.9%22.9%4.9%-0.1%-75.3M292.0M-1.0M1.4078.33N/AN/A1,5982,23163,360182,450
2013-07-16$39.78$38.0023.0%6.6%33.9%53.0%27.4%6.1%-0.0%-86.6M294.0M-1.0M1.0281.32N/AN/A8,0718,25564,365183,693
2013-07-17$40.11$39.0022.8%6.5%34.1%52.0%22.9%5.0%-0.6%-100.6M191.8M-1.1M0.5480.52N/AN/A5,7683,12672,055191,630
2013-07-18$39.72$39.0023.2%6.6%32.1%53.9%23.2%4.9%-0.4%-122.5M333.0M-1.1M0.0478.84N/AN/A5,58119875,198193,691
2013-07-19$39.55$39.0021.2%6.1%27.4%44.7%22.4%3.8%0.9%-67.1M481.5M-961.4K0.9980.51N/AN/A2,1902,17777,084193,804
2013-07-22$39.97$39.0019.9%5.7%27.0%39.1%19.0%4.2%0.1%2.6M-12.9M-918.6K0.4782.56N/AN/A3,4061,59867,12851,355
2013-07-23$40.41$39.0019.6%5.6%22.8%37.3%20.7%4.3%0.4%3.4M-32.2M-948.6K1.3083.36N/AN/A36046768,46852,522
2013-07-24$39.92$39.0019.2%5.5%23.0%35.8%21.9%4.3%0.4%2.9M-14.1M-932.3K2.7580.47N/AN/A29180068,70652,655
2013-07-25$40.19$39.0018.9%5.4%22.1%34.3%19.1%3.6%1.2%3.5M-22.6M-928.1K0.8481.91N/AN/A19816768,76652,526
2013-07-26$40.06$39.0018.1%5.2%21.7%30.8%19.3%3.5%1.2%3.3M-17.1M-916.5K2.2879.80N/AN/A9020568,82852,653
2013-07-29$39.56$39.0019.4%5.6%22.2%36.7%22.2%3.5%-0.0%2.6M-50.9K-869.9K0.6581.04N/AN/A38325068,86152,813
2013-07-30$39.29$39.0020.9%6.0%22.4%43.4%22.2%4.6%-0.2%2.2M8.9M-856.6K9.3680.34N/AN/A1331,24568,85452,814
2013-07-31$39.06$39.0021.1%6.1%21.6%44.5%19.5%4.2%-0.3%1.6M18.6M-861.6K0.1189.40N/AN/A3,85942068,89554,037