VWO Options History — August 2013

In August 2013, VWO traded between $37.19 and $40.18. ATM implied volatility averaged 20.6%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.2% (HV 20d: 19.4%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2013-08-21: Highest Volume — 6,518 contracts
  • 2013-08-15: Largest IV spike — 25.7% change
  • 2013-08-27: Highest IV Rank — 61.1%
  • 2013-08-27: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.82$37.19$40.18$39.78$37.72
Max Pain$39.32$39.00$40.00$39.00$39.00
ATM IV20.6%16.2%24.7%18.9%23.2%
Expected Move6.0%4.8%7.1%5.4%6.7%
HV 20d19.4%16.5%22.7%22.1%20.9%
HV 60d24.5%23.7%25.3%23.8%25.0%
IV Rank42.0%22.0%61.1%34.5%54.2%
IV Percentile77.4%40.1%97.2%64.7%93.7%
Term Structure0.1%-1.0%1.3%0.5%-0.1%
VWIV20.5%13.4%24.4%20.3%23.3%
Skew 25d4.9%3.0%5.7%4.0%5.1%
Skew 10d11.4%7.2%16.7%13.9%9.0%
Call IV 25d19.0%15.9%23.0%18.4%21.2%
Put IV 25d23.9%19.0%27.8%22.4%26.3%
Bid-Ask Spread %76.6169.7287.0182.1871.06
Gamma HHI0.150.120.330.130.13
Net GEX1.8M-1.1M10.0M2.9M-1.1M
Net DEX31.2M-34.4M86.1M-6.8M82.3M
Net VEX-805.3K-925.7K-682.3K-890.3K-696.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.193.281.610.46
Total Volume2,028.6825266,5181,199847
Total OI123,692.545112,262136,771122,290120,970

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$39.78$39.0018.9%5.4%22.1%34.5%20.3%4.0%0.5%2.9M-6.8M-890.3K1.6182.18N/AN/A45974068,10354,187
2013-08-02$39.80$39.0016.9%4.8%22.0%24.9%18.4%3.0%1.3%3.3M-6.5M-876.6K0.3187.01N/AN/A99431368,31854,814
2013-08-05$39.50$39.0018.8%5.5%22.3%33.7%17.9%4.2%0.4%2.8M6.4M-849.5K0.9381.59N/AN/A1,3391,24669,25655,043
2013-08-06$39.01$39.0019.4%5.6%22.5%36.6%19.5%4.9%0.2%1.6M20.5M-840.5K0.6381.48N/AN/A1,41289070,32755,994
2013-08-07$38.56$39.0020.4%5.7%22.7%41.3%19.6%5.6%-0.9%668.9K33.2M-825.9K0.4379.37N/AN/A2,26897671,43456,409
2013-08-08$39.42$39.0021.3%6.0%17.5%45.3%20.5%4.9%-0.1%3.0M9.8M-875.8K2.4779.07N/AN/A7631,88372,94956,755
2013-08-09$39.58$39.0018.9%5.5%17.1%34.4%21.3%4.5%-0.1%3.5M2.4M-884.4K2.7179.20N/AN/A27273772,94758,418
2013-08-12$39.90$39.0018.6%5.6%16.7%33.0%13.4%4.7%-0.0%4.9M-9.3M-883.9K0.1978.83N/AN/A3,38264272,93958,979
2013-08-13$40.06$40.0018.6%5.6%16.8%32.7%19.1%5.0%-0.1%6.1M-19.1M-903.1K3.2877.30N/AN/A12340375,39459,313
2013-08-14$40.18$40.0016.2%5.7%16.5%22.0%20.5%5.4%-0.2%7.3M-34.4M-925.7K0.1976.33N/AN/A4,00075974,83759,574
2013-08-15$39.71$40.0020.4%5.8%16.7%41.0%23.4%5.4%-0.3%10.0M-4.1M-870.3K1.7673.64N/AN/A54696176,81859,953
2013-08-16$39.28$40.0020.5%5.9%17.1%41.7%20.2%5.7%0.3%224.7K19.5M-840.5K1.1673.26N/AN/A56665773,87660,415
2013-08-19$38.51$40.0020.4%5.9%17.9%41.3%20.9%5.2%0.6%-111.2K48.9M-760.3K1.3576.60N/AN/A51769963,92448,338
2013-08-20$38.46$40.0021.8%6.2%17.3%47.4%21.4%5.4%0.3%-279.1K50.7M-758.2K1.1782.92N/AN/A25029264,34648,940
2013-08-21$37.61$40.0022.1%6.3%18.4%49.2%21.1%5.7%0.3%-828.0K73.9M-706.2K0.9671.70N/AN/A3,3333,18564,37049,934
2013-08-22$38.22$39.0021.7%6.2%19.3%47.1%20.5%5.7%-0.2%-513.7K60.8M-758.0K0.8972.52N/AN/A43338764,69450,795
2013-08-23$38.67$39.0019.8%5.7%19.9%38.2%19.9%4.5%0.7%-321.7K50.0M-775.1K1.2969.72N/AN/A23430264,88751,093
2013-08-26$38.21$39.0021.8%6.2%19.9%47.5%20.8%5.2%-0.1%-623.6K63.0M-744.0K0.6371.65N/AN/A83152665,08651,301
2013-08-27$37.22$39.0024.7%7.1%21.7%61.1%24.4%4.8%-1.0%-908.6K78.2M-682.3K1.3372.77N/AN/A1,0351,37865,80551,476
2013-08-28$37.19$39.0024.3%7.0%21.6%59.0%23.7%4.5%-0.1%-1.0M80.9M-684.7K2.0774.79N/AN/A5941,22866,29952,368
2013-08-29$37.41$39.0024.1%6.9%20.5%58.1%21.2%4.5%0.2%-1.1M86.1M-685.4K2.2772.35N/AN/A6821,54766,56152,997
2013-08-30$37.72$39.0023.2%6.7%20.9%54.2%23.3%5.1%-0.1%-1.1M82.3M-696.1K0.4671.06N/AN/A58026766,82654,144