VWO Options History — September 2013

In September 2013, VWO traded between $37.94 and $42.97. ATM implied volatility averaged 20.6%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 2.4% (HV 20d: 23.0%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2013-09-23: Highest Volume — 5,772 contracts
  • 2013-09-04: Largest IV drop — 12.0% change
  • 2013-09-03: Highest IV Rank — 57.8%
  • 2013-09-03: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.76$37.94$42.97$37.94$40.14
Max Pain$40.75$39.00$43.00$39.00$40.00
ATM IV20.6%18.1%24.0%24.0%22.0%
Expected Move5.9%5.2%6.9%6.9%6.3%
HV 20d23.0%20.7%25.0%21.0%23.9%
HV 60d23.5%22.1%25.3%25.0%22.3%
IV Rank41.9%30.8%57.8%57.8%48.7%
IV Percentile77.2%56.0%94.8%94.8%89.3%
Term Structure0.0%-0.8%1.1%-0.0%-0.8%
VWIV21.7%17.9%23.6%22.3%23.0%
Skew 25d5.3%3.7%6.9%5.4%5.5%
Skew 10d14.1%8.6%22.9%12.5%14.3%
Call IV 25d19.0%16.9%22.1%22.1%20.0%
Put IV 25d24.3%21.8%27.5%27.5%25.5%
Bid-Ask Spread %54.748.7583.6574.1153.41
Gamma HHI0.180.130.280.130.16
Net GEX2.5M-901.8K4.9M-901.8K2.0M
Net DEX-22.1M-114.0M75.8M75.8M1.2M
Net VEX-840.2K-884.6K-710.6K-710.6K-834.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.173.750.840.29
Total Volume2,394.85025,7725021,063
Total OI120,222.398,519134,278121,630104,783

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$37.94$39.0024.0%6.9%21.0%57.8%22.3%5.4%-0.0%-901.8K75.8M-710.6K0.8474.11N/AN/A27322967,30054,330
2013-09-04$38.53$39.0021.1%6.1%21.5%44.6%22.6%6.1%0.6%-625.2K59.7M-746.2K0.5783.65N/AN/A87650067,49954,426
2013-09-05$39.05$0.0022.3%6.4%21.6%50.0%0.0%5.9%-0.1%-183.8K40.3M-784.1K0.938.75N/AN/A1,1171,03967,95154,661
2013-09-06$39.58$0.0021.8%6.3%20.7%47.7%22.2%5.0%-0.2%568.1K18.6M-821.0K0.3329.23N/AN/A1,45948468,14855,455
2013-09-09$40.74$40.0021.6%6.2%23.0%46.8%23.0%4.7%0.1%2.2M-28.3M-868.0K0.4339.55N/AN/A2,30498168,53555,761
2013-09-10$41.06$40.0021.9%6.3%23.0%47.9%21.4%5.1%-0.3%2.9M-40.6M-869.3K1.7657.93N/AN/A9261,63369,44556,309
2013-09-11$41.12$40.0021.5%6.2%23.0%46.1%20.8%6.5%-0.8%2.9M-42.3M-865.5K1.6574.09N/AN/A29749069,72057,483
2013-09-12$40.58$0.0020.6%5.9%23.6%41.9%0.0%5.7%-0.3%1.9M-19.8M-840.5K3.2113.89N/AN/A20465469,80957,857
2013-09-13$40.88$0.0019.6%5.7%23.2%37.5%19.4%6.9%-0.7%2.7M-29.8M-844.1K3.7531.44N/AN/A2991,12069,92558,277
2013-09-16$41.33$40.0020.1%5.7%23.0%40.0%22.4%5.8%0.6%3.4M-54.6M-844.0K1.6375.24N/AN/A1,6462,68569,90758,810
2013-09-17$41.30$40.0020.3%5.8%21.4%40.7%23.3%6.7%-0.0%3.3M-49.5M-846.5K1.3859.64N/AN/A1,2681,74670,12060,289
2013-09-18$42.97$40.0018.3%5.2%24.9%31.3%23.6%4.7%1.0%4.9M-114.0M-858.6K1.1455.19N/AN/A2,3982,73770,70260,842
2013-09-19$42.80$40.0018.1%5.2%22.9%30.8%21.6%4.8%0.2%4.6M-110.9M-859.0K0.1754.61N/AN/A3,05451271,58461,929
2013-09-20$41.78$40.0019.1%5.4%25.0%35.0%21.2%3.7%0.3%4.8M-65.2M-853.5K0.5910.75N/AN/A3,4192,01071,90862,370
2013-09-23$41.65$43.0019.4%5.6%25.0%36.5%22.1%4.8%0.1%3.3M-34.4M-859.3K2.3478.77N/AN/A1,7274,04554,74343,776
2013-09-24$41.23$43.0020.2%5.8%24.9%40.0%22.6%4.7%-0.7%3.1M-20.4M-884.6K0.1871.78N/AN/A1,62728555,91247,382
2013-09-25$40.99$43.0019.5%5.6%22.6%36.8%17.9%4.8%0.3%3.1M-12.3M-883.2K0.4174.09N/AN/A1,03942457,23547,541
2013-09-26$41.10$43.0019.3%5.5%22.5%36.1%0.0%4.3%1.1%3.3M-15.9M-881.4K0.7873.35N/AN/A32725558,12847,702
2013-09-27$40.52$42.0020.6%5.9%23.5%42.1%20.1%4.8%-0.2%2.6M965.2K-850.5K1.1275.32N/AN/A35139358,37047,522
2013-09-30$40.14$40.0022.0%6.3%23.9%48.7%23.0%5.5%-0.8%2.0M1.2M-834.5K0.2953.41N/AN/A82224158,12246,661