VWO Options History — October 2013

In October 2013, VWO traded between $40.74 and $42.91. ATM implied volatility averaged 19.7%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.2% (HV 20d: 19.9%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 6.86.

Notable Days

2013-10-23: Highest Volume — 110,940 contracts
2013-10-10: Largest IV drop — 12.0% change
2013-10-08: Highest IV Rank — 64.1%
2013-10-08: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.87	$40.74	$42.91	$40.93	$41.87
Max Pain	$41.71	$40.00	$43.00	$40.00	$42.00
ATM IV	19.7%	15.7%	25.4%	20.8%	18.0%
Expected Move	5.7%	4.6%	7.3%	6.0%	5.1%
HV 20d	19.9%	15.4%	24.6%	24.6%	15.8%
HV 60d	21.0%	20.4%	22.6%	22.6%	20.4%
IV Rank	38.1%	19.6%	64.1%	43.1%	30.2%
IV Percentile	66.5%	36.1%	97.2%	79.0%	52.8%
Term Structure	-0.0%	-2.6%	1.2%	-0.3%	0.8%
VWIV	19.4%	16.1%	25.1%	20.1%	18.3%
Skew 25d	4.6%	3.1%	6.8%	5.2%	3.2%
Skew 10d	12.3%	4.5%	20.9%	15.7%	4.5%
Call IV 25d	17.9%	15.2%	23.0%	18.5%	16.7%
Put IV 25d	22.6%	18.8%	28.7%	23.7%	19.9%
Bid-Ask Spread %	64.48	22.71	84.49	69.22	71.76
Gamma HHI	0.30	0.13	0.59	0.19	0.59
Net GEX	-1.6M	-22.5M	7.5M	3.5M	-22.5M
Net DEX	2.3M	-67.8M	167.9M	-23.2M	167.9M
Net VEX	-1.0M	-1.6M	-842.6K	-857.6K	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.86	0.19	84.34	0.27	0.73
Total Volume	6,790.957	295	110,940	606	784
Total OI	139,500.174	105,270	228,009	105,270	228,009

Daily Data (23 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
2013-10-01	$40.93	$40.00	20.8%	6.0%	24.6%	43.1%	20.1%	5.2%	-0.3%	3.5M	-23.2M	-857.6K	0.27	69.22	N/A	N/A	476	130	58,729	46,541
2013-10-02	$41.06	$40.00	21.3%	6.1%	24.2%	45.2%	20.9%	5.1%	-1.1%	3.8M	-28.7M	-851.4K	0.32	66.80	N/A	N/A	281	90	59,020	46,634
2013-10-03	$40.95	$40.00	21.9%	6.3%	24.0%	48.3%	22.5%	4.6%	-0.7%	3.7M	-27.1M	-853.4K	0.70	72.20	N/A	N/A	477	334	59,218	46,698
2013-10-04	$41.50	$41.00	21.0%	6.0%	23.9%	43.8%	21.2%	3.7%	0.1%	4.9M	-42.9M	-872.4K	0.98	72.75	N/A	N/A	566	554	59,476	46,938
2013-10-07	$41.13	$41.00	22.9%	6.6%	22.1%	52.8%	20.9%	5.4%	-0.9%	4.2M	-31.1M	-847.4K	1.71	73.63	N/A	N/A	322	552	59,667	46,954
2013-10-08	$40.74	$41.00	25.4%	7.3%	22.2%	64.1%	25.1%	5.7%	-2.6%	3.3M	-21.6M	-849.1K	1.55	71.23	N/A	N/A	287	445	59,859	47,339
2013-10-09	$41.06	$41.00	24.0%	6.9%	22.4%	57.7%	0.0%	6.7%	-0.7%	4.0M	-19.3M	-846.6K	0.75	68.55	N/A	N/A	328	247	60,035	47,613
2013-10-10	$41.98	$0.00	21.1%	6.1%	23.1%	44.5%	19.7%	6.8%	-0.4%	6.0M	-51.3M	-861.5K	1.46	22.71	N/A	N/A	541	788	60,229	47,726
2013-10-11	$42.15	$43.00	20.0%	5.8%	23.0%	39.4%	0.0%	6.3%	-0.3%	6.7M	-58.3M	-856.0K	1.51	42.07	N/A	N/A	244	369	60,598	47,664
2013-10-14	$42.42	$41.00	20.1%	5.8%	22.8%	39.9%	20.5%	5.9%	1.0%	6.6M	-67.0M	-842.6K	2.20	81.07	N/A	N/A	191	420	60,342	47,413
2013-10-15	$41.91	$42.00	21.0%	6.0%	23.3%	44.0%	21.5%	6.3%	0.5%	6.3M	-49.8M	-842.7K	19.44	80.30	N/A	N/A	248	4,822	60,350	47,389
2013-10-16	$42.21	$41.00	19.3%	5.5%	18.5%	36.2%	19.2%	5.1%	1.2%	7.5M	-57.0M	-854.9K	4.60	82.76	N/A	N/A	1,201	5,520	60,479	51,773
2013-10-17	$42.50	$42.00	18.1%	5.2%	18.7%	30.9%	18.8%	4.9%	0.2%	6.5M	-59.7M	-875.0K	11.30	84.49	N/A	N/A	212	2,396	60,650	56,538
2013-10-18	$42.50	$42.00	17.5%	5.0%	16.4%	27.7%	17.7%	3.6%	0.6%	4.2M	-60.8M	-875.2K	1.31	82.79	N/A	N/A	2,488	3,258	60,754	58,689
2013-10-21	$42.52	$43.00	15.7%	4.6%	16.3%	19.6%	16.4%	3.6%	0.4%	3.0M	-39.4M	-871.2K	0.19	27.45	N/A	N/A	2,763	521	56,305	55,598
2013-10-22	$42.91	$43.00	17.3%	5.0%	16.0%	26.7%	16.1%	3.3%	-0.1%	3.9M	-67.8M	-890.0K	1.32	38.50	N/A	N/A	350	461	58,899	56,033
2013-10-23	$41.97	$43.00	18.2%	5.2%	18.0%	31.1%	18.5%	3.2%	0.3%	2.2M	-27.7M	-893.7K	84.34	52.40	N/A	N/A	1,300	109,640	59,058	56,298
2013-10-24	$41.88	$43.00	18.0%	5.2%	18.0%	30.1%	18.2%	3.6%	0.2%	-19.2M	142.6M	-1.5M	1.06	69.14	N/A	N/A	1,913	2,029	59,300	159,713
2013-10-25	$42.12	$43.00	17.9%	5.1%	17.2%	29.7%	17.2%	3.9%	-0.3%	-19.0M	128.9M	-1.6M	0.65	68.51	N/A	N/A	751	489	61,020	161,295
2013-10-28	$42.24	$0.00	18.3%	5.2%	16.6%	31.7%	16.8%	3.5%	0.6%	-18.4M	116.3M	-1.5M	0.57	53.40	N/A	N/A	636	360	60,562	160,970
2013-10-29	$42.36	$42.00	17.7%	5.1%	15.4%	28.9%	18.0%	3.1%	0.8%	-17.6M	101.8M	-1.5M	19.65	58.92	N/A	N/A	296	5,817	61,141	161,150
2013-10-30	$42.15	$42.00	18.3%	5.2%	15.6%	31.6%	18.7%	3.9%	0.5%	-21.0M	129.1M	-1.5M	1.14	72.30	N/A	N/A	138	157	61,286	166,552
2013-10-31	$41.87	$42.00	18.0%	5.1%	15.8%	30.2%	18.3%	3.2%	0.8%	-22.5M	167.9M	-1.5M	0.73	71.76	N/A	N/A	454	330	61,348	166,661