VWO Options History — November 2013

In November 2013, VWO traded between $40.10 and $42.12. ATM implied volatility averaged 19.3%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.6% (HV 20d: 15.7%). Max pain ranged from $32.00 to $42.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2013-11-12: Highest Volume — 78,670 contracts
  • 2013-11-07: Largest IV spike — 9.6% change
  • 2013-11-20: Highest IV Rank — 45.3%
  • 2013-11-14: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.14$40.10$42.12$41.85$41.48
Max Pain$41.14$32.00$42.50$42.00$42.00
ATM IV19.3%17.5%21.3%17.5%19.0%
Expected Move5.1%3.2%6.8%5.0%3.6%
HV 20d15.7%14.1%17.1%15.1%16.5%
HV 60d19.7%18.9%20.7%20.0%18.9%
IV Rank36.0%27.8%45.3%27.8%34.7%
IV Percentile65.6%48.8%82.5%48.8%63.1%
Term Structure0.3%-1.0%2.1%0.1%0.1%
VWIV20.2%12.1%27.6%18.3%27.6%
Skew 25d4.3%2.4%5.6%4.2%4.5%
Skew 10d9.4%-3.1%17.2%11.0%8.1%
Call IV 25d17.7%16.3%19.4%16.6%17.4%
Put IV 25d22.0%19.6%24.1%20.8%21.9%
Bid-Ask Spread %29.776.5878.7774.208.75
Gamma HHI0.550.460.640.590.48
Net GEX-24.7M-28.6M-17.2M-23.1M-26.4M
Net DEX289.3M140.7M472.2M170.3M280.0M
Net VEX-1.5M-1.8M-1.2M-1.5M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.057.390.560.91
Total Volume7,954.1585378,6702,396853
Total OI285,598.2227,949334,357228,594334,357

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$41.85$42.0017.5%5.0%15.1%27.8%0.0%4.2%0.1%-23.1M170.3M-1.5M0.5674.20N/AN/A1,53186561,671166,923
2013-11-04$42.12$42.5017.6%5.1%14.8%28.4%18.3%4.1%0.3%-24.1M140.7M-1.5M0.1246.88N/AN/A1,39316761,082166,867
2013-11-05$41.28$41.5018.6%5.3%16.2%33.1%19.2%3.3%2.1%-25.3M221.7M-1.5M1.9555.58N/AN/A30258962,300166,878
2013-11-06$41.43$41.5018.4%5.3%16.1%32.1%0.0%4.3%1.9%-25.5M202.2M-1.5M6.0359.22N/AN/A3031,82762,406167,277
2013-11-07$40.71$41.5020.2%5.8%15.1%40.1%20.9%3.9%0.4%-24.2M271.4M-1.4M0.4078.77N/AN/A1,83872762,462166,578
2013-11-08$40.57$41.5018.9%5.4%15.0%34.5%18.1%5.0%0.1%-26.4M294.6M-1.4M7.3969.52N/AN/A2631,94462,196166,857
2013-11-11$40.38$0.0018.6%3.2%14.7%32.9%0.0%3.8%1.2%-26.0M314.1M-1.3M0.2651.72N/AN/A1,52939561,939167,589
2013-11-12$40.10$0.0019.5%6.6%14.3%36.9%26.4%4.2%0.7%-25.6M355.8M-1.2M1.0111.46N/AN/A39,18439,48663,248166,176
2013-11-13$40.26$32.0018.1%6.5%14.1%30.4%21.9%4.1%1.6%-25.5M472.2M-1.4M0.128.91N/AN/A5,961696102,354205,346
2013-11-14$40.92$40.0017.7%6.8%15.3%28.7%0.0%3.6%0.6%-28.6M389.9M-1.6M2.4014.72N/AN/A1,3473,235107,754204,227
2013-11-15$41.61$40.0018.3%6.4%16.6%31.6%22.2%2.4%0.4%-26.0M302.7M-1.7M0.1712.40N/AN/A16,7822,859108,507205,829
2013-11-18$42.02$42.0019.7%6.4%17.1%38.1%22.4%4.6%-0.5%-17.2M191.7M-1.8M1.339.04N/AN/A6,0248,025119,447198,836
2013-11-19$41.62$42.0019.8%6.4%16.9%38.2%25.6%4.6%-0.1%-20.5M248.2M-1.8M0.658.76N/AN/A1,9221,247123,263202,272
2013-11-20$41.10$42.0021.3%6.0%15.7%45.3%0.0%4.4%-1.0%-23.6M329.3M-1.7M0.1949.57N/AN/A1,264235124,149202,456
2013-11-21$41.09$42.0021.3%3.6%15.7%45.1%12.8%5.0%-0.6%-23.3M311.0M-1.7M2.597.02N/AN/A354917123,592202,651
2013-11-22$41.35$42.0020.6%3.9%15.7%42.1%0.0%4.2%-0.1%-23.8M283.9M-1.7M1.506.85N/AN/A593890123,710203,439
2013-11-25$40.85$42.0020.8%3.6%16.1%43.1%15.0%5.3%-0.5%-27.2M349.7M-1.6M0.056.92N/AN/A5,788271123,184203,151
2013-11-26$40.88$42.0019.9%3.4%16.1%38.8%12.1%4.8%-0.0%-24.3M339.5M-1.5M0.926.58N/AN/A3,2182,969124,167203,359
2013-11-27$41.14$42.0019.7%3.6%16.3%37.9%0.0%5.6%-0.4%-27.2M317.2M-1.6M2.018.62N/AN/A429861127,224206,241
2013-11-29$41.48$42.0019.0%3.6%16.5%34.7%27.6%4.5%0.1%-26.4M280.0M-1.6M0.918.75N/AN/A447406127,593206,764