VWO Options History — December 2013

In December 2013, VWO traded between $39.95 and $41.42. ATM implied volatility averaged 19.1%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.0% (HV 20d: 17.1%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2013-12-20: Highest Volume — 41,856 contracts
  • 2013-12-18: Largest IV drop — 14.7% change
  • 2013-12-05: Highest IV Rank — 48.0%
  • 2013-12-05: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.62$39.95$41.42$40.70$41.14
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV19.1%16.2%21.9%21.1%17.9%
Expected Move4.6%2.6%6.7%3.6%6.2%
HV 20d17.1%15.9%18.4%17.7%16.4%
HV 60d17.3%16.2%19.1%19.1%16.2%
IV Rank34.7%20.8%48.0%44.3%28.8%
IV Percentile61.2%37.3%87.7%79.0%46.8%
Term Structure0.6%-0.8%2.4%-0.8%-0.1%
VWIV16.9%11.8%25.3%13.4%25.3%
Skew 25d3.6%0.7%5.7%4.0%4.2%
Skew 10d6.4%1.5%11.5%5.7%9.3%
Call IV 25d17.9%14.9%19.8%19.2%15.9%
Put IV 25d21.5%17.3%24.6%23.2%20.1%
Bid-Ask Spread %14.428.1221.258.1217.50
Gamma HHI0.480.180.760.520.28
Net GEX-25.1M-80.2M13.3M-28.8M13.3M
Net DEX362.6M136.1M683.8M386.1M136.1M
Net VEX-1.0M-1.4M-700.0K-1.4M-758.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.027.077.070.86
Total Volume5,418.28625441,8563,0992,659
Total OI301,654.095221,148339,618333,103225,731

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$40.70$42.0021.1%3.6%17.7%44.3%13.4%4.0%-0.8%-28.8M386.1M-1.4M7.078.12N/AN/A3842,715126,731206,372
2013-12-03$40.55$42.0021.2%3.5%17.5%44.8%12.3%4.7%-0.5%-27.6M413.8M-1.4M0.6915.75N/AN/A1,8501,273126,945207,067
2013-12-04$40.56$42.0021.2%3.4%16.1%44.7%13.3%4.3%-0.1%-29.1M408.7M-1.4M0.3516.34N/AN/A2,471865128,226207,973
2013-12-05$40.43$42.0021.9%6.7%16.1%48.0%22.4%5.0%0.8%-29.3M445.3M-1.3M0.4011.94N/AN/A18173130,408208,434
2013-12-06$41.33$42.0019.8%3.8%16.9%38.5%12.5%4.7%0.4%-27.7M301.2M-1.4M0.6515.39N/AN/A983638130,493208,447
2013-12-09$41.34$42.0019.1%3.9%16.8%35.1%13.1%5.5%2.4%-30.2M285.7M-1.4M5.9410.21N/AN/A2261,343130,341208,415
2013-12-10$41.42$42.0019.2%4.1%16.7%35.6%0.0%5.7%1.7%-34.4M298.0M-1.3M2.7111.96N/AN/A126342130,148209,098
2013-12-11$40.58$42.0020.4%3.1%18.2%41.4%11.9%4.2%1.0%-36.4M433.0M-1.2M0.0217.68N/AN/A14,674273130,253209,365
2013-12-12$40.22$42.0021.6%3.4%18.4%46.6%12.2%4.3%-0.5%-41.0M490.3M-1.1M0.0711.98N/AN/A3,447239116,357209,559
2013-12-13$40.34$42.0021.0%3.2%17.4%43.1%11.9%4.4%1.7%-45.9M489.4M-1.1M1.2810.68N/AN/A454580116,709209,676
2013-12-16$40.54$42.0020.6%3.0%16.3%41.3%12.2%4.5%0.3%-49.5M461.7M-913.1K0.5112.51N/AN/A696352116,503209,308
2013-12-17$40.27$42.0021.0%2.6%15.9%43.4%0.0%3.5%0.3%-47.0M501.2M-949.3K0.6513.72N/AN/A343223116,948209,612
2013-12-18$40.93$42.0017.9%6.3%16.9%29.1%24.3%2.2%1.2%-80.2M442.4M-954.9K0.4215.78N/AN/A2,5431,071117,156209,756
2013-12-19$40.25$42.0018.1%6.4%17.3%29.7%21.8%1.7%-0.2%-48.7M630.7M-720.6K1.6917.31N/AN/A7,13112,027117,711209,998
2013-12-20$39.95$42.0017.1%6.4%17.5%25.0%21.6%1.8%0.8%-20.7M683.8M-700.0K0.0221.25N/AN/A40,986870122,339216,191
2013-12-23$40.24$42.0016.4%6.3%17.6%22.0%0.0%1.9%0.8%6.2M166.8M-742.6K0.1221.12N/AN/A3,059356135,42885,720
2013-12-24$40.45$42.0016.2%2.9%17.2%21.0%11.8%1.9%1.4%7.2M157.7M-703.8K0.4215.69N/AN/A265111136,92285,839
2013-12-26$40.19$42.0016.6%6.3%17.3%22.8%20.6%0.7%0.8%4.6M174.8M-701.0K0.3512.51N/AN/A429149137,08885,895
2013-12-27$40.67$42.0016.2%6.3%17.7%20.8%20.4%3.2%0.0%7.5M161.4M-706.3K0.7111.18N/AN/A524372137,00885,981
2013-12-30$40.82$42.0016.5%6.2%17.5%22.4%22.9%2.5%0.2%10.3M146.4M-733.2K3.8714.30N/AN/A1,3315,150136,71085,875
2013-12-31$41.14$42.0017.9%6.2%16.4%28.8%25.3%4.2%-0.1%13.3M136.1M-758.9K0.8617.50N/AN/A1,4271,232137,25288,479