VWO Options History — January 2014

In January 2014, VWO traded between $37.29 and $39.87. ATM implied volatility averaged 19.7%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.4% (HV 20d: 20.1%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 4.51.

Notable Days

  • 2014-01-07: Highest Volume — 63,722 contracts
  • 2014-01-24: Largest IV spike — 21.8% change
  • 2014-01-31: Highest IV Rank — 54.7%
  • 2014-01-06: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.99$37.29$39.87$39.70$37.67
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV19.7%16.1%23.5%20.8%23.5%
Expected Move4.8%1.4%6.5%6.4%1.4%
HV 20d20.1%18.2%21.7%20.8%18.4%
HV 60d17.6%16.8%18.7%17.7%18.6%
IV Rank37.0%20.5%54.7%42.4%54.7%
IV Percentile62.0%31.3%93.7%73.4%93.7%
Term Structure-0.0%-1.6%1.3%-0.4%0.8%
VWIV20.3%5.8%30.3%22.5%30.3%
Skew 25d4.2%2.1%6.4%3.2%4.6%
Skew 10d11.1%3.7%20.2%3.7%15.9%
Call IV 25d18.3%14.9%22.0%19.1%22.0%
Put IV 25d22.5%18.6%28.1%22.3%26.6%
Bid-Ask Spread %21.8613.8061.9218.5519.46
Gamma HHI0.220.130.450.160.34
Net GEX-3.0M-7.7M1.8M1.8M-5.7M
Net DEX103.6M18.6M207.4M190.5M98.6M
Net VEX-604.0K-675.1K-538.4K-675.1K-590.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.510.0336.720.311.68
Total Volume8,348.33320863,7222,5042,673
Total OI147,289.76268,312228,237227,95398,668

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$39.70$42.0020.8%6.4%20.8%42.4%22.5%3.2%-0.4%1.8M190.5M-675.1K0.3118.55N/AN/A1,906598138,28389,670
2014-01-03$39.65$42.0019.7%6.3%20.8%37.0%25.7%3.8%0.1%-15.0K200.3M-643.3K1.0615.31N/AN/A3,7984,040138,17090,067
2014-01-06$39.27$42.0019.6%6.5%21.0%36.5%22.1%3.4%0.4%-2.1M207.4M-585.4K0.0324.11N/AN/A4,989155136,78687,289
2014-01-07$39.43$42.0018.8%6.4%19.2%32.9%22.8%3.9%0.4%-2.7M204.4M-614.5K0.9916.03N/AN/A31,94931,773138,81687,378
2014-01-08$39.36$42.0018.5%6.4%19.2%31.5%21.7%2.1%0.7%-2.0M84.4M-599.5K0.2533.99N/AN/A1,286325110,27957,457
2014-01-09$39.11$42.0019.6%6.3%19.2%36.6%21.4%4.3%-0.7%-3.4M94.7M-595.4K0.2114.25N/AN/A1,275270111,45857,619
2014-01-10$39.87$42.0017.5%6.2%19.5%27.0%21.0%3.8%0.3%583.1K67.4M-619.3K5.3315.16N/AN/A7534,015111,70857,742
2014-01-13$39.37$42.0018.8%6.3%19.8%32.8%21.6%2.5%0.5%-3.8M91.2M-619.0K0.2516.06N/AN/A1,763445111,51961,083
2014-01-14$39.81$42.0017.9%6.3%20.2%29.1%0.0%3.8%-0.4%-2.2M79.2M-619.7K0.6619.02N/AN/A339223112,80961,273
2014-01-15$39.80$42.0017.4%6.2%20.1%26.5%21.0%4.6%0.1%-1.5M77.1M-612.5K0.1814.37N/AN/A45881112,40861,265
2014-01-16$39.58$42.0018.3%6.1%20.0%30.8%25.5%3.4%-1.1%-2.6M83.3M-604.0K0.3823.30N/AN/A15157112,75961,229
2014-01-17$39.44$42.0017.3%6.2%19.0%26.2%21.0%3.9%0.5%-2.5M90.6M-577.1K0.2113.80N/AN/A1,152244112,87161,200
2014-01-21$39.32$42.0017.3%2.6%18.2%25.8%8.3%4.0%1.1%-919.0K18.6M-559.6K0.1715.96N/AN/A1,11819237,68230,630
2014-01-22$39.82$42.0016.1%3.9%18.7%20.5%0.0%3.7%1.3%-514.9K21.0M-564.1K0.1661.92N/AN/A1,77428938,64530,702
2014-01-23$38.91$42.0017.9%1.5%20.1%28.8%9.7%4.6%-0.3%-725.5K24.3M-538.4K28.7418.68N/AN/A99828,68539,99030,790
2014-01-24$37.96$42.0021.8%2.0%21.5%46.8%9.0%4.6%0.3%-7.2M105.1M-647.5K0.9617.85N/AN/A1,5561,49840,46059,158
2014-01-27$37.71$42.0022.9%0.0%21.5%52.1%5.8%6.2%-1.6%-7.6M115.5M-605.0K0.6329.97N/AN/A7,4044,70040,14559,907
2014-01-28$37.96$42.0022.8%2.2%21.1%51.7%29.4%6.4%-1.3%-7.7M108.2M-624.5K14.7817.99N/AN/A3905,76642,74060,896
2014-01-29$37.29$42.0023.3%3.1%21.5%53.9%18.9%6.3%-1.1%-5.4M112.1M-577.8K0.8836.48N/AN/A1,6661,47442,98656,405
2014-01-30$37.68$42.0023.3%3.7%21.7%53.9%28.5%5.5%0.2%-6.2M102.9M-611.6K36.7216.85N/AN/A61222,47544,31257,831
2014-01-31$37.67$42.0023.5%1.4%18.4%54.7%30.3%4.6%0.8%-5.7M98.6M-590.1K1.6819.46N/AN/A9961,67744,55354,115