VWO Options History — February 2014

In February 2014, VWO traded between $36.67 and $39.20. ATM implied volatility averaged 21.2%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 1.0% (HV 20d: 22.2%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.76.

Notable Days

2014-02-06: Highest Volume — 58,060 contracts
2014-02-04: Largest IV drop — 11.8% change
2014-02-03: Highest IV Rank — 69.3%
2014-02-26: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.43	$36.67	$39.20	$36.67	$38.89
Max Pain	$42.00	$42.00	$42.00	$42.00	$42.00
ATM IV	21.2%	18.8%	26.6%	26.6%	21.1%
Expected Move	3.2%	0.8%	6.3%	2.8%	6.2%
HV 20d	22.2%	20.0%	23.8%	20.3%	20.3%
HV 60d	19.7%	19.0%	20.4%	19.0%	19.7%
IV Rank	44.2%	33.1%	69.3%	69.3%	43.7%
IV Percentile	71.2%	47.6%	98.8%	98.8%	72.2%
Term Structure	-0.1%	-2.8%	2.3%	-1.9%	0.7%
VWIV	16.3%	4.0%	27.9%	7.0%	25.1%
Skew 25d	5.7%	4.5%	7.2%	6.0%	4.8%
Skew 10d	14.0%	8.8%	19.7%	10.6%	8.8%
Call IV 25d	19.2%	16.0%	22.9%	22.9%	19.0%
Put IV 25d	24.9%	22.8%	28.9%	28.9%	23.8%
Bid-Ask Spread %	19.96	13.74	26.40	18.96	22.49
Gamma HHI	0.39	0.17	0.78	0.25	0.68
Net GEX	-3.3M	-30.0M	23.2M	-3.2M	23.2M
Net DEX	119.8M	74.4M	175.8M	106.2M	97.8M
Net VEX	-769.5K	-879.2K	-554.8K	-554.8K	-791.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.05	15.42	1.22	15.42
Total Volume	6,969.105	560	58,060	9,467	9,785
Total OI	148,730.579	96,235	173,749	96,235	156,504

Daily Data (19 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
2014-02-03	$36.67	$42.00	26.6%	0.0%	20.3%	69.3%	7.0%	6.0%	-1.9%	-3.2M	106.2M	-554.8K	1.22	18.96	N/A	N/A	4,271	5,196	43,947	52,288
2014-02-04	$37.52	$42.00	23.5%	2.8%	22.2%	54.7%	4.0%	5.3%	-1.3%	-4.2M	92.1M	-620.5K	0.92	26.40	N/A	N/A	3,502	3,213	47,691	53,292
2014-02-05	$37.39	$42.00	23.6%	4.0%	22.1%	55.3%	6.8%	6.0%	0.2%	-3.8M	100.9M	-673.6K	3.07	24.46	N/A	N/A	657	2,014	50,993	55,607
2014-02-06	$38.13	$42.00	23.1%	2.4%	23.5%	53.1%	9.3%	5.7%	0.7%	-5.5M	87.4M	-726.0K	0.77	16.41	N/A	N/A	32,737	25,323	51,114	56,782
2014-02-07	$38.28	$42.00	21.6%	3.4%	23.5%	46.2%	7.6%	4.5%	-0.3%	-5.1M	108.2M	-879.2K	0.87	17.32	N/A	N/A	3,767	3,263	82,783	81,823
2014-02-10	$37.85	$42.00	22.0%	0.0%	22.5%	47.8%	26.9%	6.0%	-0.7%	-4.9M	175.8M	-790.7K	0.46	15.08	N/A	N/A	551	256	77,515	83,487
2014-02-11	$38.65	$42.00	21.1%	1.3%	23.6%	43.6%	0.0%	6.0%	-2.8%	-6.8M	139.0M	-848.6K	0.07	19.27	N/A	N/A	7,362	492	77,944	83,732
2014-02-12	$38.59	$42.00	21.2%	6.1%	23.2%	44.3%	20.5%	4.7%	-1.2%	-1.4M	135.9M	-867.8K	0.11	16.61	N/A	N/A	1,027	112	85,110	83,990
2014-02-13	$38.63	$42.00	20.2%	1.4%	23.2%	39.4%	12.7%	5.8%	-2.4%	1.1M	132.0M	-842.2K	1.04	19.62	N/A	N/A	2,105	2,190	85,596	83,982
2014-02-14	$39.10	$42.00	19.2%	2.3%	23.6%	35.0%	0.0%	4.6%	-1.1%	-7.8M	94.9M	-850.2K	1.25	21.20	N/A	N/A	284	355	87,631	86,118
2014-02-18	$38.77	$42.00	19.4%	0.8%	23.8%	35.9%	0.0%	6.6%	1.9%	-10.5M	141.9M	-814.9K	1.59	13.74	N/A	N/A	513	817	80,294	86,050
2014-02-19	$38.60	$42.00	20.7%	6.1%	23.8%	41.9%	25.7%	5.5%	0.7%	-12.0M	174.3M	-778.5K	0.70	24.50	N/A	N/A	609	427	80,259	86,366
2014-02-20	$38.80	$42.00	20.1%	6.2%	23.4%	39.0%	21.2%	6.6%	0.9%	-17.0M	157.5M	-805.8K	3.48	19.39	N/A	N/A	346	1,205	80,462	84,736
2014-02-21	$39.07	$42.00	18.8%	1.3%	22.0%	33.1%	27.9%	7.1%	2.3%	-30.0M	124.4M	-776.4K	0.24	19.62	N/A	N/A	1,420	341	80,649	84,264
2014-02-24	$39.03	$42.00	18.9%	1.0%	20.0%	33.7%	0.0%	7.2%	1.0%	1.7M	93.6M	-755.1K	1.27	18.21	N/A	N/A	2,201	2,792	75,162	64,352
2014-02-25	$38.54	$42.00	20.6%	1.0%	20.4%	41.3%	0.0%	5.5%	-0.1%	1.2M	116.4M	-730.9K	0.05	25.00	N/A	N/A	11,225	528	76,972	67,117
2014-02-26	$38.44	$42.00	20.9%	6.3%	20.4%	42.7%	23.8%	4.9%	-0.0%	7.3M	123.9M	-736.1K	0.60	24.01	N/A	N/A	349	211	87,920	67,536
2014-02-27	$39.20	$42.00	20.1%	2.3%	20.2%	39.2%	9.2%	5.7%	0.5%	16.0M	74.4M	-777.9K	0.28	17.03	N/A	N/A	757	210	88,114	67,699
2014-02-28	$38.89	$42.00	21.1%	6.2%	20.3%	43.7%	25.1%	4.8%	0.7%	23.2M	97.8M	-791.7K	15.42	22.49	N/A	N/A	596	9,189	88,661	67,843