VWO Options History — March 2014 In March 2014, VWO traded between $37.76 and $40.58. ATM implied volatility averaged 21.1%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.3% (HV 20d: 18.8%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.93.
Notable Days 2014-03-07 : Highest Volume — 16,445 contracts2014-03-04 : Largest IV drop — 13.9% change2014-03-03 : Highest IV Rank — 59.4%2014-03-13 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $38.91 $37.76 $40.58 $38.21 $40.58 Max Pain $40.53 $35.00 $42.00 $42.00 $35.00 ATM IV 21.1% 18.7% 24.5% 24.5% 19.4% Expected Move 4.9% 1.2% 6.5% 6.4% 5.8% HV 20d 18.8% 16.6% 21.4% 21.4% 17.5% HV 60d 20.2% 19.2% 20.5% 20.0% 19.2% IV Rank 43.3% 32.0% 59.4% 59.4% 35.3% IV Percentile 66.2% 36.5% 96.4% 96.4% 45.2% Term Structure -0.3% -2.1% 1.2% -1.0% 0.2% VWIV 19.5% 5.3% 29.6% 24.8% 18.3% Skew 25d 5.4% 3.5% 6.5% 6.5% 4.5% Skew 10d 11.6% 6.0% 17.9% 14.9% 7.6% Call IV 25d 19.1% 17.1% 22.1% 21.4% 17.5% Put IV 25d 24.6% 21.5% 28.0% 27.9% 22.0% Bid-Ask Spread % 24.67 10.97 61.48 24.02 17.51 Gamma HHI 0.18 0.14 0.24 0.15 0.16 Net GEX 1.3M -4.0M 6.1M -1.4M 543.7K Net DEX 115.0M -31.4M 206.4M 155.2M 440.0K Net VEX -827.3K -930.9K -758.6K -763.4K -895.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.02 3.87 0.66 3.45 Total Volume 4,299.333 368 16,445 1,387 4,046 Total OI 158,341.19 107,410 186,520 154,501 107,410
Daily Data (21 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 2014-03-03 $38.21 $42.00 24.5% 6.4% 21.4% 59.4% 24.8% 6.5% -1.0% -1.4M 155.2M -763.4K 0.66 24.02 N/A N/A 835 552 77,840 76,661 2014-03-04 $38.84 $42.00 21.1% 6.2% 19.4% 43.6% 19.8% 5.6% 0.1% -731.2K 129.6M -820.9K 0.03 13.54 N/A N/A 6,182 191 78,402 76,987 2014-03-05 $38.96 $42.00 21.2% 6.3% 17.9% 44.0% 23.5% 5.0% 0.1% 19.5K 126.4M -844.1K 2.32 16.72 N/A N/A 111 257 82,215 77,084 2014-03-06 $39.50 $42.00 20.1% 2.4% 18.3% 38.9% 0.0% 5.6% 0.0% 1.6M 77.0M -864.7K 0.04 27.40 N/A N/A 10,690 418 82,302 77,248 2014-03-07 $38.95 $42.00 21.6% 1.4% 18.1% 46.0% 10.9% 6.1% -0.1% 6.1M 89.9M -843.9K 2.75 23.99 N/A N/A 4,391 12,054 92,017 77,595 2014-03-10 $38.72 $42.00 23.1% 1.2% 18.2% 53.1% 11.9% 6.2% -1.9% 4.1M 152.9M -930.9K 0.66 10.97 N/A N/A 1,463 970 95,524 89,052 2014-03-11 $38.27 $42.00 22.3% 3.4% 18.2% 49.0% 5.3% 4.9% 0.3% 2.2M 174.2M -802.7K 0.56 25.52 N/A N/A 503 284 94,432 87,974 2014-03-12 $38.42 $42.00 22.3% 2.6% 16.6% 49.2% 0.0% 5.4% -0.1% 3.1M 169.6M -826.7K 0.43 25.14 N/A N/A 1,386 598 94,457 88,042 2014-03-13 $37.76 $42.00 23.9% 6.5% 17.7% 56.5% 24.5% 5.6% -1.0% -2.5M 206.4M -758.6K 0.90 22.29 N/A N/A 372 333 95,181 88,516 2014-03-14 $38.01 $42.00 23.8% 6.5% 17.9% 55.9% 22.0% 6.4% -2.1% -3.7M 203.9M -786.8K 3.87 28.03 N/A N/A 886 3,429 95,419 88,722 2014-03-17 $38.42 $42.00 22.7% 6.5% 17.8% 50.8% 0.0% 6.2% -0.6% -4.0M 198.7M -791.5K 0.02 26.72 N/A N/A 12,502 268 85,590 89,091 2014-03-18 $39.01 $42.00 20.0% 6.3% 18.4% 38.2% 21.7% 5.1% -0.3% 1.9M 158.2M -832.2K 0.10 24.52 N/A N/A 634 65 96,732 89,267 2014-03-19 $38.24 $42.00 20.8% 3.5% 19.7% 42.2% 0.0% 6.5% -0.4% -24.3K 178.9M -775.3K 0.80 35.07 N/A N/A 602 484 97,241 89,279 2014-03-20 $38.42 $42.00 20.8% 6.4% 19.7% 42.2% 0.0% 6.5% -0.9% -44.3K 195.8M -763.7K 0.77 26.61 N/A N/A 304 235 96,309 89,441 2014-03-21 $38.65 $42.00 19.2% 1.3% 19.7% 34.6% 29.6% 4.6% 1.2% 1.8M 172.4M -781.1K 0.35 25.51 N/A N/A 1,405 491 95,968 89,594 2014-03-24 $38.99 $0.00 20.0% 5.9% 19.9% 38.3% 0.0% 4.6% -0.5% 4.3M 43.4M -812.3K 0.34 61.48 N/A N/A 3,122 1,047 56,735 54,760 2014-03-25 $39.49 $0.00 19.1% 6.0% 19.8% 34.2% 21.1% 5.7% 0.2% 5.4M 17.1M -831.9K 1.09 24.14 N/A N/A 2,152 2,356 59,528 55,491 2014-03-26 $39.50 $35.00 19.1% 6.1% 19.8% 33.9% 0.0% 3.5% 0.1% 5.5M 7.4M -863.4K 0.14 21.46 N/A N/A 624 87 60,913 57,630 2014-03-27 $39.96 $35.00 18.7% 6.0% 19.0% 32.0% 0.0% 5.2% 0.2% 3.4M -9.9M -878.3K 0.09 21.98 N/A N/A 1,384 131 61,132 57,536 2014-03-28 $40.28 $35.00 18.7% 6.0% 18.9% 32.0% 18.3% 4.3% 0.8% 109.8K -31.4M -906.1K 0.06 15.51 N/A N/A 11,728 714 62,285 57,563 2014-03-31 $40.58 $35.00 19.4% 5.8% 17.5% 35.3% 0.0% 4.5% 0.2% 543.7K 440.0K -895.0K 3.45 17.51 N/A N/A 909 3,137 51,491 55,919
« Feb 2014 | All History | Apr 2014 » Home VWO History March 2014