VWO Options History — April 2014

In April 2014, VWO traded between $40.46 and $41.74. ATM implied volatility averaged 18.3%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.5% (HV 20d: 13.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 9.02.

Notable Days

  • 2014-04-22: Highest Volume — 14,289 contracts
  • 2014-04-17: Largest IV drop — 10.7% change
  • 2014-04-11: Highest IV Rank — 37.2%
  • 2014-04-07: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.07$40.46$41.74$40.97$40.94
Max Pain$36.81$35.00$40.00$35.00$40.00
ATM IV18.3%15.9%19.8%17.9%15.9%
Expected Move5.7%5.5%5.9%5.7%5.6%
HV 20d13.7%11.7%17.0%17.0%12.1%
HV 60d18.4%16.3%19.3%19.3%16.3%
IV Rank30.2%19.2%37.2%28.5%19.2%
IV Percentile30.2%6.7%51.2%25.8%6.7%
Term Structure0.1%-1.2%1.5%0.6%0.4%
VWIV20.6%17.5%23.9%17.5%23.9%
Skew 25d4.5%2.5%5.8%4.3%3.8%
Skew 10d9.9%5.4%15.1%7.8%8.3%
Call IV 25d17.0%15.2%18.5%16.8%15.2%
Put IV 25d21.4%18.9%23.8%21.1%18.9%
Bid-Ask Spread %23.0615.2537.8017.5327.71
Gamma HHI0.220.150.310.200.29
Net GEX2.6M-415.6K6.5M3.8M1.6M
Net DEX-17.7M-61.0M20.9M-34.3M5.5M
Net VEX-955.9K-1.0M-907.9K-925.9K-962.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.020.02137.570.210.18
Total Volume4,561.38140214,2891,8501,168
Total OI125,387.381108,058133,508121,444125,330

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$40.97$35.0017.9%5.7%17.0%28.5%0.0%4.3%0.6%3.8M-34.3M-925.9K0.2117.53N/AN/A1,52632462,20159,243
2014-04-02$41.12$35.0018.0%5.6%17.0%29.0%17.5%5.1%-0.5%3.9M-37.2M-934.0K1.7216.81N/AN/A1,8193,12161,94259,422
2014-04-03$40.88$35.0018.3%5.6%16.7%30.3%19.4%4.6%-0.4%3.5M-24.5M-935.0K12.1022.43N/AN/A1,01112,23363,58362,325
2014-04-04$40.81$35.0018.3%5.7%15.7%30.3%0.0%2.5%-0.2%2.4M-28.9M-964.9K0.6928.59N/AN/A79554763,51968,469
2014-04-07$41.03$35.0019.6%5.9%15.4%36.5%0.0%4.7%-0.9%2.2M-23.5M-955.3K1.1215.25N/AN/A88198562,89767,788
2014-04-08$41.41$35.0019.1%5.8%14.6%34.1%0.0%4.0%0.2%2.6M-47.6M-942.9K0.7717.37N/AN/A43033363,62667,865
2014-04-09$41.74$35.0018.8%5.5%14.6%32.6%17.7%4.3%-1.2%1.7M-61.0M-937.1K0.3018.18N/AN/A60217963,77068,180
2014-04-10$41.34$35.0019.4%5.8%13.3%35.4%0.0%4.3%1.1%1.9M-47.7M-952.2K1.1317.14N/AN/A62770664,02668,290
2014-04-11$41.32$35.0019.8%5.9%13.4%37.2%0.0%5.3%1.0%-106.4K-42.4M-939.6K1.9618.66N/AN/A38475264,57268,936
2014-04-14$41.26$35.0019.7%5.9%13.3%36.6%18.9%4.7%-0.3%954.6K-12.3M-907.9K26.6231.32N/AN/A2015,35055,55268,931
2014-04-15$40.65$35.0019.6%5.8%14.1%36.6%20.2%5.8%0.8%-415.6K18.5M-912.5K0.0827.29N/AN/A4,06333755,60771,393
2014-04-16$41.07$35.0018.8%5.8%11.7%32.6%22.0%4.8%0.5%629.2K-1.4M-929.1K0.5020.55N/AN/A1,30365555,18270,609
2014-04-17$41.56$40.0016.8%5.5%12.1%23.2%21.2%4.1%1.5%513.0K-17.5M-930.4K0.0219.20N/AN/A11,20620455,62370,923
2014-04-21$41.29$39.0017.9%5.7%12.6%28.3%0.0%5.1%0.1%1.6M-10.4M-952.1K0.0522.62N/AN/A2,68712258,42749,631
2014-04-22$41.15$39.0018.1%5.8%12.6%29.6%0.0%4.3%-1.0%1.9M-11.3M-972.5K0.1823.67N/AN/A12,0912,19860,94249,696
2014-04-23$40.93$39.0017.8%5.7%12.4%27.8%0.0%4.8%-0.4%6.5M-11.0M-1.0M1.7423.27N/AN/A27647972,98251,765
2014-04-24$40.93$39.0017.4%5.6%12.4%25.9%0.0%4.1%0.3%6.5M-13.3M-1.0M2.1737.80N/AN/A12727573,11352,196
2014-04-25$40.46$39.0018.0%5.8%12.7%29.0%23.4%4.4%0.1%5.0M20.9M-979.8K0.0427.67N/AN/A10,49039573,18152,418
2014-04-28$40.58$39.0018.3%5.6%12.4%30.3%22.3%4.1%0.1%5.1M12.0M-969.9K137.5725.89N/AN/A10214,03271,69052,063
2014-04-29$40.97$39.0016.6%5.6%12.6%22.1%20.3%4.3%0.8%3.3M-4.1M-1.0M0.3225.37N/AN/A58618767,84157,386
2014-04-30$40.94$40.0015.9%5.6%12.1%19.2%23.9%3.8%0.4%1.6M5.5M-962.6K0.1827.71N/AN/A98618267,86657,464