VWO Options History — May 2014

In May 2014, VWO traded between $40.97 and $42.90. ATM implied volatility averaged 14.8%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.3% (HV 20d: 11.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2014-05-01: Highest Volume — 18,271 contracts
  • 2014-05-30: Largest IV spike — 12.6% change
  • 2014-05-06: Highest IV Rank — 20.5%
  • 2014-05-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.07$40.97$42.90$40.97$42.21
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV14.8%12.9%16.2%15.8%15.9%
Expected Move5.2%5.0%5.5%5.5%5.2%
HV 20d11.4%10.2%12.4%12.0%11.9%
HV 60d14.7%13.4%15.7%15.7%13.7%
IV Rank8.5%0.0%20.5%18.4%14.6%
IV Percentile3.3%0.0%8.3%6.0%7.5%
Term Structure0.3%-1.1%1.9%0.2%-0.4%
VWIV18.2%16.7%21.0%16.9%16.9%
Skew 25d3.5%1.9%4.9%3.7%4.3%
Skew 10d8.8%4.9%12.2%8.4%10.4%
Call IV 25d13.6%11.7%14.8%14.4%14.0%
Put IV 25d17.0%14.2%19.0%18.1%18.3%
Bid-Ask Spread %30.3024.0441.7524.8941.75
Gamma HHI0.250.190.370.310.20
Net GEX7.8M5.0M10.3M5.0M8.3M
Net DEX-53.4M-102.2M-4.4M-4.4M-42.1M
Net VEX-1.0M-1.1M-959.0K-959.0K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.022.880.020.77
Total Volume2,479.95216618,27118,2711,784
Total OI118,531.286104,987134,309125,888117,865

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$40.97$40.0015.8%5.5%12.0%18.4%0.0%3.7%0.2%5.0M-4.4M-959.0K0.0224.89N/AN/A17,95132068,43657,452
2014-05-02$41.24$40.0015.3%5.4%12.1%16.3%0.0%3.0%1.0%7.7M-52.2M-1.0M0.6024.04N/AN/A45527377,16057,149
2014-05-05$41.06$40.0016.0%5.4%12.2%19.6%0.0%4.2%-0.0%7.7M-21.2M-1.0M0.9825.71N/AN/A20019671,52248,670
2014-05-06$41.22$40.0016.2%5.4%12.1%20.5%0.0%3.7%0.1%8.1M-34.9M-1.0M0.7733.38N/AN/A17113171,64248,843
2014-05-07$41.48$40.0015.8%5.4%11.9%18.4%0.0%3.0%0.0%8.5M-37.0M-991.9K2.5126.68N/AN/A9824671,74748,939
2014-05-08$41.37$40.0015.0%5.4%11.5%15.0%0.0%4.1%0.6%9.5M-41.5M-988.5K1.2731.27N/AN/A21527271,81049,076
2014-05-09$41.34$40.0014.9%5.4%11.0%5.7%16.9%2.2%0.7%10.3M-43.5M-979.9K0.1127.23N/AN/A4,47950571,94649,316
2014-05-12$42.01$40.0014.6%5.2%12.4%4.0%0.0%3.3%-0.1%9.5M-76.1M-1.0M2.8826.03N/AN/A7782,24172,56049,010
2014-05-13$42.19$40.0014.4%5.2%12.4%2.1%0.0%2.5%-0.3%7.8M-84.3M-1.0M1.0526.66N/AN/A46448873,18750,382
2014-05-14$42.47$40.0014.6%5.2%11.0%3.0%21.0%3.8%0.5%7.9M-92.4M-1.0M0.1927.83N/AN/A2,52647573,21550,663
2014-05-15$42.09$40.0015.3%5.2%11.2%6.5%0.0%3.0%0.3%8.3M-79.1M-1.0M0.1431.14N/AN/A1,06814874,38051,006
2014-05-16$42.61$40.0014.5%5.0%11.3%0.8%16.7%3.4%0.1%7.1M-102.2M-1.0M0.8226.54N/AN/A79865775,04351,159
2014-05-19$42.63$40.0013.5%5.1%10.9%0.0%0.0%3.3%1.8%6.5M-50.5M-1.0M2.0725.45N/AN/A28258363,09041,897
2014-05-20$42.27$40.0015.2%5.2%11.4%8.6%19.3%4.9%-0.2%6.7M-39.4M-998.0K0.8828.51N/AN/A2,9332,59263,24442,352
2014-05-21$42.57$40.0013.3%5.1%11.3%0.0%0.0%4.4%1.9%6.8M-44.3M-1.1M0.5130.22N/AN/A1105666,00944,903
2014-05-22$42.90$40.0012.9%5.0%11.4%0.0%0.0%3.6%0.8%6.8M-57.9M-1.1M1.0936.85N/AN/A16818366,07644,952
2014-05-23$42.90$40.0013.0%5.0%10.2%0.7%16.9%1.9%1.0%6.9M-62.1M-1.1M1.2730.41N/AN/A9771,24466,19245,025
2014-05-27$42.55$40.0014.6%5.0%11.0%8.3%0.0%4.2%0.1%7.4M-48.1M-1.1M1.1630.96N/AN/A33138466,59946,028
2014-05-28$42.71$40.0015.2%5.0%10.6%11.1%0.0%3.4%-0.5%7.5M-49.0M-1.1M0.0241.05N/AN/A4,86610566,72746,152
2014-05-29$42.76$40.0014.1%5.0%10.6%5.9%0.0%3.2%-1.1%8.4M-58.8M-1.1M0.7239.66N/AN/A18913771,52546,208
2014-05-30$42.21$40.0015.9%5.2%11.9%14.6%0.0%4.3%-0.4%8.3M-42.1M-1.1M0.7741.75N/AN/A1,01077471,58046,285