VWO Options History — June 2014

In June 2014, VWO traded between $42.42 and $43.86. ATM implied volatility averaged 13.9%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.6% (HV 20d: 11.4%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.27.

Notable Days

2014-06-20: Highest Volume — 12,492 contracts
2014-06-19: Largest IV drop — 15.3% change
2014-06-02: Highest IV Rank — 12.0%
2014-06-02: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.26	$42.42	$43.86	$42.42	$43.13
Max Pain	$39.81	$39.00	$40.00	$40.00	$40.00
ATM IV	13.9%	11.7%	15.3%	15.3%	13.0%
Expected Move	5.0%	4.8%	5.3%	5.3%	4.9%
HV 20d	11.4%	10.1%	12.6%	11.8%	10.1%
HV 60d	12.0%	11.2%	13.5%	13.5%	11.2%
IV Rank	7.6%	0.0%	12.0%	12.0%	8.7%
IV Percentile	3.2%	0.0%	8.3%	6.3%	2.8%
Term Structure	0.1%	-1.4%	1.7%	-0.0%	0.1%
VWIV	16.6%	14.3%	18.9%	18.9%	14.9%
Skew 25d	3.5%	0.8%	5.6%	4.0%	3.0%
Skew 10d	9.1%	5.6%	11.6%	5.6%	7.6%
Call IV 25d	13.0%	11.0%	14.5%	14.1%	11.9%
Put IV 25d	16.5%	14.7%	18.1%	18.1%	14.9%
Bid-Ask Spread %	36.96	28.71	46.83	42.23	32.88
Gamma HHI	0.22	0.18	0.29	0.19	0.27
Net GEX	6.5M	4.5M	7.7M	7.7M	5.9M
Net DEX	-63.5M	-101.1M	-12.2M	-45.2M	-16.3M
Net VEX	-1.1M	-1.1M	-1.0M	-1.1M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.05	15.26	15.26	0.14
Total Volume	1,930.238	148	12,492	5,723	1,057
Total OI	118,103.905	102,785	126,736	118,136	102,785

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
2014-06-02	$42.42	$40.00	15.3%	5.3%	11.8%	12.0%	0.0%	4.0%	-0.0%	7.7M	-45.2M	-1.1M	15.26	42.23	N/A	N/A	352	5,371	71,300	46,836
2014-06-03	$42.66	$40.00	14.9%	5.1%	11.7%	9.9%	0.0%	3.0%	0.9%	7.5M	-56.5M	-1.1M	0.79	39.73	N/A	N/A	574	455	71,591	49,514
2014-06-04	$42.42	$40.00	15.2%	5.3%	12.0%	11.4%	0.0%	3.2%	-0.2%	7.6M	-41.1M	-1.1M	0.31	40.12	N/A	N/A	586	182	71,955	49,916
2014-06-05	$42.90	$40.00	14.6%	5.1%	12.3%	8.3%	0.0%	3.9%	1.0%	7.6M	-62.8M	-1.1M	0.50	41.76	N/A	N/A	507	255	72,417	50,033
2014-06-06	$43.36	$40.00	14.5%	5.1%	12.6%	8.2%	18.9%	4.1%	-0.6%	7.3M	-86.4M	-1.1M	0.12	46.31	N/A	N/A	2,707	326	72,778	50,246
2014-06-09	$43.63	$40.00	14.5%	4.9%	12.6%	8.1%	18.9%	5.6%	0.4%	7.0M	-92.0M	-1.1M	0.36	46.83	N/A	N/A	685	249	73,809	49,619
2014-06-10	$43.80	$40.00	14.0%	4.9%	11.6%	5.3%	17.7%	4.0%	0.8%	6.2M	-101.1M	-1.1M	0.57	41.52	N/A	N/A	622	355	74,215	49,789
2014-06-11	$43.65	$40.00	14.4%	5.0%	11.8%	7.5%	17.3%	4.1%	-0.7%	6.5M	-94.9M	-1.1M	0.41	33.01	N/A	N/A	1,232	509	74,591	49,820
2014-06-12	$43.45	$40.00	14.7%	5.1%	11.8%	8.8%	0.0%	0.8%	-0.5%	6.8M	-96.9M	-1.1M	0.35	32.95	N/A	N/A	496	172	75,301	50,074
2014-06-13	$43.61	$40.00	14.5%	5.0%	11.2%	8.1%	18.5%	4.1%	-0.2%	6.5M	-97.3M	-1.1M	2.29	30.97	N/A	N/A	116	266	75,089	50,153
2014-06-16	$43.33	$40.00	14.9%	5.1%	10.9%	9.8%	0.0%	4.3%	-0.5%	7.0M	-92.1M	-1.1M	0.45	29.00	N/A	N/A	420	188	74,898	49,916
2014-06-17	$43.36	$40.00	15.1%	5.0%	10.9%	11.0%	0.0%	4.0%	-1.0%	7.7M	-85.9M	-1.1M	0.92	42.31	N/A	N/A	171	157	75,174	50,030
2014-06-18	$43.86	$40.00	14.3%	5.1%	10.9%	7.1%	15.3%	3.3%	-1.4%	4.6M	-97.2M	-1.1M	0.08	46.19	N/A	N/A	2,400	192	75,237	50,170
2014-06-19	$43.59	$39.00	12.1%	4.9%	11.1%	0.0%	16.3%	3.6%	1.1%	7.4M	-94.7M	-1.1M	0.06	38.61	N/A	N/A	3,235	193	74,753	50,025
2014-06-20	$43.61	$39.00	11.7%	4.8%	10.8%	0.0%	17.1%	3.7%	1.7%	7.1M	-92.1M	-1.1M	0.05	28.71	N/A	N/A	11,916	576	76,580	50,156
2014-06-23	$43.41	$39.00	13.0%	5.1%	11.0%	6.0%	14.9%	1.8%	-0.1%	5.8M	-24.8M	-1.0M	1.34	35.67	N/A	N/A	687	922	59,164	44,601
2014-06-24	$42.93	$39.00	13.0%	4.9%	11.3%	5.9%	15.7%	2.3%	0.3%	4.5M	-14.4M	-1.0M	0.76	34.54	N/A	N/A	970	740	58,276	45,292
2014-06-25	$43.11	$40.00	12.9%	4.9%	11.3%	7.3%	14.3%	3.5%	-0.0%	4.9M	-12.2M	-1.1M	1.12	29.80	N/A	N/A	154	173	58,778	45,725
2014-06-26	$43.09	$40.00	13.0%	4.8%	11.3%	8.4%	15.6%	2.9%	0.5%	4.9M	-15.4M	-1.1M	0.26	33.87	N/A	N/A	174	45	58,870	45,840
2014-06-27	$43.20	$40.00	13.0%	4.9%	10.2%	8.7%	14.9%	4.1%	1.1%	5.4M	-13.6M	-1.0M	0.44	29.19	N/A	N/A	103	45	59,005	45,861
2014-06-30	$43.13	$40.00	13.0%	4.9%	10.1%	8.7%	0.0%	3.0%	0.1%	5.9M	-16.3M	-1.1M	0.14	32.88	N/A	N/A	931	126	58,656	44,129