VWO Options History — July 2014

In July 2014, VWO traded between $43.52 and $45.14. ATM implied volatility averaged 13.1%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.4% (HV 20d: 10.7%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.91.

Notable Days

  • 2014-07-18: Highest Volume — 15,552 contracts
  • 2014-07-17: Largest IV spike — 14.9% change
  • 2014-07-31: Highest IV Rank — 32.6%
  • 2014-07-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.29$43.52$45.14$43.52$43.72
Max Pain$41.05$40.00$42.00$40.00$42.00
ATM IV13.1%11.6%16.5%12.2%16.5%
Expected Move4.7%2.8%5.2%4.7%4.6%
HV 20d10.7%9.0%13.7%10.4%13.7%
HV 60d11.0%10.2%11.9%11.3%11.9%
IV Rank10.1%0.0%32.6%3.6%32.6%
IV Percentile7.3%0.0%27.8%0.8%27.8%
Term Structure0.1%-1.3%0.7%0.6%-0.1%
VWIV16.8%6.5%26.3%17.9%26.3%
Skew 25d3.5%2.4%4.4%3.1%3.5%
Skew 10d8.3%5.8%11.5%7.8%6.7%
Call IV 25d11.6%9.7%15.1%10.9%15.1%
Put IV 25d15.1%13.7%18.7%13.9%18.7%
Bid-Ask Spread %40.2229.6562.2832.0939.01
Gamma HHI0.380.280.460.280.46
Net GEX9.7M7.3M11.3M7.3M11.3M
Net DEX-72.1M-131.6M-27.2M-27.2M-74.9M
Net VEX-1.1M-1.1M-933.4K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.0127.181.140.96
Total Volume1,644.18220515,552205870
Total OI107,716.545102,834117,283103,410117,283

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$43.52$40.0012.2%4.7%10.4%3.6%0.0%3.1%0.6%7.3M-27.2M-1.1M1.1432.09N/AN/A9610959,22744,183
2014-07-02$43.78$40.0011.6%4.6%10.2%0.0%0.0%4.0%0.1%8.3M-37.2M-1.0M0.7035.01N/AN/A15410859,30344,173
2014-07-03$44.01$40.0011.6%4.8%9.7%0.0%17.9%4.1%-0.6%8.0M-44.6M-1.1M0.6234.28N/AN/A30218759,35144,167
2014-07-07$44.10$40.0012.2%4.7%9.0%4.1%14.7%3.0%0.3%9.0M-51.5M-1.1M0.7135.37N/AN/A1289159,40744,009
2014-07-08$43.91$40.0012.6%4.7%9.0%6.9%0.0%2.4%0.1%8.7M-50.1M-1.0M0.6235.86N/AN/A17711059,43344,050
2014-07-09$44.17$40.0012.3%4.8%9.1%5.0%15.3%3.6%0.7%9.5M-54.5M-1.0M0.2056.56N/AN/A2745559,56844,071
2014-07-10$43.90$40.0012.0%4.7%9.3%3.3%17.2%4.2%0.4%9.3M-43.4M-1.0M1.1837.38N/AN/A13315759,64244,104
2014-07-11$43.98$41.0012.4%4.8%9.2%5.5%0.0%3.4%0.7%10.1M-48.1M-1.0M0.5334.74N/AN/A23912759,62044,134
2014-07-14$44.32$41.0012.1%4.8%9.4%3.5%16.5%3.1%-0.1%9.9M-60.7M-1.0M0.4729.65N/AN/A29914159,02744,008
2014-07-15$44.26$41.0013.1%4.8%9.1%10.5%0.0%4.0%-1.3%9.9M-64.0M-1.0M0.3933.16N/AN/A2309059,26644,091
2014-07-16$44.40$41.0012.4%4.8%9.1%5.8%0.0%2.9%0.3%9.6M-69.2M-1.0M0.0330.14N/AN/A8452859,21144,149
2014-07-17$43.55$41.0014.3%2.8%10.9%18.0%6.5%3.9%0.5%8.7M-68.6M-933.4K0.6534.11N/AN/A22314558,88543,949
2014-07-18$44.23$41.0013.1%4.8%12.0%10.3%0.0%4.3%0.0%10.3M-59.2M-1.0M0.0131.83N/AN/A15,34520758,98244,024
2014-07-21$44.39$41.0013.1%5.2%12.1%10.1%18.5%4.4%-0.0%11.2M-80.3M-1.1M23.3557.04N/AN/A2255,25367,38142,335
2014-07-22$44.85$42.0012.3%4.8%12.3%5.1%0.0%3.2%0.6%10.0M-100.6M-1.1M0.9144.30N/AN/A11910867,50345,121
2014-07-23$44.86$42.0013.1%4.2%11.4%10.1%0.0%3.4%-0.0%10.6M-131.6M-1.1M1.4943.52N/AN/A12218267,57045,187
2014-07-24$45.08$42.0013.4%4.8%11.4%12.0%16.5%3.1%0.6%9.8M-110.9M-1.1M0.0447.33N/AN/A1,8636767,61545,354
2014-07-25$44.90$42.0013.8%4.9%11.6%14.7%0.0%3.7%0.2%11.0M-105.7M-1.1M0.2541.93N/AN/A39510068,87845,402
2014-07-28$45.14$42.0014.0%4.9%11.6%16.2%17.3%3.0%0.4%10.6M-112.5M-1.1M27.1846.15N/AN/A1764,78368,74544,926
2014-07-29$44.73$42.0015.2%5.0%12.3%23.9%0.0%3.2%-0.5%9.8M-104.7M-1.1M1.9243.00N/AN/A23044268,86647,166
2014-07-30$44.50$42.0014.7%5.2%12.2%20.7%18.1%3.9%-0.3%11.1M-87.7M-1.1M0.6762.28N/AN/A74249569,02947,369
2014-07-31$43.72$42.0016.5%4.6%13.7%32.6%26.3%3.5%-0.1%11.3M-74.9M-1.1M0.9639.01N/AN/A44542569,58847,695