VWO Options History — August 2014

In August 2014, VWO traded between $43.30 and $45.85. ATM implied volatility averaged 14.5%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.2% (HV 20d: 14.4%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2014-08-15: Highest Volume — 13,748 contracts
  • 2014-08-27: Largest IV spike — 55.0% change
  • 2014-08-06: Highest IV Rank — 44.7%
  • 2014-08-06: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.71$43.30$45.85$43.98$45.40
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV14.5%8.8%18.3%17.0%13.5%
Expected Move5.0%4.2%5.7%5.2%4.8%
HV 20d14.4%12.1%16.4%13.8%12.1%
HV 60d12.1%11.8%12.5%11.9%11.8%
IV Rank22.6%0.0%44.7%36.2%26.5%
IV Percentile18.1%0.0%43.3%30.2%13.9%
Term Structure0.1%-7.0%1.9%1.1%0.2%
VWIV19.1%15.5%27.7%19.7%15.5%
Skew 25d4.0%2.5%6.7%3.6%3.5%
Skew 10d10.1%6.3%13.2%11.9%7.6%
Call IV 25d13.2%8.4%16.2%15.4%11.8%
Put IV 25d17.1%14.0%21.1%19.0%15.3%
Bid-Ask Spread %49.6238.3167.6356.9858.38
Gamma HHI0.340.160.600.490.24
Net GEX10.4M5.3M18.9M12.7M7.8M
Net DEX-83.2M-143.2M-43.3M-56.3M-78.7M
Net VEX-995.4K-1.1M-834.8K-1.1M-957.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.022.610.300.51
Total Volume1,709.76228313,7484852,242
Total OI111,497.619101,474120,419117,810105,415

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$43.98$42.0017.0%5.2%13.8%36.2%19.7%3.6%1.1%12.7M-56.3M-1.1M0.3056.98N/AN/A37411169,82147,989
2014-08-04$44.48$42.0016.6%5.3%14.3%33.4%0.0%4.6%0.9%12.6M-82.4M-1.1M0.0852.48N/AN/A1,70914469,75147,714
2014-08-05$43.81$42.0017.3%5.4%15.3%38.1%19.1%3.4%0.5%12.9M-62.0M-1.1M2.6149.83N/AN/A12432470,91647,699
2014-08-06$43.50$42.0018.3%5.7%15.3%44.7%18.5%5.0%0.2%12.9M-43.3M-1.1M0.5338.31N/AN/A18710070,99647,971
2014-08-07$43.30$42.0017.4%5.2%15.3%38.9%17.2%5.4%-0.1%12.8M-67.0M-1.0M0.1641.53N/AN/A1,36321571,13548,003
2014-08-08$43.78$42.0016.5%5.5%15.8%32.8%21.1%3.9%0.3%15.8M-49.0M-1.0M0.6440.79N/AN/A28818470,96448,114
2014-08-11$44.41$42.0016.2%5.5%16.4%30.7%18.8%5.0%0.9%18.7M-85.4M-1.0M0.1740.95N/AN/A1,07818370,84747,909
2014-08-12$44.42$42.0015.6%5.4%16.4%26.9%0.0%4.1%1.1%18.9M-92.4M-1.0M0.0241.16N/AN/A3,2695871,74648,049
2014-08-13$44.59$42.0015.6%4.6%16.4%26.7%27.7%4.0%-0.3%15.2M-143.2M-946.0K0.2544.93N/AN/A1,56638470,54048,092
2014-08-14$44.64$42.0015.3%5.3%14.7%25.0%16.6%3.2%-0.4%6.3M-115.5M-1.0M0.6940.76N/AN/A62443271,14748,346
2014-08-15$44.58$42.0014.6%5.2%13.7%20.2%20.9%3.2%-0.9%9.4M-113.0M-1.0M0.0542.17N/AN/A13,14760171,70148,718
2014-08-18$45.04$42.0013.2%5.1%14.1%11.0%16.8%3.4%1.9%5.8M-62.8M-1.0M0.7744.61N/AN/A52940555,51245,962
2014-08-19$45.30$42.0012.1%5.1%13.8%3.7%16.2%3.6%1.4%5.7M-72.5M-981.9K2.5153.44N/AN/A26666855,92446,272
2014-08-20$45.23$42.0012.7%4.9%13.8%7.7%0.0%3.0%1.1%6.0M-73.0M-983.5K0.4049.72N/AN/A26310656,11546,678
2014-08-21$45.19$42.0012.5%4.5%13.7%6.3%19.4%3.5%-0.9%6.3M-96.8M-928.9K0.8553.92N/AN/A15313056,35446,766
2014-08-22$44.99$42.0011.5%4.4%13.7%0.0%20.1%2.5%-7.0%15.6M-106.0M-834.8K0.7955.94N/AN/A70756156,42046,885
2014-08-25$45.37$42.0012.7%4.9%13.9%8.4%0.0%5.6%0.6%5.7M-73.8M-956.3K1.0867.63N/AN/A23325155,50847,192
2014-08-26$45.62$42.008.8%4.2%13.6%0.0%15.5%6.7%1.5%5.7M-106.5M-938.8K0.3958.51N/AN/A1,03440355,68947,350
2014-08-27$45.85$42.0013.6%4.6%13.5%27.1%0.0%2.5%-0.1%5.3M-92.3M-964.4K0.3852.14N/AN/A61323456,49747,725
2014-08-28$45.43$42.0014.1%4.9%12.1%29.6%0.0%3.8%0.6%6.2M-75.1M-963.8K2.5157.82N/AN/A18345957,09847,920
2014-08-29$45.40$42.0013.5%4.8%12.1%26.5%0.0%3.5%0.2%7.8M-78.7M-957.5K0.5158.38N/AN/A1,48975357,24448,171