VWO Options History — September 2014

In September 2014, VWO traded between $41.62 and $46.49. ATM implied volatility averaged 14.7%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.3% (HV 20d: 13.4%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2014-09-08: Highest Volume — 5,923 contracts
2014-09-03: Largest IV spike — 46.5% change
2014-09-29: Highest IV Rank — 61.2%
2014-09-30: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.23	$41.62	$46.49	$45.49	$41.71
Max Pain	$43.14	$42.00	$44.00	$42.00	$44.00
ATM IV	14.7%	9.5%	19.7%	9.5%	18.8%
Expected Move	4.9%	4.5%	5.4%	4.5%	5.4%
HV 20d	13.4%	10.7%	17.2%	11.5%	17.2%
HV 60d	13.1%	11.6%	14.8%	11.6%	14.8%
IV Rank	33.3%	4.0%	61.2%	4.0%	56.1%
IV Percentile	26.0%	0.4%	72.6%	0.4%	62.7%
Term Structure	0.2%	-1.8%	1.4%	1.0%	0.1%
VWIV	16.8%	14.0%	19.7%	14.9%	17.8%
Skew 25d	4.3%	2.1%	7.6%	5.8%	3.6%
Skew 10d	9.6%	3.8%	18.1%	9.7%	12.9%
Call IV 25d	13.7%	10.0%	16.9%	10.0%	16.9%
Put IV 25d	18.0%	14.4%	22.4%	15.8%	20.5%
Bid-Ask Spread %	59.82	46.96	93.59	57.36	59.81
Gamma HHI	0.16	0.09	0.45	0.17	0.11
Net GEX	2.8M	533.9K	5.6M	5.6M	1.3M
Net DEX	-18.8M	-120.0M	72.1M	-118.5M	70.6M
Net VEX	-902.0K	-1.0M	-764.2K	-839.4K	-774.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.13	5.94	0.31	0.33
Total Volume	2,409.905	739	5,923	1,651	1,305
Total OI	110,676.048	98,769	119,491	104,201	104,609

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
2014-09-02	$45.49	$42.00	9.5%	4.5%	11.5%	4.0%	14.9%	5.8%	1.0%	5.6M	-118.5M	-839.4K	0.31	57.36	N/A	N/A	1,261	390	56,624	47,577
2014-09-03	$46.25	$42.00	13.9%	4.5%	11.0%	28.8%	15.2%	3.1%	-0.5%	4.7M	-115.3M	-927.3K	0.13	66.03	N/A	N/A	3,758	495	57,355	47,914
2014-09-04	$46.04	$42.00	15.3%	4.6%	10.8%	36.6%	16.1%	4.1%	-1.8%	5.2M	-108.5M	-946.3K	2.77	47.01	N/A	N/A	937	2,599	59,075	48,380
2014-09-05	$46.49	$42.00	12.7%	4.7%	10.7%	22.0%	16.6%	4.0%	-0.6%	3.1M	-120.0M	-924.8K	1.45	61.46	N/A	N/A	2,376	3,454	59,693	50,829
2014-09-08	$45.95	$42.00	14.0%	4.6%	11.6%	29.0%	16.5%	4.3%	0.4%	3.6M	-88.7M	-983.1K	5.94	48.17	N/A	N/A	853	5,070	59,538	52,974
2014-09-09	$45.39	$42.00	15.1%	5.0%	11.8%	35.6%	16.6%	3.9%	0.9%	4.6M	-57.2M	-1.0M	2.50	56.81	N/A	N/A	476	1,189	60,192	56,294
2014-09-10	$45.19	$42.00	14.0%	4.7%	11.9%	29.5%	17.6%	6.8%	0.6%	3.9M	-67.4M	-930.3K	0.70	57.47	N/A	N/A	738	518	60,511	57,102
2014-09-11	$44.87	$42.00	16.0%	4.9%	12.2%	40.2%	17.3%	5.3%	-0.5%	3.9M	-27.3M	-1.0M	1.57	63.63	N/A	N/A	287	452	61,049	57,507
2014-09-12	$44.26	$42.00	15.8%	5.2%	13.2%	39.3%	18.1%	4.5%	0.7%	2.8M	-1.5M	-978.0K	1.62	46.96	N/A	N/A	927	1,504	61,194	57,841
2014-09-15	$44.07	$44.00	16.8%	5.2%	13.2%	45.1%	16.7%	5.0%	1.0%	1.8M	10.5M	-961.3K	0.35	48.10	N/A	N/A	1,489	520	58,742	57,946
2014-09-16	$44.63	$44.00	12.3%	4.9%	13.5%	20.0%	16.8%	7.6%	1.1%	1.9M	-32.2M	-945.7K	0.37	60.30	N/A	N/A	1,573	584	58,663	58,317
2014-09-17	$44.20	$44.00	16.3%	4.9%	13.7%	41.9%	19.7%	4.2%	-0.0%	2.9M	-1.6M	-958.4K	0.51	93.59	N/A	N/A	1,042	533	59,768	58,665
2014-09-18	$44.30	$44.00	10.9%	4.6%	13.7%	11.9%	0.0%	2.1%	0.2%	3.6M	-46.8M	-793.5K	0.17	57.90	N/A	N/A	1,204	207	59,884	59,019
2014-09-19	$43.97	$44.00	14.0%	5.0%	13.9%	29.5%	17.5%	2.2%	0.6%	4.9M	15.7M	-916.9K	0.93	60.09	N/A	N/A	954	883	60,646	58,845
2014-09-22	$43.32	$44.00	11.6%	4.5%	14.7%	15.5%	14.0%	3.6%	-0.2%	533.9K	19.7M	-875.4K	0.18	59.97	N/A	N/A	4,049	734	50,304	48,465
2014-09-23	$43.04	$44.00	15.2%	5.1%	14.3%	35.7%	0.0%	2.9%	0.5%	858.8K	52.9M	-854.0K	0.75	71.28	N/A	N/A	555	416	53,730	49,099
2014-09-24	$43.26	$44.00	14.8%	5.1%	14.2%	33.7%	17.4%	4.3%	0.7%	795.3K	37.0M	-904.6K	0.16	58.75	N/A	N/A	2,035	317	53,390	49,299
2014-09-25	$42.26	$44.00	15.7%	5.2%	15.7%	38.8%	16.3%	3.7%	1.4%	1.6M	58.1M	-764.2K	0.54	63.98	N/A	N/A	1,325	713	54,983	49,342
2014-09-26	$42.53	$44.00	16.9%	5.1%	16.0%	45.5%	15.8%	4.3%	0.1%	1.1M	52.9M	-874.2K	0.26	57.88	N/A	N/A	924	240	55,690	49,774
2014-09-29	$41.62	$44.00	19.7%	5.4%	17.2%	61.2%	18.6%	6.1%	-0.2%	1.0M	72.1M	-771.1K	0.73	59.70	N/A	N/A	996	726	55,244	48,124
2014-09-30	$41.71	$44.00	18.8%	5.4%	17.2%	56.1%	17.8%	3.6%	0.1%	1.3M	70.6M	-774.2K	0.33	59.81	N/A	N/A	982	323	56,078	48,531