VWO Options History — October 2014 In October 2014, VWO traded between $40.63 and $42.60. ATM implied volatility averaged 20.0%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.5% (HV 20d: 20.4%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.94.
Notable Days 2014-10-29 : Highest Volume — 14,236 contracts2014-10-15 : Largest IV spike — 21.1% change2014-10-15 : Highest IV Rank — 99.9%2014-10-15 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $41.52 $40.63 $42.60 $40.91 $42.60 Max Pain $42.87 $42.00 $44.00 $44.00 $42.00 ATM IV 20.0% 16.8% 26.6% 18.9% 17.0% Expected Move 5.6% 5.0% 6.4% 5.6% 5.0% HV 20d 20.4% 16.1% 22.8% 16.1% 20.6% HV 60d 16.7% 15.3% 17.4% 15.3% 17.4% IV Rank 62.7% 44.7% 99.9% 57.0% 46.1% IV Percentile 70.4% 42.1% 99.6% 65.1% 44.4% Term Structure -0.2% -1.7% 0.7% -1.0% 0.1% VWIV 19.8% 17.1% 23.3% 17.5% 20.3% Skew 25d 5.0% 2.9% 8.1% 5.8% 2.9% Skew 10d 10.5% 5.3% 16.8% 8.3% 5.6% Call IV 25d 18.1% 15.2% 23.6% 17.4% 15.7% Put IV 25d 23.1% 18.6% 31.6% 23.2% 18.6% Bid-Ask Spread % 40.51 28.30 65.05 65.05 31.91 Gamma HHI 0.13 0.10 0.42 0.11 0.13 Net GEX 2.1M 748.6K 9.9M 1.2M 3.5M Net DEX 52.6M -3.5M 74.7M 64.0M -3.5M Net VEX -743.1K -863.1K -616.4K -792.1K -761.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.12 3.34 0.74 0.80 Total Volume 6,159.696 395 14,236 1,381 10,941 Total OI 106,754.87 103,056 112,786 104,702 112,786
Daily Data (23 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 2014-10-01 $40.91 $44.00 18.9% 5.6% 16.1% 57.0% 17.5% 5.8% -1.0% 1.2M 64.0M -792.1K 0.74 65.05 N/A N/A 795 586 56,775 47,927 2014-10-02 $41.16 $44.00 19.4% 5.6% 16.7% 59.8% 17.1% 5.8% 0.7% 1.3M 74.6M -742.0K 2.14 57.69 N/A N/A 768 1,647 57,475 48,275 2014-10-03 $41.50 $44.00 18.3% 5.5% 16.5% 53.1% 21.0% 5.6% 0.2% 2.2M 74.7M -758.3K 0.74 55.15 N/A N/A 617 454 57,704 49,362 2014-10-06 $42.24 $44.00 19.3% 5.5% 18.3% 59.0% 17.2% 4.0% -0.2% 2.0M 32.4M -863.1K 0.43 55.05 N/A N/A 843 360 56,797 47,226 2014-10-07 $41.83 $44.00 18.9% 5.5% 18.2% 56.4% 17.1% 3.6% -0.0% 2.0M 38.8M -837.0K 0.13 58.70 N/A N/A 456 61 57,374 47,315 2014-10-08 $42.52 $44.00 18.8% 5.3% 19.6% 55.9% 18.3% 7.2% 0.1% 2.1M 40.1M -804.6K 0.84 63.05 N/A N/A 6,423 5,396 58,218 47,346 2014-10-09 $41.88 $44.00 20.2% 5.6% 20.0% 63.7% 18.1% 4.5% 0.3% 2.1M 49.0M -817.2K 0.12 31.49 N/A N/A 1,298 155 57,946 48,248 2014-10-10 $40.93 $44.00 22.8% 5.9% 20.9% 78.5% 21.2% 5.1% -0.5% 1.0M 71.7M -735.2K 3.34 33.00 N/A N/A 91 304 58,640 48,282 2014-10-13 $41.43 $44.00 23.6% 6.1% 21.6% 82.9% 23.3% 5.3% 0.2% 1.5M 44.2M -795.4K 0.66 35.76 N/A N/A 1,946 1,280 57,310 46,653 2014-10-14 $41.86 $44.00 22.0% 5.9% 21.4% 73.9% 20.0% 5.5% -0.4% 2.1M 42.5M -758.7K 0.75 32.74 N/A N/A 6,974 5,259 59,075 47,765 2014-10-15 $41.09 $42.00 26.6% 6.4% 22.0% 99.9% 22.7% 8.1% -1.7% 1.8M 56.2M -755.2K 0.76 33.58 N/A N/A 6,354 4,824 59,231 48,004 2014-10-16 $40.63 $42.00 25.0% 6.1% 22.1% 91.0% 23.1% 7.0% -0.8% 748.6K 70.8M -725.7K 2.25 28.30 N/A N/A 357 803 58,655 48,639 2014-10-17 $41.15 $42.00 22.8% 6.0% 22.8% 78.8% 18.5% 5.5% -0.7% 1.2M 63.3M -733.0K 0.61 29.35 N/A N/A 573 349 58,802 48,996 2014-10-20 $41.21 $42.00 21.1% 5.8% 22.5% 69.2% 21.3% 5.7% -0.3% 1.3M 63.3M -701.2K 0.69 35.26 N/A N/A 6,784 4,658 56,301 46,755 2014-10-21 $41.36 $42.00 19.1% 5.7% 22.5% 57.6% 20.4% 4.5% -0.3% 1.6M 62.8M -692.8K 1.02 33.25 N/A N/A 5,594 5,700 57,035 46,957 2014-10-22 $41.04 $42.00 19.7% 5.5% 22.4% 61.1% 20.4% 4.2% -0.4% 1.2M 72.2M -662.5K 1.15 33.55 N/A N/A 4,825 5,547 58,663 48,676 2014-10-23 $41.03 $42.00 19.2% 5.4% 21.1% 58.2% 19.7% 3.8% -0.2% 1.2M 63.6M -686.0K 0.88 33.68 N/A N/A 6,378 5,637 59,062 49,152 2014-10-24 $41.48 $42.00 18.4% 5.5% 21.3% 54.1% 19.9% 4.3% -0.3% 1.9M 56.7M -701.9K 1.00 34.90 N/A N/A 5,569 5,548 60,051 49,501 2014-10-27 $41.04 $42.00 17.3% 5.4% 20.3% 47.7% 18.7% 4.3% 0.2% 1.5M 73.2M -616.4K 0.65 34.28 N/A N/A 713 461 58,721 47,621 2014-10-28 $41.90 $42.00 17.0% 5.2% 21.7% 46.0% 18.3% 4.5% 0.2% 2.7M 41.1M -702.3K 0.37 41.32 N/A N/A 507 189 58,807 47,877 2014-10-29 $41.82 $42.00 17.4% 5.3% 20.4% 48.3% 20.1% 3.8% 0.1% 2.7M 43.9M -701.0K 0.53 39.38 N/A N/A 9,287 4,949 59,120 47,917 2014-10-30 $42.31 $42.00 16.8% 5.3% 20.7% 44.7% 20.4% 3.9% 0.1% 9.9M 14.0M -747.2K 1.11 35.36 N/A N/A 4,454 4,959 64,201 48,119 2014-10-31 $42.60 $42.00 17.0% 5.0% 20.6% 46.1% 20.3% 2.9% 0.1% 3.5M -3.5M -761.5K 0.80 31.91 N/A N/A 6,092 4,849 64,597 48,189
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