VWO Options History — November 2014

In November 2014, VWO traded between $41.54 and $43.08. ATM implied volatility averaged 16.2%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.1% (HV 20d: 16.1%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.31.

Notable Days

  • 2014-11-18: Highest Volume — 12,853 contracts
  • 2014-11-07: Largest IV drop — 9.4% change
  • 2014-11-06: Highest IV Rank — 53.9%
  • 2014-11-03: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.11$41.54$43.08$42.31$42.17
Max Pain$42.12$42.00$43.00$42.00$43.00
ATM IV16.2%14.6%18.4%17.9%16.1%
Expected Move5.0%4.6%5.3%5.3%4.9%
HV 20d16.1%13.4%19.9%19.9%16.8%
HV 60d17.5%17.0%18.5%17.2%18.5%
IV Rank41.6%32.6%53.9%51.1%40.8%
IV Percentile38.6%25.0%57.9%51.6%40.5%
Term Structure-0.0%-0.8%0.6%0.2%0.1%
VWIV18.6%15.3%20.2%20.1%15.3%
Skew 25d3.0%2.3%3.7%3.3%3.3%
Skew 10d6.3%4.0%10.0%6.1%6.5%
Call IV 25d15.1%12.9%17.2%16.7%14.9%
Put IV 25d18.2%16.5%20.3%20.1%18.2%
Bid-Ask Spread %36.0328.5741.8032.8231.15
Gamma HHI0.150.130.170.130.15
Net GEX3.6M2.6M5.0M3.3M3.4M
Net DEX44.8M18.0M63.0M30.5M54.2M
Net VEX-645.8K-734.8K-579.8K-734.8K-620.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.152.571.300.60
Total Volume6,583.52616012,8537,742160
Total OI104,118.158100,166107,293104,772102,934

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$42.31$42.0017.9%5.3%19.9%51.1%20.1%3.3%0.2%3.3M30.5M-734.8K1.3032.82N/AN/A3,3634,37957,62647,146
2014-11-04$42.41$42.0017.9%5.3%19.5%51.0%20.2%2.9%-0.3%3.5M28.6M-733.2K1.3434.66N/AN/A3,2474,36057,67147,286
2014-11-05$42.13$42.0018.1%5.3%18.8%52.3%19.7%3.7%0.1%3.4M34.8M-714.3K1.2834.44N/AN/A3,3514,30357,64447,262
2014-11-06$41.54$42.0018.4%5.2%18.7%53.9%19.5%3.0%0.0%2.6M53.7M-658.3K1.1232.77N/AN/A3,7714,23057,66147,373
2014-11-07$41.80$42.0016.7%5.1%16.8%44.2%19.7%3.0%0.2%3.0M50.7M-644.7K1.4036.13N/AN/A3,0164,22158,22447,411
2014-11-10$41.83$42.0016.1%4.9%16.3%40.8%18.6%2.8%-0.8%3.3M51.3M-630.9K1.6433.52N/AN/A2,5514,18457,41746,624
2014-11-11$41.92$42.0015.8%4.9%15.9%39.5%18.8%3.0%-0.3%3.7M45.9M-585.3K1.2337.60N/AN/A3,3354,11656,50443,662
2014-11-12$41.81$42.0016.4%5.1%14.3%42.4%19.2%2.8%0.1%3.6M48.4M-638.3K1.2538.49N/AN/A3,2904,12058,19546,682
2014-11-13$41.70$42.0016.9%5.0%13.7%45.4%19.0%2.3%-0.2%3.4M54.7M-605.9K1.2140.02N/AN/A3,4134,14058,13646,732
2014-11-14$42.13$42.0016.1%5.0%13.4%40.9%17.4%2.3%-0.1%4.4M44.9M-633.5K0.5341.80N/AN/A49126258,22746,886
2014-11-17$41.56$42.0016.1%5.0%14.4%41.1%18.4%3.4%0.6%2.8M63.0M-579.8K0.6539.30N/AN/A6,1834,04757,53846,390
2014-11-18$41.82$42.0015.7%4.9%14.5%38.5%18.3%2.9%-0.3%3.9M52.8M-604.6K1.7339.61N/AN/A4,7098,14458,89846,510
2014-11-19$41.89$42.0015.3%5.0%14.2%36.8%17.9%3.7%-0.1%3.8M58.4M-610.0K0.2240.62N/AN/A3708058,77848,515
2014-11-20$41.84$42.0015.1%4.9%14.2%35.2%18.5%2.9%0.5%3.1M59.6M-608.5K2.0239.92N/AN/A3,7387,56556,96848,370
2014-11-21$43.08$42.0015.0%4.8%17.1%35.0%17.8%2.5%0.4%5.0M18.0M-701.0K2.4940.79N/AN/A2,9297,27957,08548,418
2014-11-24$42.78$0.0014.9%4.7%16.8%34.3%0.0%3.1%-0.1%3.9M31.2M-658.7K2.2331.89N/AN/A12828653,29346,950
2014-11-25$42.48$0.0014.6%4.8%15.5%32.6%18.2%3.6%-0.1%4.0M41.3M-638.6K2.5730.45N/AN/A2,9687,62853,34147,210
2014-11-26$42.94$43.0014.9%4.6%15.9%34.6%15.3%3.1%-0.7%4.3M29.7M-669.9K0.1528.57N/AN/A6369454,02748,651
2014-11-28$42.17$43.0016.1%4.9%16.8%40.8%0.0%3.3%0.1%3.4M54.2M-620.4K0.6031.15N/AN/A1006054,31448,620