VWO Options History — December 2014

In December 2014, VWO traded between $37.75 and $41.60. ATM implied volatility averaged 18.2%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.4% (HV 20d: 19.6%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.47.

Notable Days

  • 2014-12-11: Highest Volume — 20,828 contracts
  • 2014-12-18: Largest IV drop — 11.2% change
  • 2014-12-16: Highest IV Rank — 75.7%
  • 2014-12-17: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.01$37.75$41.60$41.42$40.02
Max Pain$40.45$38.00$43.00$43.00$39.00
ATM IV18.2%15.7%22.3%17.3%18.3%
Expected Move5.5%4.8%6.6%5.2%5.4%
HV 20d19.6%16.8%23.8%17.7%19.5%
HV 60d19.0%18.4%20.4%18.6%18.7%
IV Rank52.6%38.6%75.7%48.0%53.2%
IV Percentile61.3%36.5%92.1%52.8%62.7%
Term Structure0.4%-0.6%1.5%-0.0%-0.2%
VWIV20.4%17.6%28.3%18.6%18.9%
Skew 25d4.1%2.4%6.2%3.3%4.0%
Skew 10d8.4%0.6%16.6%6.4%5.1%
Call IV 25d16.8%14.1%21.3%15.8%16.4%
Put IV 25d20.8%17.8%25.8%19.2%20.5%
Bid-Ask Spread %58.5925.9193.5926.0989.33
Gamma HHI0.240.120.330.150.21
Net GEX-2.3M-5.4M2.3M2.3M-3.9M
Net DEX102.1M71.1M161.6M73.0M71.1M
Net VEX-535.4K-586.5K-459.7K-554.3K-586.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.470.3114.723.3414.72
Total Volume10,880.6823,04620,82812,7544,951
Total OI111,782101,539125,872101,539112,210

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$41.42$43.0017.3%5.2%17.7%48.0%18.6%3.3%-0.0%2.3M73.0M-554.3K3.3426.09N/AN/A2,9419,81353,70947,830
2014-12-02$41.40$43.0016.9%5.2%17.6%45.5%18.6%3.3%0.1%1.6M82.8M-541.9K3.2028.07N/AN/A3,1029,91553,79250,119
2014-12-03$41.60$43.0016.5%4.9%17.7%43.1%18.2%3.7%0.5%1.7M76.1M-561.3K3.8933.85N/AN/A2,5579,95253,40350,210
2014-12-04$41.54$43.0016.2%4.9%17.6%41.6%18.2%4.1%0.9%1.6M76.4M-554.2K10.4833.62N/AN/A4134,32853,43650,210
2014-12-05$41.53$41.0015.7%4.8%16.8%38.6%17.9%3.6%0.3%916.0K85.4M-573.4K4.5728.42N/AN/A2,35310,74953,77054,501
2014-12-08$40.89$41.0016.2%5.1%17.5%41.6%17.6%3.2%0.4%15.6K97.9M-532.3K4.9425.91N/AN/A2,39811,83953,61755,276
2014-12-09$40.35$41.0017.5%5.5%18.0%48.7%18.1%5.2%0.7%-1.4M113.8M-505.1K5.0541.30N/AN/A2,11510,67353,70657,470
2014-12-10$39.78$41.0018.5%5.7%18.5%54.3%18.9%3.8%0.6%-1.9M117.4M-507.0K4.2740.61N/AN/A2,2959,80953,90457,625
2014-12-11$39.42$41.0019.9%6.0%18.6%62.4%19.7%4.4%1.2%-2.4M125.2M-480.2K5.5641.67N/AN/A3,17317,65553,85757,872
2014-12-12$38.86$41.0020.9%6.1%19.0%68.2%20.0%4.7%-0.4%-4.5M140.0M-518.1K2.4637.97N/AN/A3,7289,16853,80865,157
2014-12-15$38.10$41.0021.7%6.3%19.1%72.2%20.9%5.1%-0.6%-5.4M160.9M-463.4K2.8443.60N/AN/A2,2386,35454,08366,685
2014-12-16$37.75$41.0022.3%6.5%18.9%75.7%28.3%4.5%0.3%-5.2M161.6M-459.7K1.7749.49N/AN/A3,5216,22554,76566,956
2014-12-17$39.04$41.0021.4%6.6%23.1%70.7%27.2%5.1%1.5%-4.6M141.5M-510.5K1.2076.78N/AN/A5,6546,79655,95467,511
2014-12-18$39.49$38.0019.0%6.2%23.6%57.3%25.5%4.7%1.4%-4.5M118.9M-562.7K1.4568.63N/AN/A5,1597,47758,27967,593
2014-12-19$39.67$38.0018.6%5.5%23.8%55.1%20.7%3.1%1.4%-4.8M107.5M-560.4K2.1581.93N/AN/A9662,08058,60166,584
2014-12-22$39.99$39.0017.7%5.7%21.1%50.1%21.9%6.2%0.4%-3.4M99.6M-559.6K0.8093.06N/AN/A5,8154,66250,31561,425
2014-12-23$39.65$39.0017.8%5.3%21.1%50.7%22.0%3.1%-0.4%-3.9M84.3M-569.7K0.8184.84N/AN/A5,8754,73450,61756,799
2014-12-24$39.77$39.0016.2%5.1%21.2%41.4%20.4%2.4%0.9%-3.9M85.8M-550.8K0.8084.57N/AN/A5,8744,71350,91956,920
2014-12-26$40.08$39.0016.3%5.5%20.9%41.9%19.3%4.9%-0.1%-3.2M77.0M-557.1K0.9493.02N/AN/A4,9674,66950,95456,938
2014-12-29$39.92$39.0017.5%5.5%20.2%49.0%18.4%2.7%0.2%-3.3M75.1M-536.1K0.8192.56N/AN/A4,7323,85650,80755,092
2014-12-30$40.02$39.0017.5%5.1%19.5%48.6%18.7%4.6%0.1%-3.2M75.8M-535.3K0.3193.59N/AN/A6,9102,17150,84755,078
2014-12-31$40.02$39.0018.3%5.4%19.5%53.2%18.9%4.0%-0.2%-3.9M71.1M-586.5K14.7289.33N/AN/A3154,63655,11557,095