VWO Options History — January 2015

In January 2015, VWO traded between $38.74 and $42.00. ATM implied volatility averaged 19.5%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.2% (HV 20d: 19.3%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.93.

Notable Days

2015-01-15: Highest Volume — 16,180 contracts
2015-01-22: Largest IV drop — 10.7% change
2015-01-06: Highest IV Rank — 73.6%
2015-01-14: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.38	$38.74	$42.00	$39.61	$39.96
Max Pain	$39.35	$39.00	$40.00	$39.00	$40.00
ATM IV	19.5%	17.3%	21.9%	19.9%	20.7%
Expected Move	5.6%	5.0%	6.1%	5.6%	5.9%
HV 20d	19.3%	15.3%	22.2%	19.5%	21.1%
HV 60d	18.5%	18.1%	19.1%	18.7%	19.1%
IV Rank	60.2%	47.9%	73.6%	62.2%	67.0%
IV Percentile	73.6%	52.0%	90.5%	80.2%	84.9%
Term Structure	0.1%	-1.0%	2.7%	-1.0%	0.3%
VWIV	19.4%	16.8%	22.8%	22.8%	17.0%
Skew 25d	4.7%	2.0%	7.9%	3.2%	6.2%
Skew 10d	12.4%	4.9%	18.6%	5.2%	4.9%
Call IV 25d	17.6%	14.4%	20.3%	17.9%	18.1%
Put IV 25d	22.3%	19.3%	24.3%	21.1%	24.3%
Bid-Ask Spread %	92.38	87.07	102.86	87.07	93.19
Gamma HHI	0.21	0.11	0.78	0.25	0.78
Net GEX	-3.9M	-34.4M	603.2K	-4.7M	-34.4M
Net DEX	46.4M	-10.3M	107.1M	92.6M	41.0M
Net VEX	-608.7K	-661.1K	-564.8K	-591.4K	-638.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	0.36	6.59	0.54	2.12
Total Volume	8,584.85	422	16,180	13,867	13,295
Total OI	99,516.25	71,833	118,695	116,936	81,386

Daily Data (20 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
2015-01-02	$39.61	$39.00	19.9%	5.6%	19.5%	62.2%	22.8%	3.2%	-1.0%	-4.7M	92.6M	-591.4K	0.54	87.07	N/A	N/A	9,002	4,865	55,260	61,676
2015-01-05	$38.93	$39.00	20.7%	6.1%	20.2%	66.9%	20.6%	3.8%	-1.0%	-5.3M	100.2M	-595.8K	1.71	88.28	N/A	N/A	341	582	55,927	60,318
2015-01-06	$38.74	$39.00	21.9%	6.1%	20.2%	73.6%	19.7%	5.5%	-0.0%	-5.6M	107.1M	-576.8K	0.36	90.53	N/A	N/A	1,020	367	56,129	60,818
2015-01-07	$39.63	$39.00	20.5%	5.8%	21.7%	65.9%	21.4%	4.3%	-0.9%	-4.9M	87.5M	-595.9K	3.31	91.04	N/A	N/A	150	496	56,918	60,652
2015-01-08	$40.33	$39.00	18.6%	5.8%	22.2%	55.2%	19.1%	4.7%	0.0%	-4.5M	68.4M	-619.5K	1.52	89.16	N/A	N/A	5,467	8,322	57,047	60,922
2015-01-09	$40.17	$39.00	20.0%	5.6%	21.7%	62.9%	19.8%	5.1%	0.6%	-2.1M	66.1M	-610.2K	1.24	93.93	N/A	N/A	5,335	6,637	57,146	61,549
2015-01-12	$39.75	$39.00	20.3%	5.6%	21.7%	64.3%	21.4%	5.0%	-0.2%	-3.1M	72.2M	-570.5K	0.87	90.82	N/A	N/A	5,380	4,688	56,776	59,158
2015-01-13	$39.98	$39.00	19.4%	6.0%	21.1%	59.2%	19.6%	4.2%	2.7%	-2.3M	65.6M	-590.4K	0.93	94.90	N/A	N/A	5,610	5,207	57,068	59,178
2015-01-14	$39.90	$39.00	21.1%	6.1%	19.6%	68.9%	19.6%	3.1%	0.4%	-2.0M	69.7M	-588.9K	1.72	92.45	N/A	N/A	5,617	9,646	57,630	59,482
2015-01-15	$39.97	$39.00	20.3%	5.9%	19.2%	64.3%	19.8%	3.3%	-0.1%	-1.7M	60.9M	-598.8K	1.55	91.40	N/A	N/A	6,341	9,839	57,691	59,480
2015-01-16	$40.39	$39.00	20.0%	5.7%	15.7%	62.8%	18.5%	5.3%	1.1%	-1.8M	58.2M	-587.1K	0.83	88.26	N/A	N/A	305	253	58,019	59,419
2015-01-20	$40.25	$39.00	20.8%	6.0%	15.3%	67.2%	16.8%	6.5%	-0.7%	-2.2M	21.5M	-564.8K	6.59	96.65	N/A	N/A	439	2,894	35,538	36,295
2015-01-21	$41.15	$39.00	19.6%	5.6%	17.0%	60.4%	19.4%	7.9%	-0.8%	-1.4M	10.2M	-584.5K	0.92	91.89	N/A	N/A	396	364	35,928	39,118
2015-01-22	$42.00	$40.00	17.5%	5.0%	18.2%	48.7%	19.7%	4.8%	-0.8%	-122.5K	-10.3M	-624.2K	4.25	88.82	N/A	N/A	2,264	9,612	36,203	39,356
2015-01-23	$41.66	$40.00	17.8%	5.1%	18.1%	50.4%	19.3%	5.7%	-0.2%	-126.9K	-5.3M	-640.2K	3.44	95.17	N/A	N/A	3,259	11,205	37,097	41,758
2015-01-26	$41.71	$40.00	17.3%	5.1%	18.2%	47.9%	21.4%	3.3%	-0.0%	-642.6K	-487.8K	-640.5K	1.57	92.72	N/A	N/A	973	1,528	37,391	41,929
2015-01-27	$41.49	$40.00	17.3%	5.3%	18.2%	48.0%	17.6%	5.3%	0.3%	603.2K	2.8M	-661.1K	0.92	92.88	N/A	N/A	220	202	37,090	42,746
2015-01-28	$41.01	$40.00	17.8%	5.0%	18.7%	50.3%	16.8%	4.4%	1.2%	-843.4K	9.3M	-639.4K	2.49	102.86	N/A	N/A	4,428	11,037	37,147	42,811
2015-01-29	$41.02	$40.00	18.9%	5.6%	18.7%	56.9%	18.8%	2.0%	1.6%	-1.5M	10.8M	-654.9K	1.70	95.51	N/A	N/A	5,218	8,893	37,390	42,879
2015-01-30	$39.96	$40.00	20.7%	5.9%	21.1%	67.0%	17.0%	6.2%	0.3%	-34.4M	41.0M	-638.0K	2.12	93.19	N/A	N/A	4,256	9,039	38,376	43,010