VWO Options History — February 2015

In February 2015, VWO traded between $40.39 and $41.91. ATM implied volatility averaged 17.4%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 2.9% (HV 20d: 20.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.01.

Notable Days

  • 2015-02-11: Highest Volume — 12,951 contracts
  • 2015-02-12: Largest IV drop — 23.3% change
  • 2015-02-09: Highest IV Rank — 68.0%
  • 2015-02-11: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.33$40.39$41.91$40.65$41.82
Max Pain$41.68$40.00$42.00$40.00$42.00
ATM IV17.4%15.0%20.9%19.8%15.3%
Expected Move4.9%4.2%5.8%5.2%4.3%
HV 20d20.2%18.7%21.6%21.6%18.8%
HV 60d19.8%18.8%20.5%19.5%18.8%
IV Rank48.2%35.1%68.0%61.6%36.4%
IV Percentile54.5%29.8%88.9%77.8%33.7%
Term Structure0.2%-1.9%3.8%0.1%-0.2%
VWIV17.7%13.3%21.8%20.2%15.2%
Skew 25d5.2%3.5%7.6%3.5%4.8%
Skew 10d12.4%6.1%18.0%10.0%17.1%
Call IV 25d15.5%13.3%18.2%17.6%13.5%
Put IV 25d20.7%18.2%23.4%21.2%18.2%
Bid-Ask Spread %79.8640.0997.1497.1485.55
Gamma HHI0.110.100.120.120.10
Net GEX799.9K-308.9K1.6M66.5K1.2M
Net DEX5.8M-3.5M24.8M20.8M-273.5K
Net VEX-609.7K-652.2K-572.4K-626.9K-579.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.092.940.472.67
Total Volume9,269.94715712,9512459,384
Total OI77,764.84275,63979,14176,64677,752

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$40.65$40.0019.8%5.2%21.6%61.6%20.2%3.5%0.1%66.5K20.8M-626.9K0.4797.14N/AN/A1677838,07638,570
2015-02-03$41.38$40.0017.5%5.1%21.2%48.9%19.1%4.1%1.4%572.8K3.8M-652.2K2.4594.44N/AN/A3,6328,89338,20238,618
2015-02-04$41.09$40.0019.2%5.0%21.3%58.6%17.8%5.8%-0.4%835.6K5.7M-643.4K2.4095.05N/AN/A3,6688,81438,71438,643
2015-02-05$41.40$42.0018.5%5.5%20.1%54.4%17.7%5.3%-0.8%820.6K6.0M-639.7K2.3386.68N/AN/A3,3147,70838,82038,751
2015-02-06$40.71$42.0020.3%5.6%20.3%64.9%21.3%4.7%0.8%504.0K13.9M-640.8K2.3082.56N/AN/A3,3257,64938,92838,762
2015-02-09$40.67$42.0020.9%5.6%20.2%68.0%21.8%3.8%-1.9%300.4K16.1M-613.5K2.9480.43N/AN/A2,7608,10238,70438,668
2015-02-10$40.57$42.0019.7%5.4%19.8%61.3%19.9%5.9%-1.1%135.7K19.3M-625.7K1.9080.63N/AN/A4,1957,96838,75439,247
2015-02-11$40.39$42.0019.6%5.8%19.9%60.7%19.9%4.6%1.0%-308.9K24.8M-603.8K2.0477.49N/AN/A4,2638,68839,29339,282
2015-02-12$41.37$42.0015.0%5.3%21.5%35.1%13.6%7.6%3.8%594.9K3.1M-621.3K2.2484.31N/AN/A3,8358,59439,35439,443
2015-02-13$41.75$42.0016.1%4.7%21.6%41.1%15.9%5.4%0.8%1.3M-1.0M-627.6K2.0840.09N/AN/A3,9048,12539,59839,543
2015-02-17$41.63$42.0016.8%4.8%21.5%44.8%18.5%5.3%1.3%1.6M-3.5M-613.0K2.3265.32N/AN/A3,4538,02239,47639,402
2015-02-18$41.66$42.0016.4%4.7%21.4%42.5%18.3%5.0%2.0%1.5M-2.6M-601.7K2.6185.78N/AN/A2,6967,03739,25939,537
2015-02-19$41.56$42.0016.0%4.6%20.0%40.7%18.0%5.4%0.7%1.4M-67.0K-599.4K0.4479.56N/AN/A1094839,37039,472
2015-02-20$41.77$42.0016.0%4.6%18.7%40.4%16.2%6.0%-0.8%474.9K-739.5K-587.5K0.0971.54N/AN/A6655839,01039,503
2015-02-23$41.37$42.0016.7%4.9%18.8%44.2%19.7%5.0%-0.5%601.1K7.7M-578.9K2.3577.13N/AN/A2,5505,99037,89037,749
2015-02-24$41.91$42.0015.1%4.3%19.4%35.6%14.7%5.2%-0.1%849.9K-898.6K-572.4K1.6682.36N/AN/A3,8726,42038,02937,816
2015-02-25$41.84$42.0015.6%4.3%19.3%38.3%13.3%5.6%-1.3%1.3M-2.2M-580.5K2.4076.44N/AN/A2,6726,41839,31938,253
2015-02-26$41.79$42.0015.5%4.2%18.8%37.9%15.3%4.8%-0.3%1.4M-309.1K-576.2K2.4374.86N/AN/A2,6396,41439,44638,279
2015-02-27$41.82$42.0015.3%4.3%18.8%36.4%15.2%4.8%-0.2%1.2M-273.5K-579.6K2.6785.55N/AN/A2,5586,82639,44738,305