VWO Options History — March 2015

In March 2015, VWO traded between $39.15 and $41.74. ATM implied volatility averaged 17.5%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.5% (HV 20d: 16.9%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2015-03-31: Highest Volume — 17,584 contracts
  • 2015-03-25: Largest IV spike — 21.9% change
  • 2015-03-10: Highest IV Rank — 60.7%
  • 2015-03-25: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.35$39.15$41.74$41.74$40.82
Max Pain$41.27$41.00$42.00$42.00$41.00
ATM IV17.5%15.6%19.6%16.1%15.6%
Expected Move5.0%4.3%5.8%4.5%4.7%
HV 20d16.9%13.9%21.1%15.9%20.8%
HV 60d18.7%17.4%19.3%18.8%19.2%
IV Rank48.7%38.0%60.7%40.8%38.0%
IV Percentile60.1%36.9%82.1%43.3%36.9%
Term Structure0.0%-4.9%1.9%-0.0%0.2%
VWIV17.2%14.6%20.6%14.8%16.7%
Skew 25d3.4%-0.1%6.7%2.4%3.4%
Skew 10d10.8%-1.0%18.6%10.8%6.6%
Call IV 25d16.5%14.3%19.2%14.9%14.9%
Put IV 25d19.9%17.1%23.1%17.3%18.3%
Bid-Ask Spread %87.1844.44100.3080.8744.44
Gamma HHI0.150.100.210.110.15
Net GEX824.4K-1.8M3.3M1.4M2.7M
Net DEX20.5M-1.2M47.9M1.2M2.0M
Net VEX-543.4K-567.6K-508.1K-561.3K-550.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.055.472.571.50
Total Volume5,390.27332617,5849,25117,584
Total OI79,347.77372,29690,99577,86473,700

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$41.74$42.0016.1%4.5%15.9%40.8%14.8%2.4%-0.0%1.4M1.2M-561.3K2.5780.87N/AN/A2,5906,66139,28238,582
2015-03-03$41.33$42.0015.8%4.7%15.4%39.3%16.8%3.2%-1.4%800.5K8.3M-556.8K2.5582.45N/AN/A2,5626,53139,43338,724
2015-03-04$40.88$42.0016.2%4.8%14.5%41.6%17.9%3.6%-0.1%254.4K17.3M-543.4K2.1991.17N/AN/A3,2127,05039,53338,736
2015-03-05$40.82$42.0016.0%4.3%14.3%40.7%16.6%2.2%-0.4%180.0K18.6M-555.7K2.3391.63N/AN/A2,8586,64840,14139,353
2015-03-06$40.13$42.0018.3%5.2%15.2%53.2%17.4%2.5%-1.7%-228.9K26.6M-544.2K2.6194.90N/AN/A2,5616,68540,29939,440
2015-03-09$39.98$42.0017.9%5.1%14.1%51.0%15.7%4.0%0.7%-644.8K33.2M-533.0K0.1188.76N/AN/A3,10034540,32439,473
2015-03-10$39.15$41.0019.6%5.5%15.8%60.7%17.6%4.3%0.2%-1.4M45.8M-515.6K0.2088.47N/AN/A1,74235640,68039,709
2015-03-11$39.46$41.0019.6%5.6%16.2%60.6%18.9%3.0%-0.2%-1.4M43.3M-525.0K0.8086.69N/AN/A53843040,67139,969
2015-03-12$39.68$41.0018.8%5.2%16.3%56.5%18.0%3.8%-0.5%-788.9K37.0M-519.4K0.3292.00N/AN/A2477940,63740,358
2015-03-13$39.20$41.0019.5%5.7%13.9%59.9%14.6%1.7%1.5%-1.8M47.9M-508.1K0.5091.08N/AN/A61030340,75840,415
2015-03-16$39.66$41.0018.3%5.2%14.2%53.4%17.5%5.7%-0.5%-1.1M37.1M-519.6K0.2594.50N/AN/A54413441,01840,475
2015-03-17$39.91$41.0019.1%5.4%14.5%57.7%19.0%3.7%0.7%-271.6K33.7M-513.8K0.0595.75N/AN/A4,43120241,38440,579
2015-03-18$40.94$41.0017.0%4.9%17.5%45.9%19.9%6.7%1.9%1.9M10.6M-552.8K3.54100.04N/AN/A1,7326,12446,84240,685
2015-03-19$40.22$41.0017.8%5.1%18.5%50.4%17.0%3.8%0.6%1.9M20.9M-551.7K0.6249.83N/AN/A93057346,33444,168
2015-03-20$40.72$41.0016.2%4.6%19.0%41.5%15.6%3.4%0.6%1.9M14.0M-560.3K0.1068.51N/AN/A2,40324146,39844,597
2015-03-23$40.84$41.0015.6%4.4%18.8%38.1%15.1%4.1%1.1%3.2M2.3M-564.6K1.0092.00N/AN/A98398439,91232,384
2015-03-24$41.00$41.0015.6%4.3%18.2%38.0%15.2%4.4%0.5%3.3M-1.2M-567.6K0.3388.13N/AN/A64121340,76433,352
2015-03-25$40.22$41.0019.0%5.8%19.3%57.2%20.6%-0.1%-4.9%2.4M10.2M-552.8K0.2399.61N/AN/A1,37331540,49633,314
2015-03-26$40.01$41.0018.0%5.1%19.4%51.7%18.0%3.6%0.3%1.8M19.0M-554.7K2.0497.78N/AN/A4,2998,75841,25833,488
2015-03-27$40.08$41.0017.4%5.0%19.4%48.6%17.3%2.7%1.5%1.7M19.8M-549.1K5.4799.08N/AN/A1971,07841,26133,434
2015-03-30$40.94$41.0017.2%4.5%21.1%47.0%18.7%3.6%0.3%2.3M3.1M-555.2K2.07100.30N/AN/A3,1716,56839,72233,569
2015-03-31$40.82$41.0015.6%4.7%20.8%38.0%16.7%3.4%0.2%2.7M2.0M-550.5K1.5044.44N/AN/A7,04410,54040,22333,477