VWO Options History — April 2015

In April 2015, VWO traded between $41.42 and $44.95. ATM implied volatility averaged 17.2%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.2% (HV 20d: 18.4%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2015-04-27: Highest Volume — 15,264 contracts
  • 2015-04-02: Largest IV spike — 10.9% change
  • 2015-04-20: Highest IV Rank — 51.7%
  • 2015-04-08: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.70$41.42$44.95$41.42$43.91
Max Pain$40.05$40.00$41.00$41.00$40.00
ATM IV17.2%16.0%18.0%16.0%17.0%
Expected Move5.0%4.6%5.3%4.6%5.0%
HV 20d18.4%14.8%21.8%21.1%16.2%
HV 60d18.6%17.4%19.2%19.0%17.4%
IV Rank47.2%40.3%51.7%40.3%46.2%
IV Percentile61.7%43.7%74.2%43.7%60.7%
Term Structure-0.1%-2.2%1.7%0.4%-0.4%
VWIV17.9%16.0%20.7%18.2%20.7%
Skew 25d3.2%1.2%5.8%3.1%1.2%
Skew 10d6.8%-3.5%15.6%14.5%4.1%
Call IV 25d16.1%14.8%17.3%14.9%17.3%
Put IV 25d19.3%17.9%21.7%18.0%18.5%
Bid-Ask Spread %83.6962.68102.4262.7693.89
Gamma HHI0.140.130.160.140.13
Net GEX2.8M846.4K3.4M2.6M3.2M
Net DEX-61.4M-82.8M-11.0M-11.0M-59.0M
Net VEX-629.9K-668.2K-601.8K-632.3K-668.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.964.050.962.80
Total Volume10,858.9522,11615,26413,83510,504
Total OI85,234.90580,92188,82581,72088,825

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$41.42$41.0016.0%4.6%21.1%40.3%18.2%3.1%0.4%2.6M-11.0M-632.3K0.9662.76N/AN/A7,0646,77144,22437,496
2015-04-02$42.10$40.0017.7%5.0%21.8%50.1%17.5%3.8%-2.2%2.8M-26.3M-624.3K1.8162.68N/AN/A3,5776,48344,58737,657
2015-04-06$42.62$40.0017.5%4.8%21.0%49.0%18.4%4.0%-0.0%2.6M-41.5M-628.2K2.2370.71N/AN/A3,5027,79544,97837,251
2015-04-07$42.50$40.0017.7%5.1%20.9%50.3%17.4%4.3%0.5%2.6M-43.4M-639.5K1.8469.27N/AN/A4,1147,58245,65438,630
2015-04-08$43.33$40.0017.5%5.3%19.7%49.2%19.0%1.7%1.4%2.5M-65.1M-637.5K3.0871.14N/AN/A5181,59846,22338,698
2015-04-09$43.87$40.0017.6%5.2%19.8%49.8%18.3%2.5%0.3%2.4M-74.3M-637.1K1.9172.52N/AN/A4,3748,35946,48040,045
2015-04-10$43.81$40.0017.1%4.8%19.9%46.6%17.2%5.1%-0.4%2.6M-74.4M-641.6K1.7674.48N/AN/A4,4757,85647,58340,176
2015-04-13$43.65$40.0018.0%5.1%19.2%51.7%19.1%2.5%1.5%2.5M-71.5M-645.3K2.6581.86N/AN/A2,9587,84446,32440,143
2015-04-14$43.76$40.0016.7%4.8%19.1%44.6%17.2%3.0%0.9%2.5M-67.1M-621.8K2.4284.08N/AN/A2,7626,69445,97640,173
2015-04-15$44.04$40.0016.1%4.6%19.1%41.0%16.0%3.0%1.7%2.6M-76.0M-601.8K1.4983.84N/AN/A4,5406,76246,02640,226
2015-04-16$44.50$40.0016.7%4.8%17.6%44.3%16.0%2.7%-0.5%2.9M-82.8M-607.9K1.9482.62N/AN/A3,4766,74346,27540,473
2015-04-17$43.54$40.0017.2%5.0%18.3%47.1%17.8%2.4%-0.5%846.4K-62.8M-635.6K2.6993.55N/AN/A2,4676,63446,22740,581
2015-04-20$43.39$40.0018.0%5.0%18.2%51.7%17.0%3.4%-0.1%2.6M-44.8M-607.1K1.6995.80N/AN/A4,1697,06142,81138,110
2015-04-21$43.73$40.0017.5%5.1%18.3%48.9%17.3%3.0%0.3%3.0M-54.3M-627.5K1.6095.03N/AN/A4,1726,66244,83938,794
2015-04-22$44.21$40.0017.2%4.8%18.5%47.3%17.6%2.1%-0.4%3.3M-66.5M-610.5K2.5792.17N/AN/A2,6096,71744,88638,923
2015-04-23$44.45$40.0016.4%5.1%16.4%43.0%17.7%5.8%-0.6%3.4M-67.3M-614.5K2.1191.28N/AN/A3,2676,90945,31138,976
2015-04-24$44.65$40.0016.3%5.1%15.9%42.3%17.5%4.3%-0.8%3.4M-75.0M-616.8K2.5291.49N/AN/A2,7666,97545,94239,337
2015-04-27$44.86$40.0017.2%5.0%15.9%47.1%19.8%2.8%-1.4%3.4M-76.5M-630.7K3.1791.60N/AN/A3,65711,60745,51939,345
2015-04-28$44.95$40.0017.6%4.9%14.8%49.6%16.0%2.8%-0.7%3.3M-78.4M-658.6K4.0594.25N/AN/A2,86311,60646,26441,833
2015-04-29$44.49$40.0017.9%5.0%15.5%51.1%20.2%4.2%-0.3%3.3M-70.5M-641.8K2.15102.42N/AN/A3,6707,87646,27741,835
2015-04-30$43.91$40.0017.0%5.0%16.2%46.2%20.7%1.2%-0.4%3.2M-59.0M-668.2K2.8093.89N/AN/A2,7677,73746,97841,847