VWO Options History — May 2015

In May 2015, VWO traded between $42.38 and $44.38. ATM implied volatility averaged 16.4%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.9% (HV 20d: 14.5%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.37.

Notable Days

2015-05-07: Highest Volume — 12,480 contracts
2015-05-26: Largest IV spike — 18.0% change
2015-05-07: Highest IV Rank — 55.6%
2015-05-06: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.68	$42.38	$44.38	$44.20	$42.38
Max Pain	$41.90	$40.00	$42.00	$40.00	$42.00
ATM IV	16.4%	14.3%	18.7%	17.4%	17.9%
Expected Move	4.8%	4.0%	5.7%	4.8%	5.0%
HV 20d	14.5%	13.1%	15.8%	15.5%	14.0%
HV 60d	17.2%	16.9%	17.5%	17.3%	17.4%
IV Rank	42.9%	31.3%	55.6%	48.5%	51.1%
IV Percentile	49.9%	20.6%	80.2%	65.5%	72.2%
Term Structure	0.6%	-0.9%	4.7%	-0.2%	-0.7%
VWIV	16.3%	12.6%	19.0%	12.6%	16.6%
Skew 25d	3.7%	0.2%	6.0%	0.2%	5.7%
Skew 10d	8.2%	2.6%	16.0%	3.5%	6.8%
Call IV 25d	15.4%	13.3%	17.4%	17.4%	16.8%
Put IV 25d	19.1%	16.5%	22.5%	17.6%	22.5%
Bid-Ask Spread %	75.67	51.28	91.06	91.06	55.79
Gamma HHI	0.12	0.10	0.17	0.13	0.10
Net GEX	2.9M	877.0K	5.0M	3.4M	877.0K
Net DEX	-37.6M	-65.2M	7.2M	-64.0M	7.2M
Net VEX	-633.8K	-668.3K	-599.4K	-641.9K	-599.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.37	0.05	2.67	2.67	1.20
Total Volume	7,693.8	154	12,480	10,569	7,071
Total OI	88,986	83,689	94,590	88,782	86,408

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
2015-05-01	$44.20	$40.00	17.4%	4.8%	15.5%	48.5%	12.6%	0.2%	-0.2%	3.4M	-64.0M	-641.9K	2.67	91.06	N/A	N/A	2,877	7,692	46,913	41,869
2015-05-04	$44.38	$42.00	15.5%	4.9%	15.0%	37.8%	16.4%	3.9%	0.1%	3.5M	-65.2M	-625.5K	0.57	82.91	N/A	N/A	98	56	46,478	41,961
2015-05-05	$43.94	$42.00	17.5%	5.2%	15.5%	48.8%	16.4%	4.4%	0.3%	3.3M	-57.5M	-651.0K	1.10	82.77	N/A	N/A	4,545	5,013	46,541	42,014
2015-05-06	$43.32	$42.00	17.7%	5.7%	15.0%	50.1%	19.0%	2.1%	0.4%	3.8M	-45.1M	-653.2K	1.72	89.63	N/A	N/A	3,282	5,648	47,534	42,090
2015-05-07	$43.25	$42.00	18.7%	5.6%	14.3%	55.6%	17.9%	3.3%	-0.6%	3.4M	-35.7M	-668.3K	1.98	86.33	N/A	N/A	4,189	8,291	48,372	45,090
2015-05-08	$43.94	$42.00	16.1%	4.8%	15.5%	41.3%	17.8%	2.9%	-0.6%	5.0M	-52.3M	-650.5K	0.63	83.63	N/A	N/A	343	216	48,133	46,169
2015-05-11	$43.52	$42.00	16.0%	4.6%	15.8%	40.7%	16.8%	6.0%	0.9%	2.7M	-43.1M	-665.9K	1.73	85.71	N/A	N/A	394	681	46,540	46,258
2015-05-12	$43.45	$42.00	16.4%	5.1%	15.8%	42.9%	17.1%	5.6%	0.2%	2.5M	-37.8M	-646.3K	1.78	86.83	N/A	N/A	4,074	7,272	46,689	46,931
2015-05-13	$43.50	$42.00	16.4%	5.4%	15.6%	43.0%	16.9%	3.0%	4.7%	2.8M	-45.1M	-663.1K	1.51	85.87	N/A	N/A	4,164	6,299	47,261	46,953
2015-05-14	$43.92	$42.00	15.7%	4.5%	15.5%	39.0%	14.1%	4.1%	-0.5%	3.3M	-49.9M	-634.3K	1.47	87.48	N/A	N/A	4,288	6,308	47,368	46,984
2015-05-15	$44.34	$42.00	15.2%	4.3%	13.7%	36.2%	15.4%	4.8%	0.9%	2.9M	-60.0M	-610.7K	1.60	87.40	N/A	N/A	3,965	6,353	47,463	47,127
2015-05-18	$43.94	$42.00	14.6%	4.2%	14.1%	32.7%	15.1%	4.1%	2.1%	2.8M	-33.3M	-632.3K	0.06	88.61	N/A	N/A	1,449	89	41,686	42,003
2015-05-19	$44.04	$42.00	15.1%	4.3%	13.9%	35.5%	15.6%	3.0%	1.6%	3.1M	-37.4M	-646.8K	0.05	72.63	N/A	N/A	765	42	43,083	42,088
2015-05-20	$43.97	$42.00	14.9%	4.3%	13.3%	34.3%	14.5%	3.2%	0.9%	2.8M	-31.0M	-631.2K	1.17	66.06	N/A	N/A	5,118	5,988	42,845	42,103
2015-05-21	$43.86	$42.00	14.3%	4.0%	13.2%	31.3%	15.8%	2.5%	1.9%	3.0M	-33.3M	-618.5K	1.23	61.08	N/A	N/A	4,969	6,100	43,018	42,162
2015-05-22	$43.98	$42.00	14.9%	4.1%	13.1%	34.1%	15.4%	3.3%	0.8%	2.9M	-33.0M	-620.5K	1.08	60.20	N/A	N/A	4,744	5,122	43,087	42,207
2015-05-26	$43.30	$42.00	17.5%	4.7%	13.9%	49.1%	18.2%	3.8%	-0.9%	2.1M	-20.9M	-609.9K	1.56	55.30	N/A	N/A	3,443	5,370	42,499	42,140
2015-05-27	$43.43	$42.00	18.2%	4.5%	14.0%	53.0%	17.6%	3.1%	-0.2%	2.0M	-15.6M	-607.0K	2.39	52.75	N/A	N/A	2,686	6,412	42,535	42,706
2015-05-28	$42.85	$42.00	18.2%	5.0%	14.3%	52.6%	17.6%	5.5%	0.0%	1.2M	464.9K	-599.7K	1.79	51.28	N/A	N/A	3,035	5,425	42,547	43,865
2015-05-29	$42.38	$42.00	17.9%	5.0%	14.0%	51.1%	16.6%	5.7%	-0.7%	877.0K	7.2M	-599.4K	1.20	55.79	N/A	N/A	3,211	3,860	42,440	43,968