VWO Options History — June 2015

In June 2015, VWO traded between $40.41 and $42.46. ATM implied volatility averaged 17.0%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.8% (HV 20d: 13.2%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-06-17: Highest Volume — 15,872 contracts
  • 2015-06-24: Largest IV spike — 13.8% change
  • 2015-06-29: Highest IV Rank — 58.4%
  • 2015-06-29: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.63$40.41$42.46$42.28$40.93
Max Pain$42.86$42.00$43.00$42.00$43.00
ATM IV17.0%13.8%19.2%16.9%18.8%
Expected Move4.9%4.0%6.1%5.0%5.8%
HV 20d13.2%11.8%16.0%13.7%16.0%
HV 60d15.8%14.6%17.4%17.4%15.0%
IV Rank46.1%28.0%58.4%45.6%56.4%
IV Percentile54.5%14.7%84.5%55.6%80.6%
Term Structure0.0%-1.7%1.6%0.6%-1.0%
VWIV15.6%12.7%19.1%18.3%13.0%
Skew 25d3.0%1.2%5.4%2.2%3.3%
Skew 10d6.1%1.2%14.1%8.8%5.6%
Call IV 25d16.2%13.8%18.9%18.0%16.7%
Put IV 25d19.2%15.6%21.6%20.3%20.0%
Bid-Ask Spread %51.0239.4576.8349.0058.16
Gamma HHI0.110.090.130.100.11
Net GEX84.9K-536.3K1.3M560.3K-39.0K
Net DEX29.8M6.9M45.3M8.7M34.2M
Net VEX-545.8K-594.5K-488.3K-594.5K-544.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.053.151.100.93
Total Volume9,259.86458815,87211,8847,467
Total OI82,596.86470,60690,31985,69973,733

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$42.28$42.0016.9%5.0%13.7%45.6%18.3%2.2%0.6%560.3K8.7M-594.5K1.1049.00N/AN/A5,6546,23042,05743,642
2015-06-02$42.46$42.0017.6%4.9%13.7%49.4%18.3%2.8%-0.7%407.2K6.9M-577.4K0.0555.88N/AN/A5622641,69843,701
2015-06-03$42.27$42.0016.8%4.9%13.4%44.9%16.9%3.5%0.1%485.7K12.9M-573.2K1.2648.23N/AN/A3,3524,21841,88543,725
2015-06-04$41.61$43.0018.4%4.7%13.6%54.3%15.6%3.9%0.1%251.6K24.2M-575.1K1.0945.42N/AN/A3,9374,29143,18943,807
2015-06-05$41.45$43.0018.8%5.3%13.6%56.3%16.9%2.2%-1.1%-385.9K33.5M-555.8K0.7947.95N/AN/A5,3824,27342,70944,421
2015-06-08$41.45$43.0018.5%5.5%11.9%54.5%19.1%3.0%0.8%-421.6K35.5M-534.4K0.5543.58N/AN/A7,6614,23942,37644,404
2015-06-09$41.12$43.0018.1%5.3%11.8%52.6%17.4%3.6%0.3%-394.0K40.0M-563.5K0.6039.45N/AN/A7,2814,38944,46344,467
2015-06-10$41.71$43.0017.4%5.0%13.3%48.3%18.0%3.6%0.4%19.3K29.3M-561.7K0.3944.66N/AN/A7,7283,05043,88744,686
2015-06-11$41.52$43.0016.9%4.6%13.3%45.8%13.2%3.9%-1.7%-59.3K30.9M-562.6K0.5244.79N/AN/A9,6955,04043,66544,800
2015-06-12$41.55$43.0015.8%4.5%12.6%39.1%12.7%2.0%-0.4%276.8K29.7M-553.2K0.4144.13N/AN/A7,6473,10642,95943,967
2015-06-15$41.15$43.0017.7%5.0%11.9%49.9%14.6%3.4%1.6%-372.2K40.5M-522.3K0.4349.60N/AN/A7,5183,19742,81043,997
2015-06-16$41.21$43.0017.7%5.1%11.9%49.8%15.0%3.0%1.2%-473.2K45.3M-525.9K0.4347.13N/AN/A7,5683,22642,92944,127
2015-06-17$41.51$43.0016.5%4.7%12.3%43.4%15.3%1.8%-0.4%-250.0K37.3M-488.3K1.2653.69N/AN/A7,0388,83442,95944,141
2015-06-18$41.83$43.0015.4%4.4%12.9%37.0%14.4%5.4%-0.8%324.7K30.4M-550.4K3.1142.61N/AN/A1,8855,86343,06247,165
2015-06-19$41.55$43.0016.0%4.5%12.9%40.6%14.8%4.1%0.5%-20.7K42.8M-542.3K3.1548.36N/AN/A1,8545,84543,09247,227
2015-06-22$42.02$43.0015.0%4.2%13.7%34.8%14.3%3.3%-0.2%335.4K25.6M-536.1K0.5851.75N/AN/A5,1022,96833,16637,635
2015-06-23$42.40$43.0013.8%4.0%13.4%28.0%14.5%1.9%-0.0%1.3M19.1M-525.9K1.2653.60N/AN/A2,3652,97632,89137,715
2015-06-24$42.23$43.0015.7%4.5%13.3%38.7%14.6%2.9%-0.3%763.5K18.8M-544.8K1.7955.46N/AN/A2,5654,59033,36137,720
2015-06-25$42.03$43.0015.8%4.3%12.6%39.1%14.5%1.2%0.7%228.5K26.0M-536.2K1.5676.83N/AN/A3,1004,84633,82939,760
2015-06-26$41.25$43.0017.4%4.9%13.7%48.2%15.7%1.9%0.4%-140.3K40.2M-532.1K1.4757.53N/AN/A2,6593,91633,98939,978
2015-06-29$40.41$43.0019.2%6.1%15.3%58.4%15.9%3.2%0.0%-536.3K43.9M-507.7K0.8164.62N/AN/A5,8414,73333,17638,161
2015-06-30$40.93$43.0018.8%5.8%16.0%56.4%13.0%3.3%-1.0%-39.0K34.2M-544.3K0.9358.16N/AN/A3,8783,58934,71439,019