VWO Options History — July 2015

In July 2015, VWO traded between $37.49 and $41.08. ATM implied volatility averaged 19.7%, placing in the 61.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 4.0% (HV 20d: 23.7%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-07-10: Highest Volume — 8,813 contracts
  • 2015-07-27: Largest IV spike — 21.6% change
  • 2015-07-09: Highest IV Rank — 92.2%
  • 2015-07-08: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.25$37.49$41.08$40.87$38.25
Max Pain$41.27$41.00$43.00$43.00$41.00
ATM IV19.7%16.6%25.2%18.6%18.7%
Expected Move5.5%4.5%7.0%4.9%5.2%
HV 20d23.7%15.3%25.9%16.0%25.6%
HV 60d17.6%14.5%18.8%15.0%18.7%
IV Rank61.2%44.1%92.2%55.0%55.9%
IV Percentile77.2%41.3%99.6%77.8%73.8%
Term Structure-0.6%-2.5%2.1%-0.2%-0.2%
VWIV18.7%14.9%25.0%17.3%17.2%
Skew 25d4.1%0.9%6.2%3.1%3.5%
Skew 10d7.8%2.6%16.8%3.9%16.8%
Call IV 25d17.9%15.0%22.7%16.9%17.9%
Put IV 25d22.1%18.4%27.9%20.0%21.3%
Bid-Ask Spread %54.2946.1670.8960.9651.60
Gamma HHI0.130.110.150.120.15
Net GEX-758.5K-2.1M622.0K-31.7K-1.9M
Net DEX56.3M31.6M75.3M34.8M69.2M
Net VEX-431.8K-543.5K-336.8K-530.3K-350.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.481.201.120.98
Total Volume6,588.1823,9428,8136,9824,236
Total OI73,632.36470,80677,88373,74471,221

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$40.87$43.0018.6%4.9%16.0%55.0%17.3%3.1%-0.2%-31.7K34.8M-530.3K1.1260.96N/AN/A3,2963,68634,77838,966
2015-07-02$41.08$43.0018.8%5.6%15.3%56.3%18.5%4.6%-1.0%7.2K31.6M-543.5K1.2056.85N/AN/A3,1133,73034,95939,065
2015-07-06$39.90$42.0021.2%5.9%18.3%69.9%20.1%6.2%-0.2%-540.0K49.4M-500.2K0.8349.21N/AN/A3,1542,61334,88838,855
2015-07-07$39.30$42.0020.1%6.3%18.9%63.3%20.8%4.2%-0.7%-1.1M62.5M-453.2K0.7656.22N/AN/A3,9022,94734,83338,957
2015-07-08$37.93$41.0024.0%7.0%22.2%85.4%25.0%3.5%-0.7%-1.2M71.9M-434.7K0.7865.33N/AN/A4,3933,42535,09239,320
2015-07-09$38.72$41.0025.2%6.8%23.0%92.2%20.3%5.2%2.1%-998.5K61.5M-468.3K0.7563.61N/AN/A4,5823,43835,00039,920
2015-07-10$39.75$41.0023.5%6.1%25.3%82.5%21.8%4.6%-1.5%-843.6K55.2M-473.2K0.6465.75N/AN/A5,3863,42735,39740,058
2015-07-13$40.00$41.0021.2%5.7%25.5%69.9%22.4%3.3%-1.7%-175.9K48.7M-473.6K0.7570.89N/AN/A4,2353,15636,47839,995
2015-07-14$40.10$41.0018.8%5.2%25.3%56.1%19.0%3.7%-0.6%241.4K51.3M-460.6K0.7358.78N/AN/A4,3693,18636,53740,005
2015-07-15$39.59$41.0019.2%4.9%25.6%58.4%19.2%3.4%-2.5%71.6K51.6M-456.9K0.8147.57N/AN/A4,1043,31236,91039,778
2015-07-16$40.06$41.0017.5%4.8%25.9%49.2%15.8%3.9%-1.3%622.0K51.0M-446.2K0.6555.32N/AN/A5,0983,31537,04039,885
2015-07-17$40.05$41.0016.6%4.5%25.7%44.1%14.9%2.6%-1.5%424.2K46.7M-454.8K0.7846.99N/AN/A4,2633,33738,09639,787
2015-07-20$39.81$41.0017.5%5.1%25.6%48.7%17.1%4.1%-0.4%-382.0K46.0M-434.1K1.0348.80N/AN/A3,2283,31734,24637,452
2015-07-21$39.83$41.0016.6%4.8%25.2%44.1%16.8%4.0%1.0%-216.0K44.8M-433.2K1.1948.83N/AN/A2,7273,25134,48537,406
2015-07-22$39.27$41.0017.0%4.9%25.1%46.0%17.0%4.7%0.3%-515.9K50.4M-421.9K1.2051.44N/AN/A2,7023,24034,48937,421
2015-07-23$38.92$41.0018.2%5.2%25.2%52.8%16.7%0.9%-0.8%-1.1M55.2M-397.9K1.1549.54N/AN/A2,8653,28934,52437,456
2015-07-24$38.41$41.0019.0%5.5%25.4%57.5%17.1%5.1%-0.5%-1.5M64.4M-385.6K1.1650.70N/AN/A2,1832,52634,52537,570
2015-07-27$37.49$41.0023.1%6.5%25.8%80.5%21.9%5.6%-1.7%-1.7M75.3M-343.7K0.4848.72N/AN/A4,0221,93034,25337,343
2015-07-28$37.85$41.0020.7%5.7%25.6%67.0%16.9%4.0%-1.1%-1.8M73.4M-353.5K0.4946.16N/AN/A4,0401,98733,39237,414
2015-07-29$38.27$41.0018.9%5.0%25.5%56.8%17.0%5.4%-1.1%-2.1M72.0M-336.8K0.5254.29N/AN/A3,9352,05333,44237,494
2015-07-30$38.01$41.0018.5%5.4%25.5%54.5%19.3%5.8%0.7%-2.0M72.5M-347.0K1.0946.91N/AN/A1,8872,05533,51937,661
2015-07-31$38.25$41.0018.7%5.2%25.6%55.9%17.2%3.5%-0.2%-1.9M69.2M-350.9K0.9851.60N/AN/A2,1352,10133,55337,668