VWO Options History — August 2015 In August 2015, VWO traded between $32.41 and $38.20. ATM implied volatility averaged 25.4%, placing in the 74.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.2% (HV 20d: 21.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.22.
Notable Days 2015-08-26 : Highest Volume — 16,268 contracts2015-08-24 : Largest IV spike — 36.7% change2015-08-20 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $35.92 $32.41 $38.20 $37.69 $34.54 Max Pain $39.29 $39.00 $40.00 $40.00 $39.00 ATM IV 25.4% 18.5% 41.0% 20.4% 32.8% Expected Move 7.4% 5.3% 11.9% 5.8% 10.2% HV 20d 21.2% 15.6% 30.1% 24.1% 29.7% HV 60d 20.2% 18.5% 24.2% 18.9% 24.1% IV Rank 74.4% 54.7% 100.0% 65.3% 74.0% IV Percentile 93.0% 71.0% 100.0% 90.1% 98.8% Term Structure -0.6% -5.7% 2.0% -0.3% -3.1% VWIV 26.5% 19.0% 49.9% 19.2% 36.5% Skew 25d 5.8% 0.3% 10.7% 4.5% 9.1% Skew 10d 14.6% 3.0% 29.2% 14.4% 26.9% Call IV 25d 22.9% 17.9% 36.6% 18.0% 28.6% Put IV 25d 28.7% 19.9% 44.8% 22.5% 37.7% Bid-Ask Spread % 55.86 41.30 78.51 49.54 60.85 Gamma HHI 0.16 0.10 0.20 0.15 0.12 Net GEX -1.6M -2.1M -905.3K -1.9M -905.3K Net DEX 85.2M 67.7M 101.2M 75.1M 84.8M Net VEX -291.7K -363.8K -192.3K -323.5K -278.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 0.63 4.06 1.22 0.80 Total Volume 7,820.048 648 16,268 954 9,564 Total OI 76,361.905 71,250 83,969 71,250 80,903
Daily Data (21 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 2015-08-03 $37.69 $40.00 20.4% 5.8% 24.1% 65.3% 19.2% 4.5% -0.3% -1.9M 75.1M -323.5K 1.22 49.54 N/A N/A 430 524 33,660 37,590 2015-08-04 $37.77 $40.00 19.7% 5.4% 23.7% 61.2% 19.2% 2.9% 0.2% -2.1M 74.2M -330.9K 1.18 46.66 N/A N/A 2,097 2,470 34,059 38,055 2015-08-05 $37.86 $40.00 18.5% 5.3% 20.2% 54.7% 19.1% 0.3% -0.8% -2.0M 67.7M -363.8K 1.11 41.30 N/A N/A 2,236 2,476 34,245 38,095 2015-08-06 $37.63 $40.00 19.2% 5.6% 18.7% 58.7% 19.0% 1.9% 2.0% -2.1M 75.8M -336.8K 0.63 59.18 N/A N/A 3,963 2,499 34,469 38,104 2015-08-07 $37.55 $39.00 20.1% 5.6% 15.6% 63.7% 19.1% 3.0% 0.5% -1.7M 75.4M -329.7K 0.74 52.20 N/A N/A 3,945 2,922 36,140 38,159 2015-08-10 $38.20 $39.00 18.7% 5.3% 16.9% 55.9% 20.0% 2.1% -0.6% -2.0M 73.2M -330.0K 0.98 59.55 N/A N/A 2,537 2,482 36,135 38,484 2015-08-11 $37.36 $39.00 21.0% 6.5% 18.2% 68.4% 21.6% 6.2% 0.9% -1.8M 76.6M -336.6K 1.12 54.60 N/A N/A 305 343 36,395 38,623 2015-08-12 $36.77 $39.00 22.6% 6.6% 18.4% 77.7% 22.7% 7.4% 0.1% -1.8M 84.7M -305.2K 1.08 47.16 N/A N/A 2,258 2,429 36,588 38,855 2015-08-13 $36.73 $39.00 22.8% 6.6% 17.5% 78.5% 21.9% 6.0% 0.8% -1.7M 83.7M -314.5K 0.94 51.20 N/A N/A 2,459 2,311 36,652 39,022 2015-08-14 $36.80 $39.00 22.1% 6.3% 17.6% 75.0% 21.5% 5.0% -0.6% -1.7M 84.6M -303.8K 0.93 54.78 N/A N/A 2,459 2,287 36,901 39,080 2015-08-17 $36.46 $39.00 22.8% 6.5% 17.7% 78.9% 21.9% 3.9% 1.3% -1.8M 88.2M -297.9K 0.82 52.01 N/A N/A 2,527 2,080 36,878 39,042 2015-08-18 $36.03 $39.00 22.5% 6.4% 17.8% 76.8% 21.1% 5.0% 2.0% -1.8M 92.0M -270.0K 0.85 51.88 N/A N/A 2,414 2,062 36,961 39,060 2015-08-19 $35.52 $39.00 23.8% 6.8% 17.8% 84.0% 22.8% 5.6% 0.5% -1.7M 94.1M -260.6K 0.93 54.42 N/A N/A 4,134 3,839 36,980 39,045 2015-08-20 $34.96 $40.00 27.0% 7.7% 18.2% 100.0% 26.1% 6.0% 0.3% -1.4M 98.5M -255.2K 0.73 54.50 N/A N/A 6,158 4,465 37,648 40,350 2015-08-21 $33.90 $40.00 30.0% 8.6% 20.1% 100.0% 30.7% 8.6% -1.1% -1.2M 101.2M -235.5K 0.72 49.46 N/A N/A 6,178 4,439 37,741 40,519 2015-08-24 $32.41 $39.00 41.0% 11.9% 23.6% 100.0% 49.9% 8.2% -3.1% -906.0K 99.9M -192.3K 4.06 78.51 N/A N/A 2,872 11,659 34,095 38,871 2015-08-25 $32.91 $39.00 35.1% 10.8% 24.2% 81.7% 37.6% 7.1% -2.1% -1.3M 95.0M -239.6K 3.00 62.42 N/A N/A 3,789 11,367 35,118 42,044 2015-08-26 $33.73 $39.00 33.3% 10.3% 26.0% 76.0% 34.1% 8.6% -5.7% -1.6M 97.3M -256.8K 1.17 68.93 N/A N/A 7,494 8,774 37,117 44,337 2015-08-27 $34.98 $39.00 29.5% 8.5% 30.1% 63.4% 36.5% 9.0% -2.6% -1.8M 82.6M -280.5K 1.48 61.92 N/A N/A 5,627 8,321 39,281 44,330 2015-08-28 $34.59 $39.00 31.0% 9.4% 29.9% 68.4% 34.9% 10.7% -0.8% -967.3K 84.0M -285.2K 1.19 61.93 N/A N/A 5,935 7,091 39,483 44,486 2015-08-31 $34.54 $39.00 32.8% 10.2% 29.7% 74.0% 36.5% 9.1% -3.1% -905.3K 84.8M -278.3K 0.80 60.85 N/A N/A 5,316 4,248 38,914 41,989
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