VWO Options History — September 2015

In September 2015, VWO traded between $32.03 and $35.27. ATM implied volatility averaged 30.7%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 3.5% (HV 20d: 34.3%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2015-09-28: Highest Volume — 20,536 contracts
  • 2015-09-09: Largest IV drop — 10.3% change
  • 2015-09-01: Highest IV Rank — 88.1%
  • 2015-09-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.67$32.03$35.27$33.15$33.14
Max Pain$35.40$35.00$39.00$39.00$35.00
ATM IV30.7%26.6%37.3%37.3%29.9%
Expected Move8.9%7.7%11.6%11.6%8.5%
HV 20d34.3%29.9%37.2%32.3%32.0%
HV 60d27.1%25.4%28.3%25.4%28.3%
IV Rank64.9%51.6%88.1%88.1%59.3%
IV Percentile95.4%91.7%99.6%99.6%93.7%
Term Structure-1.0%-3.6%1.3%-0.3%-1.9%
VWIV30.1%20.5%42.0%42.0%20.5%
Skew 25d8.9%5.4%11.8%9.1%9.6%
Skew 10d18.8%8.5%26.4%22.9%23.3%
Call IV 25d27.3%22.0%34.1%33.6%25.2%
Put IV 25d36.2%31.3%44.5%42.8%34.8%
Bid-Ask Spread %77.6966.4297.0167.3278.53
Gamma HHI0.120.100.140.110.13
Net GEX-742.5K-989.0K-439.0K-791.1K-521.3K
Net DEX85.6M69.4M95.6M89.9M83.2M
Net VEX-265.2K-317.1K-229.9K-259.6K-262.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.592.930.730.99
Total Volume11,087.817220,5368,96914,999
Total OI82,693.574,95986,89481,25883,905

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$33.15$39.0037.3%11.6%32.3%88.1%42.0%9.1%-0.3%-791.1K89.9M-259.6K0.7367.32N/AN/A5,1783,79139,17942,079
2015-09-02$33.64$39.0034.3%10.2%33.1%77.8%39.7%6.0%-1.3%-849.8K90.8M-256.4K0.7167.14N/AN/A5,1633,66339,33642,201
2015-09-03$33.86$35.0033.0%9.2%33.3%73.5%32.6%11.8%-2.4%-781.9K89.3M-254.2K0.7768.02N/AN/A5,4064,13839,55442,339
2015-09-04$32.85$35.0035.2%9.7%34.5%80.6%34.8%10.4%-0.7%-815.5K95.6M-242.9K0.6066.42N/AN/A6,6653,98240,01142,793
2015-09-08$33.88$35.0033.2%8.9%36.0%74.2%34.4%8.8%-1.9%-831.8K89.2M-264.0K2.9373.60N/AN/A5771,69140,58142,653
2015-09-09$33.69$35.0029.8%8.3%35.5%62.8%30.2%10.7%0.9%-736.0K87.3M-263.3K0.8267.66N/AN/A5,3494,40840,82542,983
2015-09-10$33.96$35.0031.7%8.6%35.6%69.1%31.8%8.6%-1.3%-801.3K90.1M-265.0K1.0272.32N/AN/A5,8235,95040,45243,553
2015-09-11$34.05$35.0030.6%8.7%35.6%65.5%34.1%8.7%-0.3%-825.1K91.5M-284.8K1.3874.97N/AN/A4,6396,38141,13845,303
2015-09-14$34.07$35.0031.4%9.0%35.6%68.1%35.1%9.8%0.1%-916.4K90.8M-285.5K1.3674.55N/AN/A4,3805,93941,03345,542
2015-09-15$34.42$35.0029.4%8.4%35.9%61.5%34.2%7.0%-0.9%-874.0K89.8M-286.7K0.6775.70N/AN/A1036941,04845,591
2015-09-16$35.22$35.0027.2%7.8%36.9%54.1%26.1%6.3%-1.0%-989.0K79.3M-293.9K1.0372.55N/AN/A5,6865,86541,10045,583
2015-09-17$35.27$35.0027.9%8.1%36.5%56.4%25.4%11.8%-1.9%-481.4K69.4M-317.1K1.0096.68N/AN/A5,9445,95342,10244,300
2015-09-18$34.40$35.0026.6%7.7%37.2%52.0%26.7%8.4%-0.7%-439.0K80.9M-291.8K0.9978.28N/AN/A6,3516,25942,46044,434
2015-09-21$34.42$35.0027.1%7.8%35.5%52.9%25.5%8.8%0.3%-486.6K69.4M-279.5K0.8978.06N/AN/A5,3664,77337,20637,753
2015-09-23$33.27$35.0026.8%7.7%33.8%51.6%27.0%9.6%0.0%-730.2K78.0M-248.0K0.9780.26N/AN/A4,9684,83337,65537,956
2015-09-24$33.21$35.0028.2%9.0%33.4%53.0%30.8%6.7%1.3%-901.7K82.1M-235.1K1.3397.01N/AN/A5,7747,70037,69638,014
2015-09-25$32.68$35.0029.9%8.1%32.6%59.2%26.0%5.4%-3.6%-738.4K87.0M-247.7K0.9690.69N/AN/A8,2407,91940,30040,876
2015-09-28$32.03$35.0032.3%10.2%29.9%68.0%22.7%10.9%-1.5%-729.2K88.7M-229.9K0.5988.92N/AN/A12,9237,61340,41040,417
2015-09-29$32.24$35.0032.7%9.8%30.0%69.7%22.5%8.9%-1.9%-610.1K89.0M-235.3K0.7785.16N/AN/A9,7617,53442,88340,626
2015-09-30$33.14$35.0029.9%8.5%32.0%59.3%20.5%9.6%-1.9%-521.3K83.2M-262.9K0.9978.53N/AN/A7,5527,44743,15840,747