VWO Options History — October 2015 In October 2015, VWO traded between $33.07 and $36.44. ATM implied volatility averaged 23.5%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 3.0% (HV 20d: 26.5%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.86.
Notable Days 2015-10-01 : Highest Volume — 15,533 contracts2015-10-13 : Largest IV spike — 10.7% change2015-10-01 : Highest IV Rank — 63.1%2015-10-01 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $35.44 $33.07 $36.44 $33.07 $34.87 Max Pain $34.77 $34.00 $35.00 $35.00 $35.00 ATM IV 23.5% 20.4% 30.9% 30.9% 20.6% Expected Move 6.7% 5.9% 8.2% 8.2% 6.0% HV 20d 26.5% 21.0% 30.7% 28.5% 21.0% HV 60d 28.3% 27.5% 28.6% 28.2% 28.4% IV Rank 35.8% 24.5% 63.1% 63.1% 25.0% IV Percentile 81.9% 71.4% 94.4% 94.4% 71.4% Term Structure 0.4% -3.0% 3.8% -3.0% 0.9% VWIV 24.0% 17.8% 31.2% 19.7% 21.8% Skew 25d 5.8% 2.6% 11.0% 11.0% 3.7% Skew 10d 16.1% 5.5% 24.4% 24.4% 15.6% Call IV 25d 21.2% 18.2% 25.4% 23.2% 20.8% Put IV 25d 27.0% 23.3% 34.3% 34.3% 24.5% Bid-Ask Spread % 70.79 42.97 93.67 77.09 54.43 Gamma HHI 0.16 0.11 0.28 0.12 0.11 Net GEX 110.2K -1.3M 1.6M -297.5K -440.0K Net DEX 55.9M 34.9M 79.3M 79.3M 68.9M Net VEX -311.6K -336.8K -271.2K -271.2K -286.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.86 1.05 4.03 1.05 4.01 Total Volume 11,578.409 1,259 15,533 15,533 11,662 Total OI 85,563 80,785 87,810 84,378 84,786
Daily Data (22 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 2015-10-01 $33.07 $35.00 30.9% 8.2% 28.5% 63.1% 19.7% 11.0% -3.0% -297.5K 79.3M -271.2K 1.05 77.09 N/A N/A 7,560 7,973 43,583 40,795 2015-10-02 $34.04 $35.00 27.8% 7.6% 29.9% 51.4% 17.8% 6.0% 3.8% -29.8K 73.5M -284.2K 1.47 68.29 N/A N/A 5,421 7,975 43,730 41,290 2015-10-05 $34.75 $34.00 25.2% 7.4% 30.7% 41.9% 31.2% 7.0% 0.4% 306.0K 64.4M -305.5K 1.98 93.67 N/A N/A 423 836 43,954 41,130 2015-10-06 $34.65 $34.00 26.0% 7.0% 28.4% 45.0% 29.0% 7.3% 0.6% 358.5K 65.3M -304.6K 1.62 89.85 N/A N/A 4,998 8,081 44,012 41,790 2015-10-07 $35.50 $34.00 26.2% 7.3% 27.6% 45.5% 29.9% 7.0% -1.6% 775.2K 51.3M -325.2K 2.84 88.60 N/A N/A 2,792 7,937 44,251 42,054 2015-10-08 $35.94 $34.00 24.8% 7.1% 27.6% 40.6% 28.0% 8.4% 0.2% 1.1M 44.7M -326.5K 2.85 89.80 N/A N/A 2,725 7,779 44,604 42,251 2015-10-09 $35.99 $34.00 23.7% 6.9% 27.6% 36.5% 25.2% 4.9% -0.3% 1.0M 41.2M -336.8K 3.06 87.13 N/A N/A 2,595 7,951 44,854 42,343 2015-10-12 $35.78 $35.00 22.5% 6.5% 27.8% 32.2% 24.8% 4.1% 0.3% 1.6M 43.3M -320.6K 3.42 86.14 N/A N/A 2,275 7,771 44,603 42,504 2015-10-13 $35.20 $35.00 24.9% 7.0% 28.5% 41.0% 24.9% 5.8% 0.7% 1.3M 54.2M -312.2K 2.76 86.54 N/A N/A 2,847 7,858 44,627 42,548 2015-10-14 $35.45 $35.00 24.6% 7.3% 28.4% 39.8% 25.3% 5.5% 0.8% 1.4M 52.5M -317.7K 2.68 61.95 N/A N/A 2,914 7,813 44,743 42,579 2015-10-15 $36.30 $35.00 23.1% 6.8% 28.5% 34.1% 24.5% 5.0% 1.1% 1.3M 40.0M -314.7K 1.56 60.46 N/A N/A 5,056 7,892 44,851 42,637 2015-10-16 $36.37 $35.00 22.2% 6.4% 28.5% 31.1% 23.4% 5.5% 0.5% -185.2K 34.9M -325.8K 2.37 80.88 N/A N/A 3,270 7,734 45,110 42,700 2015-10-19 $35.95 $35.00 21.9% 6.2% 27.2% 30.0% 21.5% 6.0% 0.6% -116.8K 51.9M -312.4K 3.22 86.07 N/A N/A 3,215 10,356 41,478 39,307 2015-10-20 $35.84 $35.00 22.4% 6.4% 27.3% 31.6% 21.9% 4.8% -0.1% -1.0M 56.6M -326.3K 3.23 63.22 N/A N/A 2,869 9,266 42,113 42,307 2015-10-21 $35.42 $35.00 22.0% 6.3% 24.4% 30.1% 22.1% 6.3% -1.1% -1.1M 60.1M -318.9K 3.17 49.77 N/A N/A 3,097 9,829 42,395 42,380 2015-10-22 $36.19 $35.00 21.0% 6.1% 25.2% 26.4% 22.1% 5.8% -1.0% -1.3M 54.6M -324.8K 3.30 46.31 N/A N/A 3,069 10,134 42,612 42,958 2015-10-23 $36.44 $35.00 20.4% 5.9% 24.0% 24.5% 22.0% 4.1% 0.3% -414.1K 49.5M -332.6K 4.03 57.32 N/A N/A 2,768 11,153 42,697 43,373 2015-10-26 $36.01 $35.00 21.2% 6.5% 23.0% 27.2% 22.5% 5.1% 2.4% -369.0K 51.9M -312.1K 3.48 46.13 N/A N/A 2,679 9,320 42,673 41,513 2015-10-27 $35.65 $35.00 22.5% 6.3% 23.7% 32.0% 22.6% 5.4% 0.5% -411.5K 59.9M -303.9K 3.46 42.97 N/A N/A 2,665 9,233 42,685 42,001 2015-10-28 $35.31 $35.00 20.6% 6.5% 22.6% 25.0% 24.1% 2.6% 3.0% -497.2K 63.2M -304.2K 3.32 78.42 N/A N/A 2,704 8,965 42,702 42,054 2015-10-29 $34.89 $35.00 22.8% 6.5% 23.2% 33.0% 23.8% 6.1% -0.0% -523.6K 69.5M -289.5K 3.95 62.45 N/A N/A 2,277 8,988 42,717 42,092 2015-10-30 $34.87 $35.00 20.6% 6.0% 21.0% 25.0% 21.8% 3.7% 0.9% -440.0K 68.9M -286.2K 4.01 54.43 N/A N/A 2,330 9,332 42,723 42,063
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