VWO Options History — November 2015

In November 2015, VWO traded between $33.74 and $35.80. ATM implied volatility averaged 21.2%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.8% (HV 20d: 19.4%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.18.

Notable Days

  • 2015-11-20: Highest Volume — 17,334 contracts
  • 2015-11-25: Largest IV drop — 8.9% change
  • 2015-11-16: Highest IV Rank — 35.4%
  • 2015-11-16: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.76$33.74$35.80$35.48$34.04
Max Pain$36.79$35.00$37.00$35.00$37.00
ATM IV21.2%18.9%23.4%18.9%21.8%
Expected Move6.2%5.6%6.9%6.2%6.4%
HV 20d19.4%17.9%20.7%20.7%18.9%
HV 60d27.3%23.6%28.8%28.7%23.6%
IV Rank27.2%18.8%35.4%18.8%29.6%
IV Percentile71.9%57.9%83.7%58.7%74.6%
Term Structure-0.1%-2.0%1.7%0.8%-1.2%
VWIV21.7%18.0%24.3%20.9%20.6%
Skew 25d5.0%3.3%7.7%4.0%4.8%
Skew 10d11.7%3.3%19.2%12.4%19.2%
Call IV 25d19.3%17.5%21.7%18.3%20.1%
Put IV 25d24.3%22.1%28.0%22.2%24.9%
Bid-Ask Spread %45.8829.6870.7361.2738.91
Gamma HHI0.140.110.190.120.14
Net GEX-289.0K-707.7K709.0K-359.7K-364.6K
Net DEX73.5M57.7M86.2M67.6M86.2M
Net VEX-257.5K-287.0K-230.8K-274.1K-230.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.074.264.154.26
Total Volume9,806.31613617,33411,1622,503
Total OI88,309.26384,77192,52684,77190,178

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$35.48$35.0018.9%6.2%20.7%18.8%20.9%4.0%0.8%-359.7K67.6M-274.1K4.1561.27N/AN/A2,1678,99542,54942,222
2015-11-04$35.71$35.0019.3%6.7%20.7%20.2%22.1%5.6%0.7%-386.6K57.7M-287.0K4.1261.49N/AN/A2,4089,92742,81942,691
2015-11-05$35.80$37.0019.7%5.8%18.9%21.9%22.0%5.1%0.2%-426.0K60.8M-280.5K3.8249.65N/AN/A2,5289,65443,04043,151
2015-11-06$35.39$37.0020.5%6.1%18.8%24.8%24.3%3.3%-2.0%-330.5K68.3M-262.7K0.6249.46N/AN/A845243,11543,168
2015-11-09$34.56$37.0022.3%6.4%20.4%31.2%21.5%4.0%0.9%-486.5K74.6M-256.9K0.8552.27N/AN/A21618342,98743,105
2015-11-10$34.44$37.0022.1%6.7%20.4%30.7%20.5%5.4%1.1%-547.0K78.8M-252.0K3.6747.12N/AN/A2,4368,95243,04043,124
2015-11-11$34.67$37.0022.2%6.4%19.9%30.9%20.4%5.2%-0.0%-485.0K74.4M-253.0K3.6741.16N/AN/A2,4368,95243,03943,059
2015-11-12$34.13$37.0023.0%6.5%20.3%33.9%23.0%5.0%0.5%-417.8K80.7M-233.8K3.6032.44N/AN/A2,1877,86743,11343,042
2015-11-13$33.74$37.0023.3%6.7%18.2%34.9%24.2%3.5%0.3%-582.9K84.2M-232.4K2.2932.46N/AN/A3,4287,85243,11843,153
2015-11-16$34.43$37.0023.4%6.9%20.0%35.4%22.9%7.7%-1.2%-166.4K82.1M-237.6K1.1870.73N/AN/A3,0543,60744,13743,061
2015-11-17$34.42$37.0022.7%6.6%19.7%32.9%21.4%6.5%-0.7%-88.4K77.2M-271.6K1.3737.14N/AN/A6,8919,45346,63745,631
2015-11-18$34.69$37.0020.9%6.0%20.0%26.4%20.6%6.3%1.7%193.0K76.0M-258.9K1.3143.09N/AN/A7,1999,41946,36245,672
2015-11-19$34.91$37.0020.6%5.9%19.8%25.0%20.9%5.3%-0.7%709.0K71.7M-268.0K1.3944.82N/AN/A6,7169,32946,66945,774
2015-11-20$35.24$37.0020.3%5.8%18.5%23.9%20.5%4.6%0.7%-707.7K62.8M-268.4K1.1648.42N/AN/A8,0219,31346,67945,847
2015-11-23$34.93$37.0019.7%5.8%18.4%21.8%18.0%6.0%0.5%-508.4K68.4M-265.6K0.0758.70N/AN/A1,63310845,73042,348
2015-11-24$35.02$37.0021.4%5.7%18.1%27.9%23.8%4.0%-1.2%-144.6K71.6M-261.7K0.4935.77N/AN/A40720147,16442,337
2015-11-25$34.76$37.0019.5%5.6%17.9%20.9%21.4%5.1%-0.3%-123.3K72.6M-257.0K1.6437.15N/AN/A5,1088,37347,35342,445
2015-11-27$33.99$37.0020.7%6.2%19.2%25.3%23.0%4.4%-1.5%-268.1K79.9M-241.2K1.7529.68N/AN/A5,3289,33347,70042,617
2015-11-30$34.04$37.0021.8%6.4%18.9%29.6%20.6%4.8%-1.2%-364.6K86.2M-230.8K4.2638.91N/AN/A4762,02747,16443,014