VWO Options History — December 2015

In December 2015, VWO traded between $31.54 and $34.24. ATM implied volatility averaged 21.4%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.5% (HV 20d: 18.9%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 3.07.

Notable Days

2015-12-14: Highest Volume — 24,640 contracts
2015-12-08: Largest IV spike — 15.8% change
2015-12-11: Highest IV Rank — 48.6%
2015-12-14: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.03	$31.54	$34.24	$34.24	$32.77
Max Pain	$40.00	$37.00	$42.00	$37.00	$37.00
ATM IV	21.4%	18.8%	27.0%	21.0%	19.9%
Expected Move	6.2%	5.5%	7.3%	6.3%	5.8%
HV 20d	18.9%	16.8%	20.5%	19.1%	19.1%
HV 60d	21.7%	19.1%	23.5%	23.4%	19.1%
IV Rank	28.0%	18.5%	48.6%	26.5%	22.3%
IV Percentile	67.7%	46.4%	88.9%	71.4%	56.0%
Term Structure	0.5%	-2.3%	2.2%	1.3%	1.0%
VWIV	21.7%	17.7%	25.4%	22.0%	20.6%
Skew 25d	5.0%	3.3%	7.6%	5.2%	4.7%
Skew 10d	10.9%	4.6%	16.5%	16.0%	16.0%
Call IV 25d	19.7%	17.1%	24.3%	18.4%	18.7%
Put IV 25d	24.7%	21.2%	31.9%	23.6%	23.4%
Bid-Ask Spread %	47.45	24.56	89.29	27.89	78.96
Gamma HHI	0.15	0.10	0.20	0.14	0.18
Net GEX	-771.3K	-1.9M	-195.4K	-981.5K	-844.2K
Net DEX	81.1M	42.4M	113.9M	84.4M	49.0M
Net VEX	-239.4K	-278.6K	-218.0K	-233.6K	-222.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.07	1.64	4.21	2.15	2.57
Total Volume	16,243.818	112	24,640	8,341	15,340
Total OI	90,839.682	75,074	99,820	92,404	75,074

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
2015-12-01	$34.24	$37.00	21.0%	6.3%	19.1%	26.5%	22.0%	5.2%	1.3%	-981.5K	84.4M	-233.6K	2.15	27.89	N/A	N/A	2,645	5,696	47,395	45,009
2015-12-02	$33.87	$37.00	19.4%	5.9%	18.1%	20.5%	19.8%	6.1%	0.2%	-1.3M	86.7M	-278.6K	1.64	28.98	N/A	N/A	8,627	14,165	49,946	48,308
2015-12-03	$33.77	$42.00	19.7%	6.0%	17.8%	21.6%	24.2%	6.5%	1.4%	-1.1M	87.4M	-272.5K	1.78	42.61	N/A	N/A	7,515	13,389	50,991	48,507
2015-12-04	$33.94	$42.00	21.8%	6.3%	17.9%	29.5%	23.2%	4.0%	-0.9%	-195.4K	91.4M	-265.8K	1.76	46.24	N/A	N/A	7,579	13,364	50,994	48,591
2015-12-07	$33.45	$42.00	20.2%	6.3%	18.1%	23.6%	22.2%	5.9%	1.0%	-275.2K	94.2M	-246.3K	1.67	38.23	N/A	N/A	42	70	51,014	46,506
2015-12-08	$33.04	$42.00	23.4%	6.8%	16.8%	35.3%	23.8%	6.0%	-0.1%	-613.9K	102.6M	-234.3K	2.39	38.47	N/A	N/A	4,491	10,749	51,010	46,528
2015-12-09	$32.81	$42.00	20.8%	6.3%	16.9%	25.7%	22.3%	7.1%	1.0%	-234.7K	95.3M	-221.2K	2.33	45.15	N/A	N/A	4,631	10,793	51,124	46,527
2015-12-10	$32.43	$42.00	23.4%	6.8%	16.8%	35.2%	22.9%	4.1%	1.0%	-688.0K	103.8M	-221.8K	3.20	34.77	N/A	N/A	4,585	14,661	51,187	46,507
2015-12-11	$31.54	$42.00	27.0%	7.2%	18.5%	48.6%	25.4%	7.6%	-2.3%	-896.6K	113.9M	-220.0K	2.99	43.60	N/A	N/A	4,401	13,162	51,205	48,583
2015-12-14	$32.07	$42.00	25.5%	7.3%	19.6%	43.0%	23.7%	3.9%	-0.4%	-1.1M	112.6M	-218.0K	3.35	41.94	N/A	N/A	5,666	18,974	51,053	48,517
2015-12-15	$32.56	$42.00	24.1%	6.9%	18.9%	37.9%	24.1%	6.0%	0.8%	-1.4M	104.4M	-239.8K	4.08	63.99	N/A	N/A	4,676	19,056	50,340	49,330
2015-12-16	$33.15	$42.00	22.7%	6.5%	20.3%	32.8%	18.2%	3.3%	2.2%	-1.2M	100.4M	-241.7K	3.47	61.26	N/A	N/A	4,529	15,737	50,426	49,265
2015-12-17	$32.89	$42.00	20.6%	6.0%	20.1%	25.0%	18.1%	5.5%	-1.8%	-1.9M	96.0M	-243.5K	3.56	51.28	N/A	N/A	4,715	16,793	50,464	49,231
2015-12-18	$32.69	$42.00	22.2%	6.4%	19.8%	30.9%	23.4%	5.1%	0.1%	-718.7K	101.4M	-239.8K	3.89	49.49	N/A	N/A	3,252	12,646	50,592	49,228
2015-12-21	$32.72	$42.00	20.6%	6.0%	19.3%	25.1%	22.8%	4.1%	0.9%	-708.3K	79.9M	-228.5K	3.70	89.29	N/A	N/A	2,963	10,967	41,924	41,960
2015-12-22	$32.93	$38.00	20.6%	5.7%	19.5%	25.1%	22.4%	3.6%	1.2%	-641.6K	59.3M	-242.0K	3.87	80.33	N/A	N/A	2,849	11,013	43,172	36,337
2015-12-23	$33.45	$37.00	18.8%	5.7%	20.5%	18.5%	17.7%	4.1%	1.3%	-350.6K	42.4M	-246.2K	4.21	44.82	N/A	N/A	2,667	11,215	43,334	33,340
2015-12-24	$33.35	$37.00	19.1%	5.5%	20.4%	19.5%	19.5%	4.5%	0.3%	-255.1K	43.6M	-247.6K	4.00	36.70	N/A	N/A	2,684	10,734	43,420	33,379
2015-12-28	$33.17	$37.00	20.5%	5.8%	19.0%	24.7%	20.7%	4.3%	0.6%	-411.2K	44.9M	-239.1K	3.92	24.56	N/A	N/A	2,610	10,242	43,325	33,079
2015-12-29	$33.17	$37.00	19.9%	5.7%	19.0%	22.4%	20.6%	4.4%	0.8%	-351.2K	43.0M	-237.1K	3.72	39.91	N/A	N/A	2,757	10,267	43,326	32,777
2015-12-30	$32.73	$37.00	20.0%	5.8%	19.3%	22.8%	19.9%	4.6%	1.0%	-726.8K	47.3M	-226.9K	3.25	35.50	N/A	N/A	3,401	11,046	42,877	32,771
2015-12-31	$32.77	$37.00	19.9%	5.8%	19.1%	22.3%	20.6%	4.7%	1.0%	-844.2K	49.0M	-222.3K	2.57	78.96	N/A	N/A	4,302	11,038	42,586	32,488