VWO Options History — January 2016

In January 2016, VWO traded between $28.56 and $31.90. ATM implied volatility averaged 27.5%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.7% (HV 20d: 24.8%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.34.

Notable Days

  • 2016-01-22: Highest Volume — 27,709 contracts
  • 2016-01-15: Largest IV spike — 22.6% change
  • 2016-01-21: Highest IV Rank — 66.0%
  • 2016-01-21: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.89$28.56$31.90$31.75$30.83
Max Pain$31.58$30.00$33.00$33.00$30.00
ATM IV27.5%23.2%31.8%25.1%24.1%
Expected Move7.8%6.6%9.1%7.0%7.5%
HV 20d24.8%21.1%31.9%21.8%31.9%
HV 60d21.0%19.4%23.8%20.1%23.8%
IV Rank50.6%34.5%66.0%41.6%37.9%
IV Percentile87.7%77.8%95.6%85.7%77.8%
Term Structure-0.3%-3.1%2.9%-0.7%2.9%
VWIV23.7%18.5%27.7%27.1%24.5%
Skew 25d6.9%3.3%11.5%4.5%7.0%
Skew 10d16.9%8.9%30.5%8.9%10.3%
Call IV 25d24.9%21.2%27.8%23.0%22.7%
Put IV 25d31.8%27.1%37.4%27.6%29.7%
Bid-Ask Spread %57.9132.3081.7749.3671.30
Gamma HHI0.200.150.270.210.19
Net GEX-1.2M-3.6M-15.6K-1.3M-15.6K
Net DEX50.6M22.6M69.1M56.5M22.6M
Net VEX-199.5K-249.8K-162.9K-209.9K-249.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.764.024.020.76
Total Volume18,693.7371,51427,70913,3481,514
Total OI67,726.21148,27282,02876,56157,756

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$31.75$33.0025.1%7.0%21.8%41.6%27.1%4.5%-0.7%-1.3M56.5M-209.9K4.0249.36N/AN/A2,65810,69044,16332,398
2016-01-05$31.90$33.0023.2%6.6%21.8%34.5%21.3%5.9%-0.0%-1.3M55.9M-207.2K3.8532.30N/AN/A2,66810,26844,20532,452
2016-01-06$31.25$33.0024.6%7.0%22.3%39.8%21.2%6.3%0.5%-1.5M61.2M-192.2K3.1053.55N/AN/A3,23710,03344,23132,502
2016-01-07$30.32$33.0028.1%8.1%24.1%52.6%22.0%6.2%-1.0%-1.4M66.5M-176.6K3.3436.85N/AN/A3,20910,72344,55832,554
2016-01-08$29.99$33.0029.7%8.2%24.2%58.5%23.4%7.3%-0.7%-1.3M67.8M-169.8K3.5160.47N/AN/A3,24211,37744,65633,147
2016-01-11$29.92$33.0029.4%8.1%24.1%57.4%24.6%3.3%-0.8%-1.4M69.1M-170.5K3.5154.13N/AN/A3,22411,31144,63933,415
2016-01-12$30.01$33.0026.6%7.5%22.5%47.2%24.1%4.2%-1.0%-1.2M69.0M-162.9K3.1349.17N/AN/A5,40116,88344,65733,075
2016-01-13$29.63$33.0028.5%7.5%21.5%54.0%24.0%8.0%-1.8%-1.3M59.2M-183.0K1.9556.23N/AN/A7,36614,35846,53932,717
2016-01-14$29.97$32.0025.2%6.8%21.1%41.9%21.4%9.9%-3.1%-1.3M59.7M-185.2K1.9572.79N/AN/A7,29814,23549,03832,990
2016-01-15$28.81$32.0030.9%8.7%22.9%62.8%27.7%8.7%0.3%-976.2K64.6M-171.4K1.9352.45N/AN/A7,21313,90649,04432,922
2016-01-19$29.20$32.0029.5%8.4%24.0%57.9%25.5%6.7%-0.5%-1.2M40.5M-171.5K3.8755.07N/AN/A3,62013,99423,11425,158
2016-01-20$28.56$30.0031.4%9.0%24.7%64.7%18.5%9.0%-1.0%-1.3M48.6M-180.1K2.3358.44N/AN/A4,70310,93623,29429,322
2016-01-21$28.63$30.0031.8%9.1%24.8%66.0%25.1%11.5%-0.5%-1.3M47.3M-187.3K1.4559.40N/AN/A9,53313,80924,58729,458
2016-01-22$29.55$30.0028.2%8.1%28.0%53.0%23.6%6.9%0.2%-3.6M40.1M-246.7K1.0559.53N/AN/A13,52114,18827,11733,071
2016-01-25$29.09$30.0027.3%8.1%27.0%49.6%23.0%7.3%1.3%-606.1K34.5M-229.7K1.0761.51N/AN/A12,49813,38728,37828,970
2016-01-26$29.43$30.0028.2%7.8%27.8%52.9%24.4%7.8%-1.0%-564.6K34.5M-230.9K1.0765.29N/AN/A12,54313,43028,52028,929
2016-01-27$29.34$30.0025.9%7.9%27.8%44.6%24.9%6.0%0.3%-586.9K33.4M-228.9K1.2781.77N/AN/A10,58513,47628,57328,973
2016-01-28$29.77$30.0025.7%7.4%28.7%43.6%23.2%4.2%1.3%-399.4K30.1M-236.3K1.2770.75N/AN/A10,63913,50528,66329,013
2016-01-29$30.83$30.0024.1%7.5%31.9%37.9%24.5%7.0%2.9%-15.6K22.6M-249.8K0.7671.30N/AN/A85965528,70829,048