VWO Options History — February 2016

In February 2016, VWO traded between $29.21 and $31.44. ATM implied volatility averaged 28.9%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 1.1% (HV 20d: 29.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-02-05: Highest Volume — 88,979 contracts
  • 2016-02-24: Largest IV spike — 15.1% change
  • 2016-02-11: Highest IV Rank — 79.2%
  • 2016-02-11: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.36$29.21$31.44$30.53$30.84
Max Pain$34.20$30.00$35.00$30.00$35.00
ATM IV28.9%24.4%35.3%24.6%26.0%
Expected Move8.3%7.1%10.0%7.1%7.7%
HV 20d29.9%25.0%33.4%31.9%25.0%
HV 60d24.9%23.5%25.8%23.5%25.6%
IV Rank55.5%38.9%79.2%39.8%44.9%
IV Percentile85.9%71.8%99.2%78.6%75.4%
Term Structure-0.5%-3.4%3.1%-0.1%0.4%
VWIV25.5%19.7%32.2%22.9%30.8%
Skew 25d6.5%2.9%9.1%4.8%7.9%
Skew 10d19.4%9.0%28.4%19.9%18.1%
Call IV 25d26.1%22.8%30.3%22.8%23.2%
Put IV 25d32.6%27.6%39.1%27.6%31.0%
Bid-Ask Spread %67.4751.2478.8557.4755.17
Gamma HHI0.200.150.280.190.28
Net GEX82.6K-382.5K783.8K-62.3K542.1K
Net DEX107.4M21.2M185.7M24.2M185.7M
Net VEX-396.5K-488.6K-232.7K-240.9K-446.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.601.370.981.37
Total Volume38,891.1518,40488,97921,83244,318
Total OI126,220.2558,166187,52358,166187,523

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$30.53$30.0024.6%7.1%31.9%39.8%22.9%4.8%-0.1%-62.3K24.2M-240.9K0.9857.47N/AN/A11,04410,78829,34528,821
2016-02-02$29.61$30.0026.5%8.3%31.8%46.7%30.2%6.0%1.5%-382.5K29.0M-232.7K0.6776.45N/AN/A11,0487,35629,41228,932
2016-02-03$30.40$30.0029.5%8.9%33.4%57.7%20.3%6.3%-1.3%-203.1K25.9M-240.4K0.6678.85N/AN/A11,4167,50729,41929,027
2016-02-04$30.54$34.0028.1%8.0%32.8%52.8%20.3%4.2%2.0%243.7K21.2M-248.0K0.7851.24N/AN/A15,93812,44829,98829,283
2016-02-05$30.21$35.0028.4%8.8%31.2%53.9%19.7%6.2%-0.1%-51.3K35.3M-253.2K1.0055.86N/AN/A44,43144,54835,01934,347
2016-02-08$29.90$35.0032.3%9.2%31.2%68.0%29.2%8.1%-0.4%-381.4K125.9M-459.8K0.9256.67N/AN/A23,14521,36668,39670,470
2016-02-09$29.54$35.0033.7%9.4%31.5%73.3%28.7%7.8%-1.7%-90.1K126.7M-457.2K0.9368.67N/AN/A23,11321,45371,98570,755
2016-02-10$29.61$35.0033.3%8.7%31.5%71.7%31.9%8.1%-3.4%-54.2K129.3M-433.0K0.9871.87N/AN/A21,82321,40272,00470,837
2016-02-11$29.21$35.0035.3%10.0%31.5%79.2%32.2%9.1%-0.9%-345.0K130.8M-442.0K0.9774.78N/AN/A21,83521,20572,06670,864
2016-02-12$29.64$35.0032.6%9.1%31.7%69.2%25.0%6.5%-1.1%-331.1K132.0M-438.4K1.0967.85N/AN/A19,40621,05972,06470,946
2016-02-16$30.32$35.0031.1%8.9%29.2%63.6%27.5%7.6%-2.6%293.3K124.4M-464.2K1.1472.31N/AN/A18,37920,90472,02871,090
2016-02-17$30.99$35.0029.2%8.4%29.7%56.8%24.8%8.4%-1.7%671.3K115.7M-488.6K1.1371.08N/AN/A18,39720,85972,10071,113
2016-02-18$30.80$35.0027.3%7.8%28.4%49.8%22.2%5.9%1.2%783.8K115.4M-466.5K1.1167.59N/AN/A21,38023,74672,23971,103
2016-02-19$30.71$35.0027.3%7.5%28.5%49.5%23.9%6.0%3.1%-6.7K126.4M-467.0K0.6069.66N/AN/A21,95213,25775,33674,079
2016-02-22$31.44$35.0026.3%7.6%27.6%46.1%23.6%7.3%-1.6%388.3K129.1M-443.6K0.6970.01N/AN/A20,15313,93670,60973,354
2016-02-23$30.82$35.0024.4%7.6%28.0%38.9%20.8%4.4%-0.3%278.1K130.7M-443.5K0.7274.61N/AN/A19,69614,21370,83773,856
2016-02-24$30.75$35.0028.1%8.0%27.9%52.5%24.9%6.0%-0.9%65.8K135.7M-442.3K0.7278.65N/AN/A19,51214,13771,06074,212
2016-02-25$30.84$35.0026.2%7.7%27.8%45.8%25.3%6.9%-0.9%155.0K138.8M-406.3K1.2674.46N/AN/A18,66423,60271,11974,253
2016-02-26$30.53$35.0027.1%7.8%27.8%49.0%26.3%2.9%-0.8%139.1K165.6M-415.7K1.2956.15N/AN/A16,74221,64580,75483,760
2016-02-29$30.84$35.0026.0%7.7%25.0%44.9%30.8%7.9%0.4%542.1K185.7M-446.4K1.3755.17N/AN/A18,73625,58292,30595,218