VWO Options History — March 2016

In March 2016, VWO traded between $31.86 and $34.64. ATM implied volatility averaged 21.6%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.0% (HV 20d: 23.6%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.89.

Notable Days

2016-03-15: Highest Volume — 46,441 contracts
2016-03-04: Largest IV drop — 9.4% change
2016-03-01: Highest IV Rank — 37.0%
2016-03-01: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.56	$31.86	$34.64	$31.86	$34.61
Max Pain	$32.14	$31.00	$35.00	$35.00	$32.00
ATM IV	21.6%	19.2%	23.8%	23.8%	21.3%
Expected Move	6.4%	5.9%	7.2%	7.2%	6.2%
HV 20d	23.6%	20.2%	27.3%	27.3%	20.2%
HV 60d	26.8%	26.2%	27.0%	26.4%	26.2%
IV Rank	28.9%	20.1%	37.0%	37.0%	27.7%
IV Percentile	54.0%	36.1%	68.7%	68.7%	50.8%
Term Structure	0.4%	-1.4%	3.3%	0.4%	-0.4%
VWIV	26.3%	19.3%	35.6%	22.3%	19.3%
Skew 25d	6.3%	4.1%	9.2%	9.2%	4.1%
Skew 10d	16.8%	8.5%	24.4%	22.6%	16.4%
Call IV 25d	19.4%	16.2%	21.8%	20.5%	19.7%
Put IV 25d	25.7%	23.3%	29.7%	29.7%	23.8%
Bid-Ask Spread %	46.79	25.59	66.99	53.27	39.24
Gamma HHI	0.17	0.10	0.33	0.29	0.10
Net GEX	704.6K	-1.3M	1.7M	1.2M	832.8K
Net DEX	88.7M	-11.1M	160.3M	160.3M	-9.6M
Net VEX	-605.5K	-658.1K	-539.0K	-539.0K	-640.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.89	1.02	9.17	1.53	5.81
Total Volume	33,554.591	17,666	46,441	43,858	17,666
Total OI	163,440.682	114,906	193,676	189,255	118,470

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
2016-03-01	$31.86	$35.00	23.8%	7.2%	27.3%	37.0%	22.3%	9.2%	0.4%	1.2M	160.3M	-539.0K	1.53	53.27	N/A	N/A	17,315	26,543	94,028	95,227
2016-03-02	$32.34	$35.00	22.6%	6.6%	24.7%	32.5%	22.2%	8.7%	-0.2%	1.6M	157.9M	-543.3K	1.33	54.43	N/A	N/A	16,321	21,740	95,150	96,224
2016-03-03	$32.71	$31.00	22.4%	6.3%	23.4%	31.7%	30.4%	7.5%	-0.3%	1.7M	143.6M	-567.3K	1.34	64.91	N/A	N/A	16,195	21,736	95,362	96,275
2016-03-04	$33.44	$31.00	20.3%	6.7%	24.3%	24.0%	28.6%	7.7%	0.1%	917.6K	119.2M	-641.9K	1.02	59.51	N/A	N/A	21,543	21,910	95,383	96,345
2016-03-07	$33.32	$31.00	21.8%	7.0%	23.9%	29.3%	27.5%	7.0%	3.3%	622.3K	119.0M	-638.1K	1.11	56.36	N/A	N/A	20,359	22,582	91,930	96,463
2016-03-08	$32.77	$32.00	23.5%	6.7%	24.5%	35.9%	29.3%	6.6%	-0.6%	831.8K	136.6M	-605.8K	1.10	66.99	N/A	N/A	20,507	22,612	92,469	97,022
2016-03-09	$32.96	$32.00	22.4%	6.7%	23.7%	31.8%	34.8%	6.3%	0.9%	748.3K	135.7M	-597.2K	1.47	62.28	N/A	N/A	15,240	22,358	92,515	97,451
2016-03-10	$32.87	$32.00	23.1%	6.8%	23.8%	34.3%	31.2%	5.3%	1.1%	1.2M	144.3M	-554.7K	1.49	44.33	N/A	N/A	15,166	22,576	92,663	97,470
2016-03-11	$33.63	$32.00	21.1%	6.1%	23.5%	27.0%	35.6%	7.1%	0.5%	283.0K	129.6M	-575.8K	1.50	58.93	N/A	N/A	15,058	22,638	92,802	97,617
2016-03-14	$33.52	$32.00	20.7%	5.9%	23.6%	25.4%	27.5%	5.2%	0.8%	-514.8K	120.8M	-577.1K	1.26	54.64	N/A	N/A	18,845	23,746	92,864	97,615
2016-03-15	$32.83	$32.00	22.2%	6.4%	24.6%	31.1%	30.5%	6.2%	-0.3%	-471.4K	153.5M	-543.5K	1.37	26.25	N/A	N/A	19,603	26,838	88,554	98,802
2016-03-16	$33.55	$32.00	21.3%	6.1%	24.6%	27.7%	34.7%	6.7%	1.4%	-1.3M	147.5M	-605.4K	1.49	52.66	N/A	N/A	17,397	25,982	90,813	100,241
2016-03-17	$34.14	$32.00	21.6%	6.2%	24.7%	28.9%	21.2%	8.2%	0.3%	-582.7K	122.1M	-636.2K	1.55	34.19	N/A	N/A	15,688	24,321	91,263	100,371
2016-03-18	$34.38	$32.00	21.0%	6.2%	24.6%	26.7%	22.5%	5.1%	-1.4%	678.1K	105.4M	-658.1K	2.19	25.59	N/A	N/A	11,174	24,456	92,358	101,318
2016-03-21	$34.59	$32.00	21.3%	6.1%	23.6%	27.8%	21.5%	5.2%	-0.3%	882.3K	-2.2M	-651.5K	3.15	43.39	N/A	N/A	5,783	18,207	53,898	61,008
2016-03-22	$34.41	$32.00	21.2%	6.3%	22.1%	27.3%	21.7%	6.3%	2.0%	903.3K	2.4M	-648.4K	3.92	40.06	N/A	N/A	4,632	18,179	54,297	61,063
2016-03-23	$33.87	$32.00	19.2%	6.0%	23.3%	20.1%	24.2%	4.1%	0.2%	578.1K	18.0M	-626.3K	3.79	43.47	N/A	N/A	4,735	17,955	54,402	61,070
2016-03-24	$33.78	$32.00	20.7%	6.3%	23.4%	25.4%	23.4%	5.6%	0.6%	1.3M	27.6M	-605.9K	3.24	32.48	N/A	N/A	5,602	18,127	54,636	61,122
2016-03-28	$33.90	$32.00	21.8%	6.5%	22.8%	29.3%	24.0%	5.1%	0.4%	1.3M	17.1M	-611.4K	9.17	36.83	N/A	N/A	1,903	17,446	55,478	60,752
2016-03-29	$34.23	$32.00	20.8%	6.5%	22.8%	25.8%	22.6%	5.6%	-0.2%	1.4M	13.0M	-607.7K	8.54	38.60	N/A	N/A	2,053	17,526	55,524	60,761
2016-03-30	$34.64	$32.00	21.6%	6.0%	20.5%	28.6%	24.0%	4.9%	-0.2%	1.3M	-11.1M	-645.3K	6.12	40.99	N/A	N/A	2,520	15,418	55,729	60,890
2016-03-31	$34.61	$32.00	21.3%	6.2%	20.2%	27.7%	19.3%	4.1%	-0.4%	832.8K	-9.6M	-640.1K	5.81	39.24	N/A	N/A	2,593	15,073	56,569	61,901