VWO Options History — April 2016

In April 2016, VWO traded between $33.29 and $35.77. ATM implied volatility averaged 20.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.7% (HV 20d: 20.2%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 4.99.

Notable Days

2016-04-14: Highest Volume — 21,650 contracts
2016-04-26: Largest IV drop — 6.4% change
2016-04-05: Highest IV Rank — 32.1%
2016-04-07: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.78	$33.29	$35.77	$34.66	$34.97
Max Pain	$32.36	$32.00	$33.00	$32.00	$33.00
ATM IV	20.9%	19.6%	22.5%	20.6%	21.4%
Expected Move	6.0%	5.6%	6.9%	5.8%	6.1%
HV 20d	20.2%	19.2%	22.2%	20.0%	20.1%
HV 60d	24.3%	21.0%	26.2%	26.2%	21.0%
IV Rank	26.3%	21.6%	32.1%	25.1%	28.0%
IV Percentile	43.5%	30.2%	59.9%	43.3%	49.6%
Term Structure	0.2%	-1.5%	2.1%	0.1%	-0.5%
VWIV	21.1%	18.5%	22.4%	18.5%	20.5%
Skew 25d	4.4%	1.5%	8.7%	8.7%	1.5%
Skew 10d	12.5%	6.3%	19.0%	14.5%	12.6%
Call IV 25d	19.1%	16.5%	21.2%	18.0%	20.6%
Put IV 25d	23.5%	21.6%	26.7%	26.7%	22.1%
Bid-Ask Spread %	40.45	23.52	64.18	46.01	38.05
Gamma HHI	0.11	0.10	0.12	0.10	0.11
Net GEX	1.3M	936.6K	1.7M	1.7M	1.2M
Net DEX	-2.9M	-30.6M	37.7M	-4.6M	1.5M
Net VEX	-635.9K	-682.7K	-595.7K	-621.1K	-614.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.99	2.69	8.70	6.09	3.92
Total Volume	16,207.19	12,050	21,650	17,720	12,455
Total OI	115,808	110,222	123,698	119,405	112,149

Daily Data (21 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
2016-04-01	$34.66	$32.00	20.6%	5.8%	20.0%	25.1%	18.5%	8.7%	0.1%	1.7M	-4.6M	-621.1K	6.09	46.01	N/A	N/A	2,500	15,220	56,814	62,591
2016-04-04	$34.21	$32.00	21.9%	6.0%	19.4%	29.9%	20.2%	2.2%	-1.2%	1.7M	1.4M	-617.6K	6.14	46.34	N/A	N/A	2,348	14,415	56,635	61,133
2016-04-05	$33.54	$32.00	22.5%	6.1%	20.7%	32.1%	21.2%	4.3%	0.0%	1.4M	27.9M	-617.2K	6.06	42.84	N/A	N/A	2,409	14,608	56,659	60,982
2016-04-06	$33.97	$32.00	22.1%	6.1%	20.2%	30.4%	21.0%	5.9%	-1.5%	1.3M	28.9M	-605.6K	5.56	48.56	N/A	N/A	2,635	14,647	56,722	61,440
2016-04-07	$33.29	$32.00	22.3%	6.9%	21.5%	31.3%	21.6%	3.2%	1.3%	1.2M	37.7M	-595.7K	5.63	38.49	N/A	N/A	2,622	14,755	56,648	61,518
2016-04-08	$33.84	$32.00	21.7%	6.1%	22.2%	29.0%	19.8%	3.7%	0.4%	1.3M	24.1M	-615.9K	5.81	61.82	N/A	N/A	2,645	15,365	56,653	61,618
2016-04-11	$34.34	$32.00	21.1%	6.4%	21.3%	27.0%	20.3%	5.5%	1.3%	1.5M	5.9M	-635.0K	8.70	55.87	N/A	N/A	2,103	18,303	56,882	62,186
2016-04-12	$34.83	$32.00	20.5%	6.4%	21.8%	24.6%	22.4%	4.9%	2.1%	1.4M	-4.7M	-671.4K	6.26	32.60	N/A	N/A	2,834	17,746	56,899	65,494
2016-04-13	$35.49	$32.00	20.0%	6.1%	20.8%	22.9%	21.2%	3.1%	1.4%	1.4M	-30.6M	-673.3K	7.12	32.71	N/A	N/A	2,555	18,187	57,068	65,525
2016-04-14	$35.33	$32.00	20.9%	6.3%	19.9%	26.1%	21.8%	4.0%	1.2%	1.5M	-28.8M	-682.7K	5.35	28.50	N/A	N/A	3,410	18,240	57,716	65,896
2016-04-15	$35.10	$32.00	20.6%	5.9%	19.3%	25.1%	21.7%	3.9%	-0.6%	1.4M	-22.4M	-676.2K	6.38	53.63	N/A	N/A	2,858	18,237	57,746	65,952
2016-04-18	$35.24	$32.00	20.3%	5.8%	19.2%	23.9%	21.1%	5.9%	1.7%	1.1M	-10.6M	-656.6K	4.97	38.03	N/A	N/A	2,615	13,004	54,399	55,823
2016-04-19	$35.77	$32.00	20.3%	5.8%	19.8%	23.8%	21.5%	4.5%	-0.8%	1.2M	-30.0M	-638.0K	3.80	33.57	N/A	N/A	2,567	9,766	54,536	56,030
2016-04-20	$35.55	$32.50	19.6%	5.6%	19.8%	21.6%	21.7%	5.9%	-1.0%	1.2M	-23.3M	-645.7K	4.36	39.09	N/A	N/A	2,250	9,800	54,670	56,044
2016-04-21	$35.10	$33.00	20.7%	5.9%	19.5%	25.5%	21.8%	3.4%	0.9%	1.2M	-11.0M	-643.7K	3.78	37.95	N/A	N/A	2,617	9,892	54,687	56,104
2016-04-22	$35.01	$33.00	20.7%	6.0%	19.5%	25.6%	21.5%	4.0%	0.0%	1.2M	-6.5M	-647.7K	3.48	31.65	N/A	N/A	2,835	9,878	54,860	56,226
2016-04-25	$34.73	$33.00	21.9%	6.2%	19.8%	29.7%	21.5%	4.1%	-0.4%	936.6K	6.2M	-630.2K	2.95	26.59	N/A	N/A	3,347	9,881	54,413	56,013
2016-04-26	$35.13	$33.00	20.4%	6.0%	19.9%	24.5%	20.5%	2.9%	0.1%	1.1M	-4.3M	-622.5K	2.87	23.52	N/A	N/A	3,452	9,895	55,360	56,232
2016-04-27	$35.39	$33.00	20.1%	5.8%	19.6%	23.1%	21.6%	5.7%	-0.2%	1.3M	-14.5M	-617.4K	2.69	64.18	N/A	N/A	3,725	10,035	55,459	56,264
2016-04-28	$34.98	$33.00	20.1%	5.6%	20.1%	23.4%	21.5%	5.8%	-0.1%	1.2M	-3.1M	-625.9K	2.82	29.53	N/A	N/A	3,581	10,114	55,670	56,252
2016-04-29	$34.97	$33.00	21.4%	6.1%	20.1%	28.0%	20.5%	1.5%	-0.5%	1.2M	1.5M	-614.6K	3.92	38.05	N/A	N/A	2,534	9,921	55,746	56,403