VWO Options History — May 2016

In May 2016, VWO traded between $32.47 and $34.84. ATM implied volatility averaged 22.8%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.3% (HV 20d: 18.5%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.21.

Notable Days

  • 2016-05-13: Highest Volume — 14,538 contracts
  • 2016-05-24: Largest IV drop — 12.7% change
  • 2016-05-19: Highest IV Rank — 44.1%
  • 2016-05-19: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.35$32.47$34.84$34.84$33.88
Max Pain$34.71$33.00$35.00$33.00$35.00
ATM IV22.8%18.7%25.8%21.4%18.7%
Expected Move6.6%5.5%7.4%6.3%5.5%
HV 20d18.5%17.4%21.0%19.6%18.5%
HV 60d20.9%18.9%21.9%21.0%18.9%
IV Rank33.1%18.0%44.1%27.9%18.0%
IV Percentile56.0%11.9%74.6%48.8%11.9%
Term Structure-0.1%-2.1%4.0%0.3%0.1%
VWIV24.6%18.7%29.2%22.1%19.6%
Skew 25d5.0%2.0%6.4%4.5%5.0%
Skew 10d10.2%0.8%20.1%10.2%18.0%
Call IV 25d20.4%16.2%22.9%19.7%17.7%
Put IV 25d25.4%20.9%28.7%24.1%22.7%
Bid-Ask Spread %48.3626.9964.4034.7050.34
Gamma HHI0.130.120.150.120.12
Net GEX498.5K-109.1K1.1M1.1M1.1M
Net DEX69.6M6.2M96.9M6.2M73.1M
Net VEX-461.7K-599.8K-374.2K-599.8K-397.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.212.474.164.162.47
Total Volume13,246.61912,23814,53812,23813,428
Total OI112,705.429111,618113,761111,906112,944

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$34.84$33.0021.4%6.3%19.6%27.9%22.1%4.5%0.3%1.1M6.2M-599.8K4.1634.70N/AN/A2,3749,86455,51956,387
2016-05-03$33.88$33.0022.7%6.7%20.9%32.8%21.9%2.6%-0.8%737.5K37.0M-572.6K3.6326.99N/AN/A2,6519,62455,56056,400
2016-05-04$33.41$33.0024.0%7.3%21.0%37.6%22.2%5.4%-0.3%470.3K52.7M-552.4K2.8864.40N/AN/A3,4279,87855,92656,535
2016-05-05$33.39$35.0024.0%7.3%19.7%37.6%25.4%5.5%-0.8%366.3K57.1M-544.9K3.7756.06N/AN/A2,6199,86355,64956,900
2016-05-06$33.46$35.0022.9%6.8%18.8%33.5%26.1%4.3%-0.1%541.8K62.8M-520.5K3.8031.60N/AN/A2,6069,89355,46556,930
2016-05-09$32.99$35.0023.7%6.6%18.4%36.3%29.2%2.0%-0.8%399.1K74.5M-480.6K4.0240.37N/AN/A2,51210,09755,16956,449
2016-05-10$33.62$35.0022.3%6.5%19.1%31.2%25.6%4.9%0.2%551.3K65.1M-490.5K4.0153.97N/AN/A2,51210,08055,23856,502
2016-05-11$33.53$35.0023.4%6.3%17.4%35.4%25.7%5.4%-2.1%660.6K63.4M-493.9K2.7443.47N/AN/A3,72210,20255,25856,501
2016-05-12$33.44$35.0021.6%6.8%17.4%28.9%27.3%5.1%4.0%865.9K60.8M-501.8K2.8353.02N/AN/A3,71710,52956,62956,269
2016-05-13$32.86$35.0023.6%6.9%18.2%36.0%26.9%3.4%0.5%426.2K81.4M-440.9K2.9654.11N/AN/A3,66710,87156,64456,601
2016-05-16$33.22$35.0024.2%7.0%18.7%38.4%27.3%6.0%-0.6%568.2K72.8M-465.0K3.4451.82N/AN/A3,04210,47756,48956,780
2016-05-17$33.08$35.0023.9%6.9%17.5%37.2%27.4%6.3%-0.3%511.3K74.9M-446.5K3.4858.56N/AN/A3,00510,47056,52656,757
2016-05-18$32.80$35.0025.0%7.2%17.5%41.2%26.4%5.1%-0.5%230.7K84.9M-420.6K3.3646.70N/AN/A2,9689,97456,52356,916
2016-05-19$32.47$35.0025.8%7.4%17.4%44.1%26.7%6.4%-0.9%-109.1K96.9M-386.7K3.2046.42N/AN/A3,1039,92056,56957,192
2016-05-20$32.81$35.0023.6%6.7%18.1%36.1%25.7%5.2%0.6%19.1K88.2M-404.4K2.6245.27N/AN/A3,7489,83056,54957,212
2016-05-23$32.73$35.0025.2%7.2%18.0%42.0%24.9%6.2%-0.4%16.2K93.7M-386.8K2.7151.05N/AN/A3,6239,80355,51056,855
2016-05-24$33.14$35.0022.0%6.2%18.1%30.2%24.3%6.3%0.0%107.6K92.5M-374.2K2.9447.42N/AN/A3,42510,08555,63756,888
2016-05-25$33.49$35.0020.9%6.0%18.4%26.2%23.8%6.4%0.3%391.1K77.0M-409.0K2.8250.97N/AN/A3,5399,98755,73856,911
2016-05-26$33.72$35.0020.4%5.8%18.4%24.5%18.7%5.5%-0.7%547.9K74.2M-404.3K2.7146.81N/AN/A3,6829,98055,98257,011
2016-05-27$33.68$35.0019.5%5.5%18.4%21.0%20.1%4.7%-0.5%1.0M71.5M-402.5K2.9161.46N/AN/A3,4199,96356,29157,003
2016-05-31$33.88$35.0018.7%5.5%18.5%18.0%19.6%5.0%0.1%1.1M73.1M-397.7K2.4750.34N/AN/A3,8759,55356,17656,768