VWO Options History — June 2016

In June 2016, VWO traded between $33.12 and $35.50. ATM implied volatility averaged 21.9%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.5% (HV 20d: 19.4%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.05.

Notable Days

  • 2016-06-13: Highest Volume — 16,591 contracts
  • 2016-06-24: Largest IV spike — 16.7% change
  • 2016-06-14: Highest IV Rank — 49.0%
  • 2016-06-27: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.33$33.12$35.50$33.77$35.14
Max Pain$34.61$34.00$35.00$35.00$34.50
ATM IV21.9%17.2%27.1%20.0%20.7%
Expected Move6.4%5.0%7.9%5.7%5.8%
HV 20d19.4%14.1%30.8%15.7%30.8%
HV 60d19.4%18.2%22.9%18.9%22.8%
IV Rank28.7%12.5%49.0%22.8%16.5%
IV Percentile42.7%4.8%79.8%22.2%27.4%
Term Structure-0.3%-2.2%2.1%-0.5%-0.6%
VWIV20.5%16.9%25.9%19.6%20.8%
Skew 25d6.9%0.5%10.9%9.1%0.5%
Skew 10d11.5%4.2%21.8%6.5%16.7%
Call IV 25d18.6%10.3%26.3%15.7%19.0%
Put IV 25d25.4%19.6%31.3%24.8%19.6%
Bid-Ask Spread %56.2346.3067.4347.8058.49
Gamma HHI0.130.110.150.130.15
Net GEX1.2M41.3K1.8M1.1M1.0M
Net DEX28.6M-26.9M88.0M73.6M-9.5M
Net VEX-367.1K-435.7K-313.9K-398.7K-351.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.051.193.162.721.58
Total Volume10,958.0914,74116,59113,0717,062
Total OI89,070.95547,013117,744113,60653,429

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$33.77$35.0020.0%5.7%15.7%22.8%19.6%9.1%-0.5%1.1M73.6M-398.7K2.7247.80N/AN/A3,5169,55556,71456,892
2016-06-02$33.99$34.0019.7%5.5%15.0%21.8%17.9%10.7%-0.5%1.3M70.3M-400.9K2.6655.58N/AN/A3,5129,32556,81556,996
2016-06-03$34.55$34.0018.5%5.2%16.0%17.5%18.9%9.4%-0.2%1.6M41.2M-435.7K2.7360.57N/AN/A3,4759,47856,94757,151
2016-06-06$34.85$34.0018.9%5.0%16.1%18.9%17.7%8.6%-0.9%1.8M19.9M-427.9K2.4556.59N/AN/A3,9389,65557,00457,304
2016-06-07$35.20$34.0018.1%5.0%15.2%16.0%19.5%10.9%0.6%1.5M-3.8M-427.4K2.4749.96N/AN/A4,09410,10056,66557,669
2016-06-08$35.48$34.0017.2%5.5%14.1%12.5%19.2%7.6%2.1%1.7M-26.9M-423.1K1.8956.65N/AN/A5,2069,83757,18758,416
2016-06-09$35.09$34.0018.5%5.7%14.9%17.3%19.9%4.0%1.2%1.8M2.5M-425.5K2.9563.84N/AN/A3,3319,83758,51558,563
2016-06-10$34.22$34.0020.9%6.2%17.7%26.3%20.8%4.2%1.3%1.6M53.0M-398.9K3.1651.48N/AN/A3,20910,13658,59658,574
2016-06-13$33.75$35.0023.7%6.8%17.2%36.3%21.0%5.8%-0.4%1.7M84.3M-343.8K2.2650.08N/AN/A5,09411,49758,51658,514
2016-06-14$33.40$35.0027.1%7.8%17.3%49.0%23.1%8.3%-2.2%1.7M85.3M-345.1K1.7746.30N/AN/A5,2429,28758,95258,792
2016-06-15$33.76$35.0024.4%7.0%17.6%39.0%17.3%10.8%-1.4%1.7M75.9M-340.5K1.8063.41N/AN/A5,1369,23357,35357,094
2016-06-16$33.67$35.0023.8%6.9%17.3%37.0%16.9%7.0%-0.8%1.7M76.6M-333.6K1.8150.23N/AN/A5,1229,26657,39157,128
2016-06-17$33.82$35.0024.7%7.2%16.8%40.1%17.5%9.6%-1.5%675.1K88.0M-323.2K2.9650.27N/AN/A2,4667,30457,42756,908
2016-06-20$34.30$35.0022.2%6.6%17.1%31.1%20.5%6.0%0.3%1.0M-57.7K-314.4K1.1952.96N/AN/A2,1692,57222,71024,303
2016-06-21$34.59$35.0023.1%7.0%17.1%34.3%21.0%6.6%-0.2%1.1M-939.6K-313.9K1.2357.59N/AN/A3,4804,28722,83924,338
2016-06-22$34.67$35.0022.8%7.0%16.8%33.3%21.6%5.6%-0.4%978.0K-5.3M-337.4K1.2262.08N/AN/A3,7404,55424,34125,920
2016-06-23$35.50$35.0021.1%6.8%18.2%27.1%24.5%8.1%-0.0%1.2M-14.8M-339.0K2.3367.43N/AN/A1,8764,36824,93326,240
2016-06-24$33.58$35.0024.7%7.6%27.5%40.1%23.4%5.1%-0.3%270.8K8.6M-333.6K1.5563.12N/AN/A2,9804,62125,49726,431
2016-06-27$33.12$35.0027.1%7.9%27.9%45.0%25.9%3.7%-0.7%41.3K11.7M-359.3K1.3664.53N/AN/A3,2044,37026,12827,865
2016-06-28$34.03$34.5023.8%7.0%29.6%32.0%23.4%6.1%-1.0%380.8K4.5M-353.7K1.5256.51N/AN/A2,7994,25425,39227,792
2016-06-29$34.85$34.5020.9%6.0%30.7%17.5%21.2%3.8%-0.4%880.9K-5.2M-350.5K1.5651.61N/AN/A2,6954,19625,48427,836
2016-06-30$35.14$34.5020.7%5.8%30.8%16.5%20.8%0.5%-0.6%1.0M-9.5M-351.4K1.5858.49N/AN/A2,7394,32325,56327,866