VWO Options History — July 2016

In July 2016, VWO traded between $34.63 and $37.06. ATM implied volatility averaged 19.0%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 8.1% (HV 20d: 27.1%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.99.

Notable Days

  • 2016-07-19: Highest Volume — 11,639 contracts
  • 2016-07-25: Largest IV spike — 15.3% change
  • 2016-07-07: Highest IV Rank — 21.2%
  • 2016-07-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.23$34.63$37.06$35.52$37.06
Max Pain$34.13$34.00$35.00$34.50$35.00
ATM IV19.0%16.6%21.8%20.3%18.3%
Expected Move5.4%4.7%6.5%5.4%4.8%
HV 20d27.1%15.3%31.8%30.5%15.3%
HV 60d22.4%21.3%22.7%22.5%21.3%
IV Rank9.7%0.0%21.2%15.1%6.9%
IV Percentile11.0%0.0%41.3%20.2%2.4%
Term Structure-0.2%-1.8%1.4%-1.8%-1.0%
VWIV21.3%16.9%31.7%21.2%18.0%
Skew 25d4.8%2.2%9.2%4.6%4.5%
Skew 10d9.4%4.4%14.3%10.5%14.3%
Call IV 25d16.2%11.7%19.8%18.1%17.0%
Put IV 25d21.0%18.0%25.0%22.7%21.4%
Bid-Ask Spread %62.3938.5678.9953.2757.80
Gamma HHI0.150.140.180.150.18
Net GEX1.5M1.1M2.1M1.2M2.1M
Net DEX-22.3M-32.4M-3.1M-13.6M-31.0M
Net VEX-343.4K-358.3K-331.2K-352.7K-341.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.990.876.611.636.61
Total Volume9,036.26,58911,6396,99610,244
Total OI56,23853,68059,05353,70059,053

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$35.52$34.5020.3%5.4%30.5%15.1%21.2%4.6%-1.8%1.2M-13.6M-352.7K1.6353.27N/AN/A2,6634,33325,71127,989
2016-07-05$34.80$34.0020.7%6.5%31.3%16.8%26.8%4.6%0.6%1.1M-7.2M-344.7K1.6557.07N/AN/A2,5604,23125,72527,955
2016-07-06$34.80$34.0021.3%6.1%31.1%19.0%29.7%5.2%0.1%1.1M-3.1M-340.7K1.8153.54N/AN/A2,6184,74425,77328,011
2016-07-07$34.63$34.0021.8%6.2%30.9%21.2%31.7%7.3%-0.4%1.1M-3.1M-344.6K1.6558.07N/AN/A2,7524,55425,88228,613
2016-07-08$35.42$34.0019.5%6.0%31.8%11.8%20.6%7.6%-0.2%1.7M-10.4M-339.9K1.6262.79N/AN/A2,8034,54526,09428,952
2016-07-11$35.76$34.0018.5%5.6%30.4%7.8%20.9%9.2%1.4%1.7M-17.3M-331.2K1.6160.47N/AN/A2,8134,53326,10528,959
2016-07-12$36.26$34.0017.6%5.1%30.1%4.0%18.4%7.2%-0.6%1.2M-25.4M-332.7K0.8766.64N/AN/A5,1514,48626,17728,968
2016-07-13$36.20$34.0018.3%5.4%29.7%7.0%19.2%3.3%-0.1%1.7M-26.7M-349.4K0.9462.56N/AN/A4,7104,44427,70328,992
2016-07-14$36.70$34.0018.7%5.3%29.8%8.3%21.3%3.0%0.3%1.7M-32.3M-337.3K1.5857.49N/AN/A2,7844,40327,77828,824
2016-07-15$36.60$34.0018.4%5.2%29.8%7.4%21.6%4.9%-1.0%1.4M-32.4M-342.3K1.1957.14N/AN/A3,6884,38727,73628,925
2016-07-18$36.87$34.0017.8%5.1%29.9%4.8%20.1%3.0%0.0%1.8M-27.2M-339.8K1.4571.54N/AN/A2,6873,90226,95727,970
2016-07-19$36.53$34.0020.1%5.8%30.0%14.4%22.8%2.2%-1.5%1.6M-28.2M-335.1K3.0376.03N/AN/A2,8918,74827,03428,013
2016-07-20$36.77$34.0018.6%5.3%30.0%7.9%18.5%2.6%0.4%1.4M-25.2M-354.9K4.8372.25N/AN/A1,8188,78727,22929,765
2016-07-21$36.66$34.0018.5%5.3%30.0%7.5%21.8%6.4%-0.3%1.4M-26.1M-358.3K5.2871.22N/AN/A1,6638,78427,44529,808
2016-07-22$36.88$34.0016.6%4.7%29.0%0.0%16.9%3.6%-0.2%1.6M-27.3M-341.5K5.9564.45N/AN/A1,4568,67027,45129,815
2016-07-25$36.59$34.0019.1%5.2%20.1%10.4%23.3%3.9%0.5%1.5M-27.1M-338.7K3.0167.46N/AN/A2,8878,68327,34429,780
2016-07-26$36.82$34.0018.3%5.1%18.9%7.0%17.1%4.5%0.3%1.7M-27.6M-349.8K3.1460.47N/AN/A2,8108,82428,58029,917
2016-07-27$36.85$34.0019.3%5.0%17.1%11.1%18.2%3.2%-0.1%1.7M-26.9M-347.0K5.6378.99N/AN/A1,5698,83428,65030,077
2016-07-28$36.85$35.0018.2%5.0%15.4%6.6%18.0%4.3%-0.1%1.7M-28.1M-345.0K6.3838.56N/AN/A1,3918,87428,80630,194
2016-07-29$37.06$35.0018.3%4.8%15.3%6.9%18.0%4.5%-1.0%2.1M-31.0M-341.9K6.6157.80N/AN/A1,3468,89828,81230,241