VWO Options History — August 2016

In August 2016, VWO traded between $36.69 and $38.62. ATM implied volatility averaged 18.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.4% (HV 20d: 11.2%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 2.44.

Notable Days

2016-08-15: Highest Volume — 18,345 contracts
2016-08-16: Largest IV spike — 17.7% change
2016-08-26: Highest IV Rank — 21.3%
2016-08-31: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.77	$36.69	$38.62	$36.87	$37.36
Max Pain	$37.39	$35.00	$38.00	$35.00	$38.00
ATM IV	18.6%	15.9%	20.4%	18.8%	20.1%
Expected Move	5.4%	4.7%	6.0%	5.1%	6.0%
HV 20d	11.2%	9.8%	15.3%	15.3%	12.0%
HV 60d	20.6%	20.3%	21.4%	21.3%	20.4%
IV Rank	10.2%	0.0%	21.3%	8.9%	19.7%
IV Percentile	10.0%	0.0%	27.8%	8.3%	23.8%
Term Structure	0.2%	-2.3%	3.5%	0.6%	-0.2%
VWIV	20.0%	16.9%	25.2%	19.7%	19.7%
Skew 25d	5.4%	3.3%	9.1%	4.7%	5.9%
Skew 10d	12.4%	5.8%	18.2%	13.2%	9.9%
Call IV 25d	15.8%	12.5%	18.2%	17.0%	17.1%
Put IV 25d	21.2%	17.4%	23.3%	21.7%	23.0%
Bid-Ask Spread %	44.37	32.63	55.89	50.33	41.93
Gamma HHI	0.16	0.13	0.19	0.17	0.13
Net GEX	1.2M	680.2K	2.0M	1.8M	879.7K
Net DEX	-34.8M	-54.7M	-13.9M	-32.8M	-13.9M
Net VEX	-347.8K	-380.8K	-293.0K	-329.5K	-371.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.44	0.02	5.28	5.04	1.67
Total Volume	10,548.043	249	18,345	11,273	13,289
Total OI	64,578.826	59,150	70,000	59,150	68,333

Daily Data (23 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
2016-08-01	$36.87	$35.00	18.8%	5.1%	15.3%	8.9%	19.7%	4.7%	0.6%	1.8M	-32.8M	-329.5K	5.04	50.33	N/A	N/A	1,867	9,406	28,856	30,294
2016-08-02	$36.69	$35.00	19.3%	5.5%	13.1%	11.1%	19.5%	3.5%	0.9%	1.7M	-26.4M	-332.1K	5.03	38.68	N/A	N/A	1,847	9,299	28,849	30,769
2016-08-03	$36.92	$35.00	18.5%	5.3%	13.1%	7.9%	19.1%	4.9%	0.1%	1.9M	-26.2M	-332.9K	5.28	49.80	N/A	N/A	1,803	9,526	28,871	31,262
2016-08-04	$37.12	$37.00	19.4%	5.7%	12.8%	11.6%	23.4%	4.9%	0.2%	1.8M	-30.5M	-336.9K	5.11	55.26	N/A	N/A	1,880	9,598	28,896	31,580
2016-08-05	$37.49	$37.00	18.1%	5.3%	10.9%	6.2%	25.2%	4.0%	0.6%	2.0M	-35.9M	-328.3K	4.60	37.95	N/A	N/A	2,027	9,330	28,976	31,698
2016-08-08	$37.73	$37.00	18.1%	4.7%	10.7%	6.1%	16.9%	4.0%	-2.3%	2.0M	-42.6M	-317.6K	2.63	48.09	N/A	N/A	2,304	6,052	29,165	31,446
2016-08-09	$37.98	$37.00	16.7%	4.7%	10.0%	0.2%	17.7%	4.9%	-0.7%	1.8M	-47.6M	-307.3K	2.71	55.89	N/A	N/A	2,225	6,029	29,567	31,513
2016-08-10	$37.89	$37.00	16.9%	5.3%	10.0%	1.4%	21.1%	5.3%	0.9%	1.8M	-48.4M	-309.6K	3.37	44.42	N/A	N/A	2,224	7,487	29,669	31,574
2016-08-11	$38.34	$38.00	15.9%	5.4%	9.8%	0.0%	18.9%	4.1%	3.5%	913.5K	-49.9M	-306.9K	2.82	41.98	N/A	N/A	2,375	6,696	29,667	32,665
2016-08-12	$38.17	$38.00	17.4%	5.1%	9.9%	5.8%	21.0%	3.3%	0.6%	1.4M	-49.6M	-304.7K	2.71	42.71	N/A	N/A	2,471	6,706	29,853	32,876
2016-08-15	$38.62	$38.00	16.9%	4.9%	10.3%	3.9%	18.2%	7.8%	1.9%	831.4K	-54.7M	-293.0K	2.56	35.48	N/A	N/A	5,147	13,198	29,656	32,897
2016-08-16	$38.39	$38.00	19.9%	5.8%	9.9%	15.8%	19.0%	4.5%	-2.2%	680.2K	-49.4M	-375.3K	2.20	36.45	N/A	N/A	5,132	11,277	31,467	37,211
2016-08-17	$38.26	$38.00	18.8%	5.4%	10.0%	11.5%	21.3%	6.6%	-0.8%	786.7K	-44.9M	-376.1K	0.29	40.71	N/A	N/A	349	102	31,479	37,271
2016-08-18	$38.57	$38.00	18.0%	5.1%	10.0%	8.3%	19.5%	7.9%	0.9%	732.4K	-51.0M	-370.3K	0.02	32.63	N/A	N/A	2,879	46	31,589	37,362
2016-08-19	$38.33	$38.00	18.5%	5.3%	10.4%	10.4%	17.3%	6.0%	-0.7%	1.0M	-46.4M	-375.5K	1.37	45.77	N/A	N/A	6,357	8,704	32,608	37,392
2016-08-22	$37.87	$38.00	18.8%	5.2%	11.0%	11.4%	18.8%	5.9%	-0.2%	986.9K	-28.5M	-375.4K	1.34	44.09	N/A	N/A	4,824	6,468	29,469	35,418
2016-08-23	$37.67	$38.00	19.0%	5.6%	11.1%	12.2%	16.9%	3.6%	0.6%	942.6K	-26.5M	-374.1K	1.43	41.92	N/A	N/A	5,064	7,265	29,489	36,700
2016-08-24	$37.78	$38.00	19.0%	5.6%	11.2%	12.4%	21.1%	9.1%	0.0%	844.8K	-21.7M	-380.8K	0.42	51.27	N/A	N/A	175	74	29,757	37,597
2016-08-25	$37.72	$38.00	20.3%	5.7%	11.2%	17.6%	19.8%	5.4%	-0.8%	950.5K	-20.5M	-377.3K	1.37	43.32	N/A	N/A	5,314	7,302	29,794	37,651
2016-08-26	$37.42	$38.00	20.4%	5.9%	11.5%	21.3%	21.0%	5.1%	-0.7%	894.9K	-16.5M	-372.9K	1.34	51.05	N/A	N/A	5,601	7,502	29,966	37,702
2016-08-29	$37.77	$38.00	18.4%	5.6%	11.7%	11.9%	22.6%	7.3%	1.3%	907.2K	-17.3M	-378.6K	1.39	40.61	N/A	N/A	5,343	7,414	30,056	38,137
2016-08-30	$37.72	$38.00	20.0%	5.8%	11.5%	19.0%	22.1%	5.0%	0.1%	990.8K	-19.9M	-373.0K	1.38	50.10	N/A	N/A	5,306	7,321	30,098	38,168
2016-08-31	$37.36	$38.00	20.1%	6.0%	12.0%	19.7%	19.7%	5.9%	-0.2%	879.7K	-13.9M	-371.9K	1.67	41.93	N/A	N/A	4,981	8,308	30,104	38,229