VWO Options History — September 2016

In September 2016, VWO traded between $36.28 and $38.76. ATM implied volatility averaged 19.7%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.8% (HV 20d: 20.6%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2016-09-16: Highest Volume — 15,849 contracts
  • 2016-09-13: Largest IV spike — 23.9% change
  • 2016-09-13: Highest IV Rank — 35.4%
  • 2016-09-13: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.61$36.28$38.76$37.48$37.70
Max Pain$37.45$37.00$38.00$38.00$37.50
ATM IV19.7%17.2%22.8%19.6%19.7%
Expected Move5.7%4.8%6.8%6.1%5.5%
HV 20d20.6%11.9%25.5%11.9%25.5%
HV 60d19.7%17.4%22.4%20.4%17.7%
IV Rank19.6%6.7%35.4%17.1%19.3%
IV Percentile25.8%2.4%61.9%18.7%24.2%
Term Structure0.1%-1.2%1.4%-0.1%0.4%
VWIV20.6%16.6%24.6%23.4%16.6%
Skew 25d4.9%2.6%6.6%6.0%3.4%
Skew 10d12.9%4.1%18.1%15.3%14.7%
Call IV 25d17.6%15.1%20.9%16.8%17.0%
Put IV 25d22.5%19.0%25.1%22.8%20.4%
Bid-Ask Spread %47.6831.2858.3649.7552.44
Gamma HHI0.150.110.220.140.15
Net GEX1.3M-329.8K2.6M886.3K2.3M
Net DEX-18.5M-42.0M18.5M-12.3M-20.5M
Net VEX-334.6K-372.5K-311.0K-372.5K-321.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.593.981.451.04
Total Volume12,577.9057,95415,84912,24814,064
Total OI64,174.76254,92571,94469,34161,631

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$37.48$38.0019.6%6.1%11.9%17.1%23.4%6.0%-0.1%886.3K-12.3M-372.5K1.4549.75N/AN/A4,9907,25830,38938,952
2016-09-02$38.03$38.0018.4%5.5%12.5%11.6%24.6%5.7%-0.0%660.8K-23.9M-364.5K1.5751.31N/AN/A4,6067,24430,40839,008
2016-09-06$38.76$37.0017.2%4.8%14.0%6.7%19.6%4.5%-0.2%425.8K-37.5M-348.0K3.9856.75N/AN/A1,5966,35830,11438,897
2016-09-07$38.74$37.0017.5%4.9%13.9%8.1%19.1%5.2%-0.3%453.4K-39.3M-341.6K1.7053.73N/AN/A3,7516,38830,17339,040
2016-09-08$38.61$37.0017.9%4.8%13.9%10.4%18.7%4.9%-0.5%1.1M-42.0M-351.0K1.3347.79N/AN/A4,3055,71332,27639,129
2016-09-09$37.51$37.0019.6%5.5%16.9%19.2%19.6%5.1%-0.4%1.3M-15.1M-352.3K1.2046.59N/AN/A6,5537,89631,81239,605
2016-09-12$37.78$38.0018.4%5.6%17.1%12.7%20.4%5.0%0.8%2.1M-12.1M-311.0K1.0251.03N/AN/A7,6267,78030,20841,736
2016-09-13$36.28$38.0022.8%6.8%21.6%35.4%23.5%4.2%1.3%-276.5K18.5M-330.8K1.7235.92N/AN/A4,5437,80127,60641,993
2016-09-14$36.49$38.0022.7%6.8%21.8%34.9%23.5%5.4%1.4%-329.8K10.0M-328.1K1.6738.66N/AN/A4,5487,58527,50439,887
2016-09-15$37.11$38.0021.8%6.4%22.8%30.6%19.8%6.6%0.6%561.6K2.6M-324.9K0.6547.30N/AN/A9,0065,83627,59639,581
2016-09-16$36.84$38.0021.0%5.8%22.6%26.4%20.6%5.9%-0.7%-50.9K4.2M-333.6K0.5947.04N/AN/A9,9955,85430,05939,601
2016-09-19$37.12$38.0022.2%6.4%22.8%32.4%21.9%6.4%-0.4%1.6M-22.3M-329.0K0.6753.51N/AN/A7,6265,12027,28627,639
2016-09-20$37.18$38.0022.4%6.4%22.5%33.3%22.0%6.0%-1.2%1.6M-22.9M-327.4K1.1358.36N/AN/A4,3854,96627,41027,671
2016-09-21$38.05$37.0018.2%5.2%24.0%11.8%22.3%4.5%-0.2%2.1M-31.8M-328.8K1.1657.40N/AN/A4,3805,06527,55627,633
2016-09-22$38.23$37.0017.4%5.0%24.0%7.8%17.0%2.6%0.4%2.6M-36.7M-322.7K1.1249.31N/AN/A4,4554,98927,70027,736
2016-09-23$37.73$37.0018.9%5.4%24.5%15.4%18.3%3.7%0.5%2.3M-32.3M-323.0K1.0638.01N/AN/A6,9587,37127,81727,728
2016-09-26$37.24$37.0020.5%5.9%24.8%23.9%22.0%5.2%0.4%1.8M-15.3M-334.8K1.1451.35N/AN/A6,6987,62930,27430,418
2016-09-27$37.58$37.0019.4%5.6%24.8%17.8%21.2%4.8%0.8%2.0M-17.7M-330.4K1.1540.76N/AN/A6,7457,74330,41030,542
2016-09-28$37.99$37.0018.4%5.2%25.1%13.0%19.3%5.0%-0.6%2.6M-23.3M-322.0K1.1631.28N/AN/A6,7677,81730,52430,690
2016-09-29$37.45$37.0020.4%6.0%25.4%23.4%19.8%3.4%0.6%1.9M-18.4M-328.6K1.0642.92N/AN/A6,8647,26230,61230,819
2016-09-30$37.70$37.5019.7%5.5%25.5%19.3%16.6%3.4%0.4%2.3M-20.5M-321.8K1.0452.44N/AN/A6,8927,17230,75330,878