VWO Options History — October 2016

In October 2016, VWO traded between $37.21 and $38.24. ATM implied volatility averaged 20.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.3% (HV 20d: 17.8%). Max pain ranged from $37.50 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2016-10-17: Highest Volume — 20,212 contracts
  • 2016-10-04: Largest IV spike — 9.0% change
  • 2016-10-17: Highest IV Rank — 34.9%
  • 2016-10-31: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.81$37.21$38.24$37.92$37.74
Max Pain$37.93$37.50$38.00$37.50$38.00
ATM IV20.0%18.1%22.7%18.8%20.4%
Expected Move5.9%5.1%6.6%5.2%6.6%
HV 20d17.8%12.8%25.0%25.0%12.9%
HV 60d17.3%16.9%17.5%17.2%17.5%
IV Rank21.3%11.3%34.9%14.9%23.0%
IV Percentile32.3%6.0%68.7%15.5%38.1%
Term Structure0.3%-2.0%2.6%2.1%0.4%
VWIV19.7%16.3%23.5%16.3%22.1%
Skew 25d4.9%1.6%8.0%4.6%8.0%
Skew 10d10.4%-3.1%16.7%12.1%12.8%
Call IV 25d17.9%15.3%20.7%17.8%15.3%
Put IV 25d22.8%18.4%27.0%22.5%23.3%
Bid-Ask Spread %36.7422.5496.8946.2296.89
Gamma HHI0.190.130.440.160.21
Net GEX2.6M1.4M7.3M2.8M1.7M
Net DEX-19.7M-27.1M-7.8M-23.5M-17.5M
Net VEX-296.4K-314.2K-274.1K-309.2K-275.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.973.150.980.97
Total Volume14,855.1439,58020,21212,9469,580
Total OI63,227.09559,37867,45761,37360,589

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$37.92$37.5018.8%5.2%25.0%14.9%16.3%4.6%2.1%2.8M-23.5M-309.2K0.9846.22N/AN/A6,5546,39230,70730,666
2016-10-04$37.56$37.5020.5%5.9%24.1%23.6%18.2%3.7%0.8%2.4M-20.9M-308.8K0.9922.61N/AN/A6,6696,59530,76230,758
2016-10-05$38.03$37.5019.2%5.4%24.7%16.9%16.8%5.7%1.7%2.7M-24.8M-313.7K1.6234.58N/AN/A4,1266,68230,87731,274
2016-10-06$38.04$38.0019.2%5.6%24.6%17.1%20.3%3.0%2.6%3.0M-24.4M-310.5K1.7236.24N/AN/A3,9116,72730,92531,247
2016-10-07$37.95$38.0019.8%5.8%22.3%20.3%20.3%4.4%1.0%2.9M-23.9M-308.1K1.7133.57N/AN/A3,9046,66030,96231,260
2016-10-10$38.21$38.0020.1%6.0%22.3%21.8%20.6%5.2%-0.1%3.3M-27.1M-303.1K3.1522.54N/AN/A3,80512,00330,81331,227
2016-10-11$37.55$38.0021.5%6.2%17.7%29.0%22.2%4.8%-0.1%1.9M-13.9M-314.0K3.0723.60N/AN/A3,92112,02430,84934,262
2016-10-12$37.49$38.0022.1%6.5%17.7%32.1%21.2%6.8%1.6%1.9M-13.1M-314.2K3.0536.24N/AN/A3,94312,04130,92934,438
2016-10-13$37.21$38.0022.4%6.5%16.9%33.3%23.5%6.3%0.1%1.4M-7.8M-310.1K3.0940.06N/AN/A3,93712,16130,96634,354
2016-10-14$37.35$38.0022.0%6.4%16.7%31.4%21.9%5.3%0.3%1.8M-12.2M-303.0K3.0837.86N/AN/A3,95412,16730,96234,377
2016-10-17$37.25$38.0022.7%6.5%16.6%34.9%22.6%5.3%-1.4%1.4M-9.1M-292.6K1.3628.23N/AN/A8,57211,64030,84034,234
2016-10-18$37.90$38.0021.1%6.1%17.6%26.7%21.3%5.8%-2.0%3.1M-20.8M-295.9K1.3530.05N/AN/A8,52611,53233,10934,204
2016-10-19$38.16$38.0019.7%5.7%15.8%19.6%17.9%5.7%-1.3%3.9M-26.0M-292.0K1.3636.77N/AN/A8,51211,54633,11734,207
2016-10-20$38.06$38.0018.2%5.2%15.7%11.8%18.6%4.0%0.6%4.6M-25.0M-291.8K1.3230.05N/AN/A8,54611,29533,15434,225
2016-10-21$38.07$38.0018.3%5.2%14.9%12.4%17.9%4.0%0.5%7.3M-25.5M-283.1K1.4930.40N/AN/A7,83911,69333,22034,237
2016-10-24$38.23$38.0018.9%5.1%14.1%15.5%16.7%4.2%-0.4%2.1M-22.8M-282.2K2.1336.85N/AN/A3,6947,85528,83630,542
2016-10-25$38.24$38.0018.7%5.2%13.8%14.3%17.3%1.6%0.1%2.1M-23.8M-274.1K2.1733.53N/AN/A3,6197,87029,03830,582
2016-10-26$37.92$38.0018.1%5.5%13.7%11.3%17.8%5.4%-0.2%1.8M-19.0M-279.0K1.2433.37N/AN/A6,3257,84429,13330,649
2016-10-27$37.67$38.0019.3%5.9%12.8%17.2%19.4%5.1%-0.1%1.8M-18.4M-280.0K1.2939.38N/AN/A6,3388,20229,87430,686
2016-10-28$37.45$38.0019.9%6.6%12.8%20.7%20.5%4.4%0.6%1.5M-14.7M-283.4K1.6042.46N/AN/A4,9067,84829,86830,810
2016-10-31$37.74$38.0020.4%6.6%12.9%23.0%22.1%8.0%0.4%1.7M-17.5M-275.3K0.9796.89N/AN/A4,8684,71229,88530,704