VWO Options History — November 2016

In November 2016, VWO traded between $35.03 and $38.09. ATM implied volatility averaged 22.0%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.3% (HV 20d: 20.7%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2016-11-23: Highest Volume — 16,693 contracts
  • 2016-11-15: Largest IV drop — 15.9% change
  • 2016-11-14: Highest IV Rank — 56.2%
  • 2016-11-14: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.24$35.03$38.09$37.47$36.27
Max Pain$32.57$32.00$38.00$38.00$32.00
ATM IV22.0%18.5%26.8%22.7%18.5%
Expected Move6.4%5.4%7.7%7.2%5.6%
HV 20d20.7%12.3%24.4%12.7%24.2%
HV 60d20.1%17.5%21.4%17.5%20.7%
IV Rank31.4%13.4%56.2%35.0%13.4%
IV Percentile56.4%12.7%88.9%70.6%12.7%
Term Structure-0.2%-2.2%1.8%-1.1%-0.3%
VWIV21.6%13.7%29.0%29.0%21.3%
Skew 25d5.8%3.7%8.1%4.3%5.1%
Skew 10d12.9%8.8%19.9%12.7%15.6%
Call IV 25d19.5%16.7%23.3%20.6%17.3%
Put IV 25d25.3%22.1%30.5%24.9%22.4%
Bid-Ask Spread %44.1324.36115.14107.2448.82
Gamma HHI0.140.090.220.190.12
Net GEX660.5K-238.6K2.0M1.5M268.9K
Net DEX732.6K-21.0M14.9M-14.4M2.7M
Net VEX-275.8K-305.8K-250.2K-280.5K-302.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.211.330.951.25
Total Volume12,246.198,19816,6939,63616,161
Total OI63,699.23859,66868,78460,71162,422

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$37.47$38.0022.7%7.2%12.7%35.0%29.0%4.3%-1.1%1.5M-14.4M-280.5K0.95107.24N/AN/A4,9414,69529,94530,766
2016-11-02$37.09$38.0022.0%7.6%12.3%31.5%28.2%5.4%0.3%1.1M-7.9M-277.8K0.96115.14N/AN/A4,8804,67630,02530,827
2016-11-03$36.87$32.0023.2%6.6%12.4%37.6%22.6%5.3%-0.8%1.1M-7.7M-277.3K1.3228.23N/AN/A3,5564,68430,05630,827
2016-11-04$36.52$32.0023.9%6.5%12.7%41.2%22.1%6.9%0.2%774.5K-2.2M-275.8K1.3328.99N/AN/A3,5234,67530,08830,947
2016-11-07$37.76$32.0021.8%6.4%17.7%30.2%22.3%6.8%1.2%1.7M-15.8M-266.9K1.2731.15N/AN/A3,6744,65430,02930,935
2016-11-08$38.09$32.0022.4%6.3%16.8%33.5%22.8%6.4%0.2%2.0M-21.0M-269.9K1.2835.48N/AN/A3,6414,67630,34830,986
2016-11-09$36.99$32.0021.8%6.0%19.9%30.5%20.5%5.8%-1.5%1.0M-8.0M-260.2K1.3029.45N/AN/A3,6254,70730,42931,073
2016-11-10$35.81$32.0023.3%6.6%22.8%38.3%22.2%3.7%0.3%-238.6K5.6M-250.2K0.7833.95N/AN/A6,5315,06930,48431,155
2016-11-11$35.28$32.0025.5%7.6%23.1%49.4%25.2%8.1%1.6%332.1K12.7M-257.2K0.7436.88N/AN/A6,5404,81933,38631,463
2016-11-14$35.03$32.0026.8%7.7%23.2%56.2%26.0%6.6%-1.7%204.5K14.9M-252.4K0.2124.36N/AN/A11,0822,35633,45831,488
2016-11-15$35.72$32.0022.6%6.4%23.4%34.3%25.1%7.1%1.8%523.0K6.5M-264.9K0.3236.07N/AN/A9,3693,01835,78531,662
2016-11-16$35.45$32.0023.5%6.7%23.2%39.2%22.6%4.8%0.4%410.9K9.9M-286.7K0.2137.06N/AN/A13,6282,90436,46132,323
2016-11-17$35.46$32.0023.5%6.8%23.2%39.4%14.7%6.7%-0.8%337.9K7.5M-281.4K0.3538.57N/AN/A9,6713,40534,46532,330
2016-11-18$35.42$32.0021.0%6.0%23.2%26.1%15.4%6.7%-0.3%497.5K11.7M-278.9K0.3541.26N/AN/A9,6833,39835,01532,835
2016-11-21$35.69$32.0021.9%6.0%23.4%30.9%15.5%5.1%-2.2%377.8K7.0M-274.3K0.3350.92N/AN/A9,5053,15432,58232,323
2016-11-22$36.17$32.0019.3%5.4%24.1%17.2%13.7%5.0%-0.8%467.4K-2.1M-268.3K0.4448.06N/AN/A7,2263,20632,65432,322
2016-11-23$35.79$32.0020.0%5.7%24.2%21.0%20.8%4.3%-1.0%473.5K3.4M-265.9K1.3153.04N/AN/A7,2279,46632,75832,370
2016-11-25$35.96$32.0019.3%5.6%24.3%17.5%21.4%6.3%-1.5%269.8K5.3M-299.0K1.3236.57N/AN/A7,1789,50032,79635,794
2016-11-28$36.17$32.0020.0%6.0%24.4%21.1%21.0%6.0%-0.3%447.1K2.5M-295.5K1.2532.94N/AN/A7,2109,01327,09332,575
2016-11-29$36.12$32.0019.1%6.0%24.2%16.6%21.5%5.4%1.5%240.7K4.7M-305.8K1.2532.45N/AN/A7,2069,03827,18435,220
2016-11-30$36.27$32.0018.5%5.6%24.2%13.4%21.3%5.1%-0.3%268.9K2.7M-302.8K1.2548.82N/AN/A7,1958,96627,17635,246