VWO Options History — December 2016

In December 2016, VWO traded between $34.85 and $36.85. ATM implied volatility averaged 18.2%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.8% (HV 20d: 17.5%). Max pain ranged from $32.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2016-12-20: Highest Volume — 19,240 contracts
  • 2016-12-30: Largest IV spike — 17.0% change
  • 2016-12-30: Highest IV Rank — 20.4%
  • 2016-12-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.84$34.85$36.85$35.77$35.75
Max Pain$36.02$32.00$40.00$32.00$36.50
ATM IV18.2%16.5%19.9%18.6%19.9%
Expected Move5.3%4.4%6.0%6.0%5.3%
HV 20d17.5%14.1%24.4%24.4%15.9%
HV 60d18.7%17.9%20.9%20.9%18.0%
IV Rank11.9%3.2%20.4%14.0%20.4%
IV Percentile13.4%0.4%36.5%15.1%36.5%
Term Structure0.4%-2.2%2.1%1.9%-0.1%
VWIV18.7%15.2%21.2%21.2%15.2%
Skew 25d4.8%2.2%7.1%4.8%3.4%
Skew 10d7.5%-5.2%17.0%17.0%1.7%
Call IV 25d16.3%13.1%18.2%18.2%17.5%
Put IV 25d21.2%19.0%23.4%23.0%20.9%
Bid-Ask Spread %43.5925.8675.7850.0631.43
Gamma HHI0.140.130.160.140.16
Net GEX765.6K319.9K1.5M400.7K1.4M
Net DEX4.9M-6.7M28.0M4.8M2.4M
Net VEX-290.8K-305.6K-264.7K-305.6K-296.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.351.140.651.13
Total Volume12,877.6678,82319,24014,16314,245
Total OI62,397.66751,35664,90163,87860,835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$35.77$32.0018.6%6.0%24.4%14.0%21.2%4.8%1.9%400.7K4.8M-305.6K0.6550.06N/AN/A8,5995,56428,61935,259
2016-12-02$35.79$32.0018.8%5.9%24.4%15.1%21.2%5.3%1.4%426.6K5.5M-305.3K0.7725.86N/AN/A7,2385,54128,63735,295
2016-12-05$36.06$36.0019.5%5.5%24.4%18.5%21.0%5.9%0.3%422.4K4.0M-300.0K0.7845.95N/AN/A6,9865,45428,70635,234
2016-12-06$36.16$36.0018.7%5.5%20.9%14.3%17.5%5.9%0.3%556.7K2.7M-299.8K0.7449.85N/AN/A7,4375,48128,72935,233
2016-12-07$36.74$36.0017.3%4.9%21.5%6.9%17.7%5.4%1.1%784.8K-3.0M-300.4K0.6841.97N/AN/A7,2654,90829,20635,244
2016-12-08$36.85$36.0016.5%5.2%18.9%3.2%18.5%7.0%0.2%887.8K-6.7M-290.1K0.6742.53N/AN/A7,2774,90829,48535,240
2016-12-09$36.72$36.0017.8%5.1%14.7%9.7%18.5%7.1%0.7%860.3K-5.2M-296.9K0.6941.92N/AN/A7,1514,91129,66135,240
2016-12-12$36.35$36.0017.9%5.6%14.1%10.4%19.4%6.6%1.0%847.6K-1.9M-292.5K0.3634.51N/AN/A6,4672,35629,58035,208
2016-12-13$36.77$36.0017.4%5.3%14.2%7.7%19.5%5.4%0.9%957.0K-6.3M-286.3K0.3842.50N/AN/A6,4532,43129,58335,263
2016-12-14$35.82$36.0019.2%5.5%16.0%16.8%19.7%3.2%-0.4%735.4K-649.6K-284.8K0.3841.64N/AN/A6,4192,41529,55934,442
2016-12-15$35.94$36.0019.4%5.3%15.8%18.2%18.9%6.0%-1.5%659.9K1.9M-274.3K0.3736.73N/AN/A6,5342,41929,55734,600
2016-12-16$35.61$36.0018.8%5.3%16.2%15.0%18.4%5.0%-0.1%639.6K1.3M-276.6K0.3537.46N/AN/A6,8152,40029,59533,948
2016-12-19$35.45$36.0017.8%4.4%16.3%9.7%19.7%4.7%-1.0%564.8K11.9M-264.7K0.5975.78N/AN/A11,6436,84022,84228,514
2016-12-20$35.28$40.0016.8%4.8%16.1%4.5%16.2%4.4%2.1%842.1K28.0M-293.7K0.5951.03N/AN/A12,0877,15330,79133,837
2016-12-21$35.24$37.0018.4%5.3%15.2%13.1%17.9%3.9%1.5%976.8K10.3M-296.5K1.0464.32N/AN/A6,8377,10331,08229,183
2016-12-22$34.85$37.0018.5%5.4%15.3%13.3%19.7%3.5%-2.2%319.9K16.2M-285.9K1.0542.24N/AN/A6,7527,06731,14129,174
2016-12-23$35.01$37.0018.0%5.1%15.3%10.8%18.2%2.2%0.9%523.7K15.1M-285.7K1.0034.53N/AN/A7,1777,20131,14429,221
2016-12-27$35.19$37.0018.8%5.1%15.2%14.7%18.2%3.7%-0.2%800.1K13.0M-288.3K1.0043.35N/AN/A7,1557,18831,59729,245
2016-12-28$35.40$36.0017.5%5.0%15.4%8.3%17.8%4.5%0.9%1.0M8.0M-288.1K1.0153.17N/AN/A7,1707,23631,66728,636
2016-12-29$35.97$36.0017.0%5.1%16.5%5.6%18.2%2.9%1.2%1.5M2.0M-294.2K1.1428.53N/AN/A6,6037,54531,63628,683
2016-12-30$35.75$36.5019.9%5.3%15.9%20.4%15.2%3.4%-0.1%1.4M2.4M-296.4K1.1331.43N/AN/A6,6827,56331,68029,155