VWO Options History — March 2017

In March 2017, VWO traded between $38.32 and $40.49. ATM implied volatility averaged 15.1%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.7% (HV 20d: 14.4%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 4.60.

Notable Days

2017-03-17: Highest Volume — 16,892 contracts
2017-03-21: Largest IV spike — 16.8% change
2017-03-02: Highest IV Rank — 23.0%
2017-03-02: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.56	$38.32	$40.49	$39.30	$39.78
Max Pain	$38.74	$37.00	$39.00	$37.00	$39.00
ATM IV	15.1%	13.2%	16.7%	15.5%	14.1%
Expected Move	4.3%	3.8%	4.8%	4.6%	3.9%
HV 20d	14.4%	10.3%	16.7%	10.3%	13.6%
HV 60d	12.3%	11.4%	12.8%	12.2%	11.7%
IV Rank	12.0%	0.0%	23.0%	14.1%	6.7%
IV Percentile	9.6%	0.0%	18.7%	10.3%	3.6%
Term Structure	0.2%	-2.0%	4.2%	-0.0%	-0.1%
VWIV	15.6%	13.8%	17.2%	16.6%	15.1%
Skew 25d	2.7%	-0.1%	5.6%	-0.1%	2.0%
Skew 10d	6.7%	-1.0%	11.4%	5.1%	4.7%
Call IV 25d	14.3%	12.2%	15.7%	15.3%	14.1%
Put IV 25d	17.0%	15.2%	19.4%	15.2%	16.1%
Bid-Ask Spread %	28.91	12.09	49.82	42.30	35.45
Gamma HHI	0.21	0.17	0.32	0.20	0.22
Net GEX	3.5M	2.9M	4.2M	3.3M	3.7M
Net DEX	-26.1M	-46.4M	-10.3M	-26.6M	-21.1M
Net VEX	-551.0K	-590.1K	-507.9K	-558.8K	-553.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.60	1.41	8.04	7.62	4.90
Total Volume	11,985.348	8,637	16,892	14,510	8,637
Total OI	66,510.826	60,373	70,696	67,882	64,194

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
2017-03-01	$39.30	$37.00	15.5%	4.6%	10.3%	14.1%	16.6%	-0.1%	-0.0%	3.3M	-26.6M	-558.8K	7.62	42.30	N/A	N/A	1,683	12,827	36,173	31,709
2017-03-02	$38.62	$37.00	16.7%	4.8%	12.4%	23.0%	15.6%	2.1%	-2.0%	3.4M	-20.7M	-554.7K	7.23	31.98	N/A	N/A	1,790	12,948	36,338	31,729
2017-03-03	$38.95	$37.00	15.6%	4.7%	12.6%	14.4%	14.8%	3.9%	-0.4%	3.5M	-21.9M	-556.3K	8.04	24.09	N/A	N/A	1,620	13,022	36,390	31,905
2017-03-06	$39.02	$39.00	15.3%	4.3%	12.6%	12.6%	16.0%	2.7%	-0.2%	3.6M	-24.3M	-548.1K	7.02	12.09	N/A	N/A	1,477	10,373	36,407	31,990
2017-03-07	$38.99	$39.00	14.8%	4.3%	12.5%	8.7%	16.0%	2.7%	-0.3%	3.7M	-25.3M	-548.0K	7.20	15.93	N/A	N/A	1,447	10,419	36,456	32,040
2017-03-08	$38.69	$39.00	15.4%	4.2%	12.8%	13.5%	16.0%	3.0%	-0.7%	3.8M	-18.8M	-544.8K	7.55	17.40	N/A	N/A	1,390	10,500	36,474	32,106
2017-03-09	$38.32	$39.00	15.4%	4.6%	12.9%	12.9%	16.7%	3.1%	0.3%	3.7M	-10.3M	-520.2K	7.51	23.31	N/A	N/A	1,390	10,434	36,545	32,194
2017-03-10	$38.60	$39.00	14.6%	4.0%	13.0%	7.4%	15.1%	3.4%	-0.5%	4.1M	-15.5M	-507.9K	6.89	13.31	N/A	N/A	1,521	10,473	36,625	32,219
2017-03-13	$39.15	$39.00	14.8%	4.2%	13.7%	8.6%	15.2%	2.3%	-0.2%	4.0M	-26.7M	-534.1K	6.55	14.66	N/A	N/A	1,592	10,433	36,647	32,211
2017-03-14	$38.91	$39.00	14.8%	4.2%	13.7%	8.6%	15.2%	3.2%	-0.4%	4.2M	-23.4M	-520.5K	2.41	16.67	N/A	N/A	4,315	10,391	36,842	32,215
2017-03-15	$39.87	$39.00	14.8%	4.3%	16.3%	8.4%	16.0%	0.0%	-0.7%	3.4M	-39.9M	-549.6K	2.48	47.40	N/A	N/A	4,197	10,404	37,802	32,254
2017-03-16	$40.10	$39.00	15.0%	4.1%	16.2%	10.2%	15.4%	3.1%	-0.4%	2.9M	-45.1M	-549.4K	2.72	37.36	N/A	N/A	3,891	10,589	37,907	32,242
2017-03-17	$40.08	$39.00	13.8%	4.1%	16.1%	1.3%	14.7%	1.9%	0.4%	3.3M	-46.4M	-546.5K	1.68	35.61	N/A	N/A	6,308	10,584	38,276	32,420
2017-03-20	$40.49	$39.00	13.2%	3.8%	16.3%	0.0%	13.8%	3.1%	0.5%	3.0M	-23.7M	-560.9K	1.41	49.82	N/A	N/A	5,217	7,354	32,808	27,565
2017-03-21	$40.00	$39.00	15.4%	4.4%	16.7%	15.9%	16.0%	3.2%	1.1%	3.1M	-28.1M	-590.1K	2.41	45.18	N/A	N/A	3,026	7,305	35,226	27,787
2017-03-22	$40.09	$39.00	16.1%	4.6%	16.7%	20.6%	16.5%	3.7%	-0.2%	3.2M	-24.2M	-582.6K	2.38	24.57	N/A	N/A	3,076	7,312	35,345	27,833
2017-03-23	$40.07	$39.00	15.7%	4.5%	16.7%	17.9%	17.2%	2.7%	0.4%	3.2M	-24.7M	-558.5K	2.34	30.63	N/A	N/A	3,101	7,243	35,476	27,929
2017-03-24	$40.21	$39.00	15.9%	4.4%	16.1%	19.3%	15.3%	5.6%	1.1%	3.2M	-26.3M	-574.1K	1.96	26.04	N/A	N/A	3,715	7,267	35,490	27,987
2017-03-27	$40.14	$39.00	16.3%	4.4%	16.0%	22.1%	15.1%	3.0%	1.1%	3.4M	-23.9M	-570.4K	3.49	35.10	N/A	N/A	2,067	7,216	35,896	28,011
2017-03-28	$40.17	$39.00	15.9%	4.3%	15.7%	19.5%	15.0%	4.3%	0.6%	3.6M	-27.4M	-560.0K	3.33	28.09	N/A	N/A	2,165	7,203	35,927	28,029
2017-03-29	$40.24	$39.00	13.7%	4.0%	15.0%	3.6%	15.1%	0.5%	4.2%	3.8M	-28.6M	-542.2K	4.39	38.89	N/A	N/A	1,644	7,215	36,032	28,000
2017-03-30	$40.04	$39.00	14.3%	4.0%	13.5%	7.6%	15.3%	2.9%	0.6%	3.9M	-27.6M	-541.9K	4.26	19.12	N/A	N/A	1,689	7,193	36,037	28,061
2017-03-31	$39.78	$39.00	14.1%	3.9%	13.6%	6.7%	15.1%	2.0%	-0.1%	3.7M	-21.1M	-553.2K	4.90	35.45	N/A	N/A	1,464	7,173	36,131	28,063