VWO Options History — August 2017

In August 2017, VWO traded between $42.32 and $44.33. ATM implied volatility averaged 13.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.8% (HV 20d: 11.0%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.80.

Notable Days

2017-08-31: Highest Volume — 24,952 contracts
2017-08-10: Largest IV spike — 28.0% change
2017-08-11: Highest IV Rank — 38.4%
2017-08-11: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.38	$42.32	$44.33	$43.20	$44.33
Max Pain	$40.09	$40.00	$41.00	$41.00	$40.00
ATM IV	13.8%	11.9%	17.4%	12.0%	13.1%
Expected Move	3.8%	2.2%	5.2%	3.2%	3.2%
HV 20d	11.0%	7.4%	12.4%	10.3%	12.4%
HV 60d	11.0%	10.5%	11.8%	11.2%	11.1%
IV Rank	14.8%	2.6%	38.4%	3.3%	10.5%
IV Percentile	25.7%	3.2%	60.3%	4.4%	17.5%
Term Structure	0.4%	-2.1%	1.9%	-0.5%	0.7%
VWIV	14.8%	10.4%	19.9%	10.6%	12.6%
Skew 25d	4.3%	2.2%	5.9%	3.0%	4.6%
Skew 10d	11.4%	8.1%	15.6%	8.5%	11.9%
Call IV 25d	12.1%	10.4%	15.5%	10.4%	11.5%
Put IV 25d	16.4%	13.0%	20.7%	13.4%	16.1%
Bid-Ask Spread %	22.97	15.61	31.18	24.29	19.88
Gamma HHI	0.21	0.16	0.32	0.20	0.25
Net GEX	4.3M	2.3M	5.9M	5.0M	3.3M
Net DEX	-9.3M	-24.8M	15.1M	-18.4M	-21.7M
Net VEX	-627.5K	-705.7K	-577.8K	-580.3K	-705.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.80	1.18	2.42	2.11	1.92
Total Volume	20,036.348	17,794	24,952	19,525	24,952
Total OI	96,837.739	91,991	101,021	93,216	99,382

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
2017-08-01	$43.20	$41.00	12.0%	3.2%	10.3%	3.3%	10.6%	3.0%	-0.5%	5.0M	-18.4M	-580.3K	2.11	24.29	N/A	N/A	6,277	13,248	47,436	45,780
2017-08-02	$43.25	$41.00	12.2%	3.3%	10.2%	4.4%	10.4%	2.2%	-0.0%	4.7M	-18.0M	-599.3K	2.07	23.49	N/A	N/A	6,406	13,246	47,618	48,266
2017-08-03	$43.13	$40.00	11.9%	3.3%	9.1%	2.6%	11.4%	3.5%	0.0%	5.1M	-14.5M	-580.3K	2.09	26.04	N/A	N/A	6,345	13,282	47,887	47,125
2017-08-04	$43.23	$40.00	12.1%	3.4%	9.1%	3.7%	13.1%	2.3%	0.9%	5.0M	-17.0M	-592.5K	2.05	19.25	N/A	N/A	6,544	13,392	48,065	47,167
2017-08-07	$43.53	$40.00	12.0%	2.2%	9.1%	3.2%	11.7%	3.6%	-2.1%	4.5M	-24.8M	-577.8K	2.11	17.69	N/A	N/A	6,344	13,397	47,906	47,300
2017-08-08	$43.53	$40.00	12.0%	3.4%	9.0%	3.5%	13.8%	2.5%	-0.5%	4.6M	-22.3M	-582.4K	1.50	25.62	N/A	N/A	8,351	12,533	48,050	47,382
2017-08-09	$43.26	$40.00	13.0%	3.9%	7.4%	9.5%	15.3%	3.9%	0.9%	4.4M	-8.6M	-587.4K	1.38	26.42	N/A	N/A	9,232	12,695	47,514	48,478
2017-08-10	$42.32	$40.00	16.6%	5.1%	11.1%	33.1%	19.7%	5.8%	1.0%	4.3M	13.3M	-628.4K	2.11	24.10	N/A	N/A	6,313	13,333	49,018	48,821
2017-08-11	$42.43	$40.00	17.4%	5.2%	10.4%	38.4%	19.9%	4.4%	1.7%	5.6M	15.1M	-616.5K	1.94	25.88	N/A	N/A	6,260	12,163	49,210	49,908
2017-08-14	$42.79	$40.00	14.3%	4.1%	10.6%	18.4%	16.8%	4.2%	0.8%	5.2M	4.3M	-611.0K	1.75	23.22	N/A	N/A	6,827	11,919	49,027	49,809
2017-08-15	$42.76	$40.00	13.1%	3.8%	10.6%	10.4%	14.5%	4.4%	1.2%	5.8M	1.8M	-613.2K	1.52	17.65	N/A	N/A	7,876	11,934	49,821	49,883
2017-08-16	$43.23	$40.00	12.7%	3.6%	10.9%	8.0%	14.5%	4.6%	0.9%	4.6M	-11.3M	-604.7K	1.44	21.80	N/A	N/A	8,215	11,864	49,662	49,889
2017-08-17	$42.73	$40.00	15.2%	4.3%	11.7%	24.4%	17.7%	5.3%	1.9%	5.4M	1.5M	-631.8K	2.03	24.67	N/A	N/A	6,144	12,493	50,070	49,893
2017-08-18	$43.11	$40.00	15.0%	4.1%	12.1%	22.7%	17.0%	5.9%	1.5%	5.9M	-10.0M	-622.7K	1.89	23.64	N/A	N/A	6,707	12,664	50,248	50,773
2017-08-21	$43.18	$40.00	16.1%	4.3%	12.0%	29.7%	17.3%	4.9%	-0.1%	2.3M	9.5M	-626.4K	1.18	24.45	N/A	N/A	9,431	11,103	44,676	47,315
2017-08-22	$43.57	$40.00	13.8%	3.7%	12.3%	14.9%	15.7%	4.6%	0.3%	3.1M	-4.5M	-656.7K	1.52	20.29	N/A	N/A	7,309	11,143	47,532	47,446
2017-08-23	$43.74	$40.00	14.6%	3.8%	12.2%	20.2%	15.3%	5.5%	-0.1%	3.1M	-10.3M	-676.6K	1.51	31.18	N/A	N/A	7,416	11,173	48,065	47,524
2017-08-24	$43.83	$40.00	13.4%	3.6%	12.1%	12.3%	17.8%	4.8%	0.5%	3.4M	-11.7M	-655.1K	1.59	23.97	N/A	N/A	7,198	11,417	48,266	47,575
2017-08-25	$44.21	$40.00	13.7%	3.8%	12.4%	14.6%	12.9%	4.4%	-0.0%	3.1M	-18.6M	-673.7K	1.64	28.15	N/A	N/A	6,762	11,067	48,574	48,103
2017-08-28	$44.16	$40.00	14.5%	3.8%	12.4%	19.7%	13.9%	3.9%	-0.6%	3.4M	-17.5M	-649.7K	1.59	22.55	N/A	N/A	6,871	10,923	48,556	47,939
2017-08-29	$44.10	$40.00	13.9%	3.7%	12.4%	15.5%	13.9%	5.1%	-0.1%	3.5M	-16.7M	-663.3K	2.42	18.51	N/A	N/A	6,864	16,633	48,786	47,988
2017-08-30	$44.13	$40.00	14.1%	3.7%	12.4%	16.9%	13.9%	4.6%	0.2%	2.8M	-14.2M	-697.4K	1.97	15.61	N/A	N/A	8,273	16,297	48,790	48,745
2017-08-31	$44.33	$40.00	13.1%	3.2%	12.4%	10.5%	12.6%	4.6%	0.7%	3.3M	-21.7M	-705.7K	1.92	19.88	N/A	N/A	8,559	16,393	50,219	49,163