VWO Options History — March 2007 In March 2007, VWO traded between $38.79 and $39.54. ATM implied volatility averaged 25.5%. The 30-day expected move averaged 7.3%. Max pain ranged from $40.00 to $40.00. Net GEX was positive for 3 of 5 trading days. Term structure was in contango for 5 of 5 days. Put/call ratio averaged 0.00.
Notable Days 2007-03-29 : Highest Volume — 4 contracts2007-03-30 : Largest IV spike — 3.5% change2007-03-30 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $39.25 $38.79 $39.54 $39.34 $39.44 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 25.5% 24.9% 26.4% 24.9% 26.4% Expected Move 7.3% 7.1% 7.6% 7.2% 7.6% Term Structure 1.6% 1.4% 1.8% 1.5% 1.7% VWIV 25.1% 24.7% 25.5% 24.7% 25.5% Bid-Ask Spread % 36.19 30.79 45.37 30.79 36.54 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 487 0 1.5K 0 1.5K Net DEX -3.1K -9.7K 0 0 -9.7K Net VEX -7 -22 0 0 -22 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.2 0 4 0 0 Total OI 2 0 6 0 6
Daily Data (5 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 2007-03-26 $39.34 $0.00 24.9% 7.2% 0.0% 0.0% 0.0% 0.0% 1.5% 0 0 0 0.00 30.79 N/A N/A 0 0 0 0 2007-03-27 $39.13 $0.00 24.9% 7.1% 0.0% 0.0% 24.7% 0.0% 1.8% 0 0 0 0.00 36.33 N/A N/A 2 0 0 0 2007-03-28 $38.79 $40.00 25.7% 7.4% 0.0% 0.0% 0.0% 0.0% 1.5% 473 -2.4K -7 0.00 45.37 N/A N/A 0 0 2 0 2007-03-29 $39.54 $40.00 25.5% 7.3% 0.0% 0.0% 25.5% 0.0% 1.4% 492 -3.4K -8 0.00 31.90 N/A N/A 4 0 2 0 2007-03-30 $39.44 $40.00 26.4% 7.6% 0.0% 0.0% 0.0% 0.0% 1.7% 1.5K -9.7K -22 0.00 36.54 N/A N/A 0 0 6 0
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