VWO Options History — April 2007

In April 2007, VWO traded between $39.78 and $42.48. ATM implied volatility averaged 23.8%. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 10.5% (HV 20d: 13.4%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 34.25.

Notable Days

  • 2007-04-02: Highest Volume — 4,028 contracts
  • 2007-04-30: Largest IV spike — 22.6% change
  • 2007-04-10: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.34$39.78$42.48$39.78$40.94
Max Pain$40.63$40.00$42.50$40.00$40.00
ATM IV23.8%22.0%27.0%26.4%27.0%
Expected Move6.9%6.3%8.0%7.6%7.7%
HV 20d13.4%12.9%15.1%12.9%15.1%
Term Structure1.2%-0.3%2.9%1.3%-0.1%
VWIV25.1%20.8%28.6%26.4%23.9%
Bid-Ask Spread %22.8912.0739.3433.2728.44
Gamma HHI0.930.821.001.000.85
Net GEX-352.4K-418.5K1.6K1.6K-418.5K
Net DEX3.1M-11.2K4.5M-11.2K3.3M
Net VEX-18.2K-24.0K-22-22-18.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio34.250.00502.50502.500.00
Total Volume221.504,0284,0280
Total OI3,913.364,25464,254

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$39.78$40.0026.4%7.6%0.0%0.0%26.4%0.0%1.3%1.6K-11.2K-22502.5033.27N/AN/A84,02060
2007-04-03$40.38$40.0026.1%7.5%0.0%0.0%26.1%0.0%1.8%-394.0K4.5M-24.0K5.0031.36N/AN/A420144,020
2007-04-04$40.51$40.0025.8%7.4%0.0%0.0%25.7%0.0%2.1%-394.7K4.4M-23.8K0.0033.27N/AN/A80144,020
2007-04-05$40.62$40.0026.2%7.5%0.0%0.0%26.3%0.0%1.5%-388.2K4.2M-23.7K0.0039.34N/AN/A60224,020
2007-04-09$40.86$42.5025.7%8.0%0.0%0.0%0.0%0.0%0.6%-375.2K3.9M-21.8K0.0012.79N/AN/A00264,020
2007-04-10$40.98$42.5025.6%8.0%0.0%0.0%0.0%0.0%-0.1%-380.1K3.9M-21.7K0.0012.07N/AN/A00264,020
2007-04-11$40.87$42.5025.4%8.0%0.0%0.0%0.0%0.0%-0.3%-403.1K4.0M-21.5K0.0013.97N/AN/A010264,020
2007-04-12$41.39$42.5022.5%6.4%0.0%0.0%28.6%0.0%2.9%-363.7K3.5M-20.1K0.0013.98N/AN/A60264,030
2007-04-13$41.52$40.0022.4%6.4%0.0%0.0%21.5%0.0%2.0%-368.8K3.3M-19.9K0.0015.05N/AN/A180324,030
2007-04-16$42.05$40.0022.6%6.5%0.0%0.0%22.4%0.0%1.1%-324.2K2.9M-18.2K0.0018.87N/AN/A400504,030
2007-04-17$41.90$40.0022.6%6.5%12.9%0.0%0.0%0.0%1.3%-349.8K2.9M-18.2K0.0019.71N/AN/A140744,030
2007-04-18$41.70$40.0022.6%6.5%12.9%0.0%27.7%0.0%1.4%-364.1K2.9M-18.2K1.7318.70N/AN/A2238884,030
2007-04-19$41.42$42.5022.3%6.4%13.1%0.0%26.8%0.0%0.8%-385.0K3.2M-18.2K3.4318.43N/AN/A1448664,068
2007-04-20$42.04$40.0022.5%6.5%13.5%0.0%27.0%0.0%0.7%-362.0K2.7M-16.5K0.0020.47N/AN/A280524,082
2007-04-23$41.87$40.0022.4%6.4%13.4%0.0%22.4%0.0%0.7%-382.0K2.6M-16.0K1.1722.78N/AN/A3642704,062
2007-04-24$41.90$40.0022.1%6.3%13.1%0.0%25.2%0.0%1.4%-386.2K2.6M-16.3K0.0021.51N/AN/A0201064,104
2007-04-25$42.48$40.0022.5%6.4%13.2%0.0%20.8%0.0%2.3%-327.8K2.2M-15.1K0.0028.49N/AN/A1801064,124
2007-04-26$41.92$40.0022.2%6.4%13.8%0.0%23.9%0.0%0.9%-324.7K2.5M-16.6K0.0027.53N/AN/A601244,124
2007-04-27$41.75$40.0022.0%6.3%12.9%0.0%0.0%0.0%1.4%-358.1K2.6M-16.6K0.0027.84N/AN/A401264,124
2007-04-30$40.94$40.0027.0%7.7%15.1%0.0%0.0%0.0%-0.1%-418.5K3.3M-18.6K0.0028.44N/AN/A001304,124