VWO Options History — May 2007

In May 2007, VWO traded between $41.23 and $43.66. ATM implied volatility averaged 26.0%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.6% (HV 20d: 19.3%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2007-05-10: Highest Volume — 1,416 contracts
  • 2007-05-18: Largest IV spike — 102.1% change
  • 2007-05-18: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.79$41.23$43.66$41.23$43.66
Max Pain$41.02$40.00$42.50$40.00$42.50
ATM IV26.0%21.4%51.9%26.7%25.4%
Expected Move7.5%6.3%14.9%7.6%7.3%
HV 20d19.3%15.0%23.3%15.0%21.4%
HV 60d18.2%18.1%18.4%18.4%18.1%
Term Structure-0.3%-24.3%2.2%0.2%1.2%
VWIV26.6%21.3%39.5%21.3%22.4%
Skew 25d8.6%6.8%16.4%6.8%6.9%
Skew 10d20.6%3.4%25.3%21.6%20.0%
Call IV 25d23.5%20.6%46.7%22.3%21.9%
Put IV 25d32.2%28.6%63.1%29.2%28.8%
Bid-Ask Spread %39.5617.18148.9531.7644.06
Gamma HHI0.470.210.840.840.21
Net GEX-236.4K-407.3K-14.7K-407.3K-14.7K
Net DEX-428.3K-3.8M3.0M3.0M-3.8M
Net VEX-22.6K-32.6K-10.2K-17.1K-27.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.007.001.000.00
Total Volume147.63601,416852
Total OI6,320.9094,2549,0544,2548,224

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$41.23$40.0026.7%7.6%15.0%0.0%21.3%0.0%0.2%-407.3K3.0M-17.1K1.0031.76N/AN/A441304,124
2007-05-02$41.90$40.0022.1%6.3%15.1%0.0%26.0%0.0%1.2%-325.7K2.3M-14.5K1.0039.86N/AN/A20201344,128
2007-05-03$42.42$40.0022.0%6.3%15.6%0.0%0.0%0.0%1.3%-308.9K1.7M-12.9K0.0052.33N/AN/A001544,116
2007-05-04$42.59$40.0021.6%6.5%15.6%0.0%22.9%0.0%-0.1%-350.7K1.4M-11.0K0.0018.78N/AN/A401544,116
2007-05-07$42.63$40.0025.6%6.6%15.6%0.0%21.5%0.0%0.3%-268.4K1.4M-11.4K0.4329.63N/AN/A46201564,116
2007-05-08$42.36$40.0021.4%6.6%15.8%0.0%0.0%0.0%0.3%-299.9K1.4M-11.2K0.0018.19N/AN/A001864,136
2007-05-09$42.87$40.0021.7%6.7%16.2%0.0%0.0%0.0%-0.3%-246.1K1.1M-10.2K1.0021.09N/AN/A221864,136
2007-05-10$41.80$40.0026.4%7.6%18.4%0.0%34.5%0.0%0.9%-327.5K2.3M-14.7K0.0117.18N/AN/A1,40881884,138
2007-05-11$42.90$40.0025.1%7.2%20.5%0.0%26.3%6.8%1.7%-83.4K-1.7M-24.4K0.0040.16N/AN/A4401,5464,138
2007-05-14$42.63$40.0026.9%7.7%20.2%0.0%26.4%8.6%-0.3%-96.4K-1.2M-25.1K0.1330.30N/AN/A4861,5824,138
2007-05-15$42.39$40.0026.8%7.7%20.3%0.0%0.0%9.5%-0.2%-342.7K336.1K-32.6K0.0043.17N/AN/A3001,6306,744
2007-05-16$43.34$40.0024.0%6.9%21.6%0.0%21.6%8.0%2.0%-304.1K-858.8K-30.5K0.0030.89N/AN/A1201,6607,394
2007-05-17$43.09$40.0025.7%7.4%21.5%0.0%29.5%8.3%1.4%-227.5K-960.8K-27.9K0.5432.78N/AN/A100541,6725,444
2007-05-18$43.23$42.5051.9%14.9%21.0%0.0%39.5%16.4%-24.3%-222.3K-2.7M-22.8K0.29148.95N/AN/A42121,7585,478
2007-05-21$43.48$42.5025.9%7.4%21.0%0.0%26.6%7.9%1.7%-241.4K-1.7M-27.4K0.3735.41N/AN/A164601,7305,452
2007-05-22$43.56$42.5024.5%7.0%20.9%0.0%27.0%7.8%1.7%-150.6K-2.2M-27.6K0.4038.62N/AN/A30121,8745,484
2007-05-23$43.31$42.5024.2%6.9%20.6%0.0%27.1%7.3%2.2%-179.6K-2.1M-27.3K7.0040.14N/AN/A261821,9045,496
2007-05-24$42.24$42.5028.5%8.2%22.1%0.0%32.0%8.7%-1.2%-334.6K74.2K-31.4K2.2434.70N/AN/A841881,9245,644
2007-05-25$43.17$42.5024.7%7.1%23.3%0.0%24.3%8.9%1.6%-214.0K-1.7M-30.3K0.2535.13N/AN/A270682,0025,732
2007-05-29$43.08$42.5024.6%7.0%21.9%0.0%24.9%8.0%1.0%-193.4K-2.4M-29.9K0.8142.69N/AN/A42342,2525,774
2007-05-30$43.50$42.5025.4%7.3%22.0%0.0%25.3%7.7%1.4%-61.9K-3.2M-28.9K0.5044.44N/AN/A100502,2925,794
2007-05-31$43.66$42.5025.4%7.3%21.4%0.0%22.4%6.9%1.2%-14.7K-3.8M-27.7K0.0044.06N/AN/A5202,3845,840