VWO Options History — June 2007

In June 2007, VWO traded between $42.77 and $46.25. ATM implied volatility averaged 26.5%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.9% (HV 20d: 22.7%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2007-06-18: Highest Volume — 472 contracts
  • 2007-06-14: Largest IV spike — 12.1% change
  • 2007-06-08: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.81$42.77$46.25$44.65$45.62
Max Pain$44.57$42.50$45.00$42.50$45.00
ATM IV26.5%22.1%28.6%22.1%26.9%
Expected Move7.8%6.4%8.7%6.4%7.7%
HV 20d22.7%20.5%24.0%22.3%20.5%
HV 60d19.3%18.3%19.8%18.5%19.4%
Term Structure0.8%-1.3%2.1%0.4%1.8%
VWIV27.5%22.6%34.2%22.6%27.4%
Skew 25d7.4%-2.8%9.6%7.2%8.4%
Skew 10d12.1%9.9%14.9%14.9%13.0%
Call IV 25d23.5%18.4%25.6%18.4%23.0%
Put IV 25d30.9%19.9%34.0%25.6%31.3%
Bid-Ask Spread %27.2416.59125.5356.0524.21
Gamma HHI0.220.180.380.270.19
Net GEX236.3K-103.7K567.1K213.7K278.0K
Net DEX-6.1M-7.7M-2.6M-5.4M-7.0M
Net VEX-30.2K-34.3K-25.9K-25.9K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.006.000.121.91
Total Volume148.8571247221064
Total OI6,413.7143,1448,9588,2764,352

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$44.65$42.5022.1%6.4%22.3%0.0%22.6%7.2%0.4%213.7K-5.4M-25.9K0.1256.05N/AN/A188222,4365,840
2007-06-04$44.51$42.5024.5%7.1%22.4%0.0%25.0%9.1%1.8%171.7K-5.4M-27.7K0.5616.99N/AN/A86482,5665,862
2007-06-05$44.27$45.0024.9%7.5%22.6%0.0%26.3%9.6%0.9%103.9K-5.1M-28.0K0.4916.59N/AN/A156762,6085,882
2007-06-06$43.34$45.0027.8%8.5%23.9%0.0%0.0%9.1%-0.6%-2.6K-3.7M-30.1K6.0019.14N/AN/A10602,6365,956
2007-06-07$42.77$45.0027.1%8.3%24.0%0.0%27.4%8.5%0.1%-103.7K-2.6M-29.5K1.3327.79N/AN/A30402,6365,974
2007-06-08$43.77$45.0027.1%8.7%23.5%0.0%30.6%7.0%-1.3%162.3K-4.7M-27.9K0.1817.65N/AN/A190342,6586,014
2007-06-11$43.90$45.0026.0%8.7%21.7%0.0%26.6%8.8%-1.2%313.9K-5.6M-28.7K0.0018.17N/AN/A1202,8445,960
2007-06-12$43.19$45.0026.8%8.4%22.5%0.0%34.2%9.6%-0.2%195.4K-4.6M-28.1K1.7823.44N/AN/A18322,8485,958
2007-06-13$44.02$45.0024.2%7.7%23.3%0.0%25.4%8.8%1.7%385.8K-5.8M-28.1K0.0219.02N/AN/A9222,8485,990
2007-06-14$44.78$45.0027.1%7.8%22.8%0.0%28.3%8.1%1.1%567.1K-6.8M-28.5K0.2917.90N/AN/A104302,8985,992
2007-06-15$45.60$43.0027.1%7.8%23.3%0.0%27.2%7.5%0.7%302.7K-7.7M-28.8K0.0117.25N/AN/A27242,9586,000
2007-06-18$45.76$43.0027.6%7.9%23.3%0.0%29.3%7.7%1.3%253.8K-6.9M-28.3K0.9217.17N/AN/A2462262,656488
2007-06-19$46.05$45.0027.6%7.9%23.3%0.0%26.8%7.5%1.3%262.6K-7.4M-30.8K0.3217.71N/AN/A62202,876674
2007-06-20$45.73$45.0027.7%7.9%23.6%0.0%25.3%-2.8%0.6%275.2K-7.4M-30.3K2.94125.53N/AN/A341002,912676
2007-06-21$46.25$45.0026.1%7.5%23.6%0.0%26.0%6.4%1.2%269.7K-7.6M-30.9K1.1220.08N/AN/A1701902,940772
2007-06-22$45.60$45.0026.4%7.6%22.1%0.0%0.0%5.9%1.3%278.0K-7.0M-33.0K0.0020.77N/AN/A0883,082920
2007-06-25$45.10$45.0028.6%8.2%21.7%0.0%31.2%7.8%1.1%269.2K-6.4M-33.3K5.2923.11N/AN/A281483,0821,006
2007-06-26$45.00$45.0028.4%8.1%21.7%0.0%27.4%9.3%0.4%245.3K-6.1M-33.7K1.4424.88N/AN/A32463,0701,148
2007-06-27$45.58$45.0027.1%7.8%21.8%0.0%27.6%7.1%2.1%252.0K-6.8M-33.5K0.2222.56N/AN/A90203,0901,190
2007-06-28$45.59$45.0025.9%7.4%21.8%0.0%28.2%5.7%1.6%268.4K-7.1M-34.3K3.6726.00N/AN/A12443,1801,210
2007-06-29$45.62$45.0026.9%7.7%20.5%0.0%27.4%8.4%1.8%278.0K-7.0M-33.9K1.9124.21N/AN/A22423,1861,166