VWO Options History — July 2007

In July 2007, VWO traded between $46.15 and $50.27. ATM implied volatility averaged 27.2%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 5.4% (HV 20d: 21.8%). Max pain ranged from $42.50 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2007-07-11: Highest Volume — 280 contracts
  • 2007-07-27: Largest IV spike — 29.9% change
  • 2007-07-27: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.27$46.15$50.27$46.59$47.25
Max Pain$44.40$42.50$47.50$45.00$47.50
ATM IV27.2%23.0%38.0%25.1%32.8%
Expected Move7.9%6.8%10.9%7.2%9.4%
HV 20d21.8%17.6%33.6%21.6%33.3%
HV 60d21.5%19.8%25.9%19.8%25.9%
Term Structure0.7%-2.8%2.6%1.1%-0.2%
VWIV28.8%23.8%34.5%27.4%30.0%
Skew 25d5.4%1.1%11.1%3.9%8.1%
Skew 10d10.7%6.4%17.8%7.6%12.3%
Call IV 25d26.4%23.4%38.5%24.9%29.7%
Put IV 25d31.9%27.2%42.8%28.9%37.8%
Bid-Ask Spread %39.3017.51140.3035.2233.69
Gamma HHI0.180.130.230.200.14
Net GEX291.8K240.8K352.3K309.1K283.2K
Net DEX-10.7M-13.0M-7.3M-8.5M-8.6M
Net VEX-31.1K-36.2K-27.2K-32.5K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.064.571.130.45
Total Volume157.1434628068162
Total OI4,8284,4025,1964,4025,054

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$46.59$45.0025.1%7.2%21.6%0.0%27.4%3.9%1.1%309.1K-8.5M-32.5K1.1335.22N/AN/A32363,2081,194
2007-07-03$47.09$45.0024.0%6.9%21.6%0.0%28.9%4.5%1.6%323.7K-9.3M-31.5K0.8142.81N/AN/A86703,2341,208
2007-07-05$47.46$45.0023.8%6.8%19.6%0.0%25.3%3.7%2.6%326.1K-9.8M-31.0K1.2550.47N/AN/A24303,2461,278
2007-07-06$48.10$42.5023.6%7.4%18.7%0.0%25.8%3.7%0.9%317.7K-10.7M-29.4K0.4219.64N/AN/A176743,2541,308
2007-07-09$48.48$42.5023.0%7.0%17.6%0.0%23.8%5.1%2.0%327.1K-11.7M-29.9K0.7427.00N/AN/A100743,3981,382
2007-07-10$47.63$42.5024.2%7.7%19.3%0.0%28.0%6.3%0.4%352.3K-10.4M-32.4K4.5717.51N/AN/A14643,4441,446
2007-07-11$47.98$43.0024.4%7.9%17.8%0.0%27.7%6.8%-0.3%334.9K-10.9M-32.3K0.4320.42N/AN/A196843,4461,510
2007-07-12$49.24$43.0026.9%7.7%18.6%0.0%24.9%4.2%0.9%282.4K-12.4M-29.7K1.2731.19N/AN/A1021303,4821,574
2007-07-13$49.58$43.0025.1%7.2%18.1%0.0%24.6%4.9%1.6%280.1K-12.8M-28.6K0.1032.87N/AN/A4243,4701,502
2007-07-16$48.86$43.0026.9%7.7%18.7%0.0%25.6%4.9%0.6%305.9K-12.2M-29.1K0.5827.97N/AN/A72423,4841,504
2007-07-17$48.98$43.0027.5%7.9%18.7%0.0%33.3%5.5%0.3%294.2K-12.5M-29.4K0.5028.22N/AN/A32163,5521,546
2007-07-18$48.80$45.0028.2%8.1%18.8%0.0%32.9%2.9%0.6%315.2K-12.2M-29.5K0.7584.30N/AN/A80603,5441,552
2007-07-19$49.25$45.0027.8%8.0%18.6%0.0%29.3%4.5%0.3%252.1K-13.0M-29.1K0.2831.26N/AN/A148423,5861,610
2007-07-20$49.12$45.0027.7%7.9%18.5%0.0%27.4%5.9%0.5%257.7K-12.7M-29.6K0.0633.34N/AN/A256163,5861,608
2007-07-23$50.27$45.0025.2%7.2%18.7%0.0%31.6%4.4%1.3%256.1K-12.0M-27.2K0.5247.69N/AN/A124643,2361,206
2007-07-24$48.78$45.5028.4%8.1%21.8%0.0%32.5%6.9%1.2%269.7K-10.2M-30.9K1.4227.48N/AN/A1141623,2461,254
2007-07-25$49.38$45.5026.1%7.5%21.8%0.0%29.0%6.9%1.1%266.0K-11.0M-31.4K0.3034.44N/AN/A140423,3301,346
2007-07-26$46.66$45.5029.3%8.4%30.6%0.0%28.5%1.1%2.0%240.8K-7.9M-34.3K0.24140.30N/AN/A58143,3301,388
2007-07-27$46.15$45.5038.0%10.9%30.9%0.0%34.5%11.1%-2.8%252.5K-7.3M-36.2K1.1826.41N/AN/A66783,5021,410
2007-07-30$47.92$45.5032.9%9.4%33.6%0.0%33.1%9.0%-0.4%279.8K-9.4M-34.8K1.0733.17N/AN/A84903,5081,422
2007-07-31$47.25$47.5032.8%9.4%33.3%0.0%30.0%8.1%-0.2%283.2K-8.6M-35.2K0.4533.69N/AN/A112503,5701,484