VWO Options History — August 2007

In August 2007, VWO traded between $41.20 and $47.70. ATM implied volatility averaged 37.5%. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 4.2% (HV 20d: 41.6%). Max pain ranged from $42.50 to $47.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 3.85.

Notable Days

  • 2007-08-16: Highest Volume — 870 contracts
  • 2007-08-16: Largest IV spike — 22.7% change
  • 2007-08-16: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.03$41.20$47.70$46.50$47.24
Max Pain$43.15$42.50$47.50$47.50$42.50
ATM IV37.5%33.2%44.9%40.2%33.9%
Expected Move10.8%9.6%12.8%11.5%9.7%
HV 20d41.6%33.6%47.1%33.6%45.4%
HV 60d30.6%26.2%35.1%26.2%35.1%
Term Structure-1.8%-6.4%3.0%-3.8%0.2%
VWIV36.5%28.3%46.3%35.8%30.4%
Skew 25d10.1%3.8%13.2%12.4%10.4%
Skew 10d19.5%6.1%26.2%6.1%18.1%
Call IV 25d32.3%25.5%38.4%31.3%28.5%
Put IV 25d42.4%31.8%50.2%43.6%38.9%
Bid-Ask Spread %34.868.66105.7535.3427.35
Gamma HHI0.130.110.210.140.12
Net GEX303.3K195.8K413.2K267.5K413.2K
Net DEX-6.7M-11.5M-859.1K-7.7M-11.5M
Net VEX-39.4K-44.9K-27.0K-36.4K-42.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.850.0167.001.120.05
Total Volume345.478100870220240
Total OI6,016.5225,0966,9965,1546,592

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$46.50$47.5040.2%11.5%33.6%0.0%35.8%12.4%-3.8%267.5K-7.7M-36.4K1.1235.34N/AN/A1041163,6201,534
2007-08-02$46.99$47.5034.3%9.8%33.7%0.0%34.0%9.3%0.2%279.6K-8.2M-35.9K0.1328.52N/AN/A166223,6421,554
2007-08-03$45.10$47.5040.6%11.6%36.2%0.0%31.2%10.6%-3.7%234.2K-5.5M-36.3K0.0144.79N/AN/A28023,7021,576
2007-08-06$46.25$42.5044.9%12.3%37.4%0.0%46.3%12.2%-5.8%278.9K-7.4M-37.4K1.358.66N/AN/A1782403,9401,576
2007-08-07$46.42$42.5038.9%10.5%37.0%0.0%38.7%11.2%-1.5%310.9K-7.8M-37.5K0.4612.82N/AN/A2681224,0321,666
2007-08-08$47.70$42.5033.7%10.0%38.3%0.0%34.6%9.0%-0.9%388.9K-10.4M-38.0K0.3915.81N/AN/A2701044,2001,700
2007-08-09$45.72$42.5036.7%10.9%39.7%0.0%40.6%7.0%-3.0%274.0K-6.7M-38.1K0.0182.74N/AN/A32624,1821,758
2007-08-10$45.23$42.5040.1%11.5%39.6%0.0%40.0%11.9%-3.8%262.0K-6.6M-40.3K0.1311.49N/AN/A208264,3681,758
2007-08-13$45.50$42.5033.2%10.6%39.6%0.0%34.7%10.9%-1.5%230.5K-6.6M-38.6K0.4413.67N/AN/A3201424,3461,750
2007-08-14$44.08$42.5034.5%10.8%40.7%0.0%36.9%10.6%-2.1%219.3K-4.4M-38.0K0.5616.19N/AN/A64364,5221,816
2007-08-15$41.91$42.5036.5%11.2%43.8%0.0%34.8%10.3%-2.9%195.8K-1.4M-27.0K0.8140.89N/AN/A2922363,7201,376
2007-08-16$41.20$42.5044.8%12.8%43.4%0.0%44.2%13.2%-6.4%209.4K-859.1K-35.6K0.7221.07N/AN/A5063644,7222,036
2007-08-17$42.78$42.5040.1%11.5%46.4%0.0%39.4%5.7%-3.2%290.6K-3.2M-40.1K0.6492.14N/AN/A1681084,9262,070
2007-08-20$43.02$42.5039.7%11.4%45.3%0.0%33.8%12.0%-1.8%294.8K-4.6M-39.0K0.1121.25N/AN/A608644,1621,500
2007-08-21$42.70$42.5041.1%11.8%44.6%0.0%31.5%3.8%-2.6%292.4K-4.4M-41.3K67.00105.75N/AN/A21344,3241,564
2007-08-22$44.43$42.5036.2%10.4%47.1%0.0%35.0%11.0%-1.0%325.1K-6.6M-43.8K0.2219.96N/AN/A280624,3241,690
2007-08-23$44.80$42.5036.1%10.3%43.2%0.0%34.2%11.1%-0.6%335.2K-7.0M-43.6K0.0318.32N/AN/A18664,3801,700
2007-08-24$45.81$42.5034.9%10.0%43.9%0.0%34.2%10.7%1.3%363.4K-8.9M-44.2K0.0917.58N/AN/A156144,4761,706
2007-08-27$46.02$42.5033.4%9.6%41.6%0.0%28.3%6.3%3.0%391.3K-9.4M-42.2K0.27101.08N/AN/A164444,4761,720
2007-08-28$44.20$42.5037.5%10.8%43.6%0.0%40.3%10.5%-1.4%358.2K-6.0M-41.6K1.2424.28N/AN/A2242784,5241,752
2007-08-29$46.29$42.5035.8%10.3%46.7%0.0%36.2%11.0%-1.1%380.6K-9.9M-44.9K0.3518.82N/AN/A4261484,6901,976
2007-08-30$45.83$42.5034.9%10.0%46.6%0.0%44.6%10.7%2.3%379.6K-8.9M-43.7K12.3323.22N/AN/A182224,6502,082
2007-08-31$47.24$42.5033.9%9.7%45.4%0.0%30.4%10.4%0.2%413.2K-11.5M-42.0K0.0527.35N/AN/A228124,6561,936