VWO Options History — September 2007

In September 2007, VWO traded between $46.23 and $52.30. ATM implied volatility averaged 34.4%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 3.1% (HV 20d: 37.6%). Max pain ranged from $42.50 to $48.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2007-09-28: Highest Volume — 916 contracts
  • 2007-09-17: Largest IV spike — 16.4% change
  • 2007-09-26: Highest IV Rank — 39.4%
  • 2007-09-10: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.97$46.23$52.30$47.91$51.89
Max Pain$45.08$42.50$48.00$42.50$48.00
ATM IV34.4%29.9%39.8%32.6%30.3%
Expected Move9.9%8.6%12.0%9.3%8.7%
HV 20d37.6%27.1%45.7%44.9%27.1%
HV 60d35.9%35.0%36.6%35.0%36.5%
IV Rank33.2%27.8%39.4%33.3%29.2%
IV Percentile68.3%65.9%73.4%67.5%66.2%
Term Structure-0.3%-3.2%1.9%1.9%1.7%
VWIV36.9%29.1%42.6%31.7%32.8%
Skew 25d8.7%5.1%11.2%10.3%9.2%
Skew 10d15.6%11.8%20.4%16.9%16.6%
Call IV 25d31.5%27.3%35.5%27.8%27.3%
Put IV 25d40.2%35.1%45.8%38.0%36.5%
Bid-Ask Spread %22.227.0361.6941.5833.83
Gamma HHI0.150.110.260.110.22
Net GEX416.9K116.4K670.5K413.8K116.4K
Net DEX-13.2M-20.9M-7.9M-13.4M-7.9M
Net VEX-41.0K-44.9K-29.0K-40.3K-29.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.092.501.002.50
Total Volume353.789118916424916
Total OI6,856.9474,3708,5986,8704,370

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$47.91$42.5032.6%9.3%44.9%0.0%31.7%10.3%1.9%413.8K-13.4M-40.3K1.0041.58N/AN/A2122124,7342,136
2007-09-05$46.80$42.5035.7%10.2%45.7%0.0%37.1%11.2%-0.2%420.9K-10.9M-42.8K0.4331.14N/AN/A88384,7782,142
2007-09-06$47.49$42.5034.9%10.0%45.0%0.0%36.3%10.6%0.7%421.3K-12.2M-41.8K0.1338.99N/AN/A208264,7622,142
2007-09-07$46.55$42.5038.3%10.7%42.8%0.0%41.2%10.7%-0.1%420.2K-10.1M-42.3K0.538.04N/AN/A4102184,8102,158
2007-09-10$46.23$42.5039.8%12.0%42.7%0.0%41.4%11.2%-3.2%430.5K-10.2M-41.2K0.227.03N/AN/A290644,8522,154
2007-09-11$47.56$42.5037.2%11.1%43.8%0.0%39.9%9.8%-1.7%444.5K-12.6M-40.8K0.737.55N/AN/A128944,9002,204
2007-09-12$47.42$42.5035.6%10.7%42.0%0.0%42.5%9.5%-0.3%460.8K-12.5M-40.6K1.008.10N/AN/A88884,9742,278
2007-09-13$47.89$45.0035.7%10.2%36.8%0.0%42.2%8.3%-0.5%475.2K-13.7M-39.4K1.868.72N/AN/A561045,0002,318
2007-09-14$47.96$45.0033.6%9.6%35.8%0.0%40.9%5.3%-0.8%464.7K-14.1M-38.6K0.7961.69N/AN/A66525,0082,386
2007-09-17$47.52$45.0039.2%11.2%34.4%0.0%42.6%10.4%-2.7%497.1K-13.2M-37.8K1.568.09N/AN/A961505,0662,414
2007-09-18$49.75$45.0035.2%10.1%37.3%0.0%37.8%5.2%-1.0%472.3K-18.0M-35.2K0.0912.35N/AN/A780745,0822,538
2007-09-19$49.86$45.0033.0%9.4%36.9%0.0%36.9%6.2%-0.1%564.1K-19.7M-42.8K0.7512.32N/AN/A3802845,6882,572
2007-09-20$49.53$47.5033.7%9.7%35.2%0.0%35.8%9.9%-0.7%580.4K-18.6M-44.3K0.1913.61N/AN/A290545,6942,788
2007-09-21$50.38$47.5032.1%9.2%35.5%0.0%32.5%9.3%0.2%670.5K-20.9M-44.4K0.3617.29N/AN/A3041105,7702,828
2007-09-24$51.00$47.5031.5%9.0%35.0%33.3%35.2%7.9%1.8%265.1K-10.2M-43.6K2.3023.38N/AN/A1142623,4841,678
2007-09-25$51.05$47.5032.5%9.3%35.0%36.3%29.1%7.9%1.7%256.3K-10.0M-44.9K1.1022.36N/AN/A78863,5681,848
2007-09-26$51.42$48.0033.4%9.6%30.6%39.4%31.2%7.2%-2.6%259.1K-10.6M-44.8K0.4528.05N/AN/A94423,6301,900
2007-09-27$52.30$48.0029.9%8.6%27.3%27.8%34.1%5.1%1.1%287.1K-11.7M-44.1K0.5737.99N/AN/A106603,6881,940
2007-09-28$51.89$48.0030.3%8.7%27.1%29.2%32.8%9.2%1.7%116.4K-7.9M-29.0K2.5033.83N/AN/A2626542,4361,934