VWO Options History — October 2007

In October 2007, VWO traded between $52.88 and $58.64. ATM implied volatility averaged 35.9%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 7.5% (HV 20d: 28.3%). Max pain ranged from $48.00 to $52.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.95.

Notable Days

  • 2007-10-17: Highest Volume — 1,586 contracts
  • 2007-10-19: Largest IV spike — 17.1% change
  • 2007-10-19: Highest IV Rank — 74.6%
  • 2007-10-19: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.23$52.88$58.64$53.88$58.64
Max Pain$51.17$48.00$52.50$48.00$52.50
ATM IV35.9%30.1%44.2%30.1%36.7%
Expected Move10.4%8.6%12.7%8.6%10.5%
HV 20d28.3%23.1%34.1%28.1%32.3%
HV 60d36.7%35.4%37.3%37.2%35.6%
IV Rank47.5%28.5%74.6%28.5%50.1%
IV Percentile81.3%64.4%97.9%65.6%83.0%
Term Structure0.2%-3.3%2.7%1.4%1.8%
VWIV36.8%32.5%44.8%35.5%35.0%
Skew 25d8.8%4.8%12.4%7.5%7.4%
Skew 10d14.4%9.7%18.0%13.2%13.0%
Call IV 25d32.7%28.2%37.5%30.1%34.6%
Put IV 25d41.5%35.0%49.2%37.6%42.0%
Bid-Ask Spread %17.836.1572.0745.4321.64
Gamma HHI0.180.130.290.220.29
Net GEX291.4K111.2K595.3K242.0K595.3K
Net DEX-17.2M-26.6M-11.9M-13.5M-26.6M
Net VEX-64.5K-89.5K-45.8K-45.8K-88.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.083.551.480.08
Total Volume659.9131081,586556726
Total OI9,634.1746,45612,5366,45612,536

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$53.88$48.0030.1%8.6%28.1%28.5%35.5%7.5%1.4%242.0K-13.5M-45.8K1.4845.43N/AN/A2243323,8782,578
2007-10-02$53.70$50.0033.0%9.5%28.2%38.0%34.3%6.6%1.0%225.8K-13.5M-46.9K1.0639.13N/AN/A2442583,9262,818
2007-10-03$52.88$50.0033.4%9.6%27.2%39.2%37.2%9.7%0.6%214.3K-11.9M-51.4K3.5541.08N/AN/A1164124,0842,988
2007-10-04$53.35$50.5034.8%10.0%27.0%44.0%36.5%8.3%1.8%145.2K-12.3M-52.4K0.4242.05N/AN/A5522304,1483,394
2007-10-05$54.80$50.0030.3%9.5%26.2%29.2%37.4%5.3%-0.1%247.3K-16.3M-52.9K0.807.01N/AN/A1801444,6483,444
2007-10-08$54.30$50.0030.9%9.8%26.4%31.1%36.2%6.4%-0.3%222.3K-15.2M-54.8K1.716.76N/AN/A621064,6983,568
2007-10-09$54.88$50.0031.6%9.7%25.3%33.4%33.8%5.4%1.5%223.9K-16.6M-52.5K1.357.59N/AN/A46624,7343,658
2007-10-10$55.25$50.0031.4%9.7%25.0%32.8%34.2%4.9%-0.4%235.1K-17.0M-51.6K0.947.98N/AN/A94884,7443,696
2007-10-11$54.99$50.0034.8%10.0%25.4%44.1%36.0%9.3%0.2%201.3K-16.1M-53.3K0.967.16N/AN/A3062944,7643,726
2007-10-12$55.83$50.0035.8%10.3%25.5%47.1%34.0%10.4%-0.7%224.1K-17.8M-53.3K0.187.07N/AN/A190344,8783,886
2007-10-15$55.45$50.5036.5%10.5%25.3%49.7%36.5%11.1%-1.2%260.1K-17.8M-53.9K1.647.06N/AN/A3445645,0523,910
2007-10-16$54.23$50.5038.4%11.0%23.1%55.6%37.5%10.3%-1.4%115.8K-15.1M-60.1K1.736.35N/AN/A3305705,3284,396
2007-10-17$55.83$52.5040.1%11.5%24.7%61.2%44.8%12.1%-2.5%160.5K-18.4M-61.7K1.466.60N/AN/A6449425,5504,934
2007-10-18$56.07$52.5037.7%10.8%24.3%53.6%33.3%11.4%0.3%111.2K-19.1M-66.6K0.086.65N/AN/A842645,9025,526
2007-10-19$53.30$52.5044.2%12.7%31.2%74.6%42.1%12.4%-3.3%273.3K-12.8M-70.7K1.086.15N/AN/A5525986,2865,574
2007-10-22$54.00$52.5041.2%11.8%31.2%64.8%42.6%11.1%-1.3%245.9K-12.1M-71.6K0.586.62N/AN/A3822225,6784,224
2007-10-23$55.30$52.5038.7%11.1%32.1%56.8%40.1%10.1%-0.1%330.7K-16.1M-71.1K0.217.50N/AN/A8401785,9064,388
2007-10-24$54.80$52.5039.5%11.3%32.4%59.3%36.3%9.7%0.6%333.0K-15.7M-80.0K0.7511.78N/AN/A8166146,4204,560
2007-10-25$55.45$52.5038.6%11.1%32.1%56.3%36.4%10.8%1.5%427.7K-18.7M-87.3K0.2310.62N/AN/A388907,0724,372
2007-10-26$57.57$52.5035.1%10.1%34.1%44.8%35.6%7.2%2.7%519.3K-23.2M-85.3K0.5018.30N/AN/A5282627,2244,428
2007-10-29$58.33$52.5036.1%10.4%32.0%48.3%32.5%4.8%1.1%570.7K-25.6M-81.1K0.1972.07N/AN/A308587,2144,472
2007-10-30$57.48$52.5036.8%10.6%32.6%50.5%39.6%9.1%1.3%576.3K-23.7M-89.5K0.8617.54N/AN/A1841587,6624,714
2007-10-31$58.64$52.5036.7%10.5%32.3%50.1%35.0%7.4%1.8%595.3K-26.6M-88.7K0.0821.64N/AN/A674527,7024,834