VWO Options History — November 2007

In November 2007, VWO traded between $49.15 and $57.20. ATM implied volatility averaged 46.5%, placing in the 79.4% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 0.9% (HV 20d: 45.6%). Max pain ranged from $47.50 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2007-11-19: Highest Volume — 1,040 contracts
  • 2007-11-12: Largest IV spike — 16.6% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-26: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.83$49.15$57.20$56.58$53.64
Max Pain$48.10$47.50$55.00$52.50$47.50
ATM IV46.5%40.9%53.6%42.4%43.6%
Expected Move13.3%11.7%14.8%12.1%12.5%
HV 20d45.6%34.3%56.0%35.4%54.1%
HV 60d37.3%34.2%40.5%36.1%40.2%
IV Rank79.4%63.9%100.0%68.6%68.9%
IV Percentile96.7%88.5%100.0%97.4%88.5%
Term Structure-0.6%-2.3%2.2%-0.8%2.2%
VWIV45.7%40.5%50.6%44.3%40.5%
Skew 25d11.1%9.9%12.6%10.8%12.6%
Skew 10d18.4%1.5%25.1%17.6%23.1%
Call IV 25d40.7%36.0%46.2%36.0%36.0%
Put IV 25d51.8%46.9%56.5%46.9%48.6%
Bid-Ask Spread %26.6512.1272.6714.2845.33
Gamma HHI0.160.100.260.230.14
Net GEX394.6K126.5K645.4K531.1K645.4K
Net DEX-15.4M-24.0M-6.8M-21.0M-17.9M
Net VEX-88.4K-95.0K-80.9K-93.2K-87.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.112.952.701.45
Total Volume455.048741,040562460
Total OI12,859.23811,14413,62612,70612,958

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$56.58$52.5042.4%12.1%35.4%68.6%44.3%10.8%-0.8%531.1K-21.0M-93.2K2.7014.28N/AN/A1524107,8224,884
2007-11-02$56.88$55.0040.9%11.7%34.3%63.9%48.3%10.1%-0.4%496.6K-21.6M-95.0K0.3516.43N/AN/A186667,9185,162
2007-11-05$55.50$47.5045.9%12.9%35.4%80.1%43.3%12.3%-1.6%408.2K-17.9M-94.1K0.2315.37N/AN/A328748,0485,200
2007-11-06$57.20$47.5042.3%12.0%36.7%68.6%47.9%10.7%-0.6%577.3K-24.0M-93.1K0.2321.69N/AN/A60148,2305,252
2007-11-07$55.02$47.5046.5%12.7%39.4%82.1%42.8%12.4%-1.6%423.4K-17.6M-92.9K0.6416.10N/AN/A118768,2585,256
2007-11-08$55.52$47.5045.0%13.0%39.5%77.2%44.8%10.7%-2.3%422.2K-18.7M-92.9K0.1418.16N/AN/A292408,2445,308
2007-11-09$54.32$47.5046.0%13.3%39.9%80.4%47.5%11.3%-1.5%345.7K-16.1M-92.7K1.9415.40N/AN/A1021988,2785,304
2007-11-12$51.41$47.5053.6%14.2%44.2%100.0%42.4%11.9%-1.5%126.5K-7.4M-86.7K0.1812.12N/AN/A466828,3445,282
2007-11-13$54.90$47.5047.0%13.3%50.0%79.5%44.4%11.7%-1.9%365.8K-17.6M-85.3K0.1620.75N/AN/A524828,1265,206
2007-11-14$55.15$47.5042.9%13.0%48.9%66.7%43.0%11.0%-0.4%378.9K-17.7M-85.5K0.1820.48N/AN/A184348,1645,200
2007-11-15$53.90$47.5045.8%13.1%49.4%75.7%45.7%10.3%-1.2%242.4K-13.7M-85.0K0.7172.67N/AN/A2341668,2705,216
2007-11-16$53.99$47.5045.4%13.0%46.0%74.5%47.2%12.4%1.0%278.1K-15.4M-84.1K2.9522.42N/AN/A2186448,2765,306
2007-11-19$52.50$47.5049.4%14.2%46.8%87.0%46.8%10.3%-2.0%311.5K-11.1M-84.5K0.7372.09N/AN/A6024386,8084,336
2007-11-20$53.20$47.5051.2%14.7%46.2%92.4%48.2%10.3%-0.9%338.7K-13.2M-87.6K0.2521.41N/AN/A378947,0164,542
2007-11-21$50.70$47.5050.6%14.5%49.0%90.8%48.4%9.9%-1.0%290.3K-9.1M-86.6K0.2315.67N/AN/A5181187,2744,570
2007-11-23$51.63$47.5049.6%14.2%49.3%87.5%47.8%10.4%1.2%346.9K-11.0M-86.8K0.5517.82N/AN/A116647,3924,588
2007-11-26$49.15$47.5051.8%14.8%49.3%94.4%50.6%10.2%-1.4%260.0K-6.8M-80.9K0.4220.88N/AN/A3501487,5004,636
2007-11-27$51.55$47.5047.8%13.7%52.7%81.9%46.4%12.0%1.9%396.5K-11.7M-87.0K0.1924.59N/AN/A528987,7244,762
2007-11-28$54.10$47.5043.9%12.6%56.0%70.0%46.4%11.5%2.1%550.0K-17.7M-87.4K1.1137.09N/AN/A2202447,8944,834
2007-11-29$53.65$47.5046.0%13.2%55.3%76.5%43.2%10.8%-1.0%551.3K-16.4M-86.9K0.1138.84N/AN/A386447,9824,674
2007-11-30$53.64$47.5043.6%12.5%54.1%68.9%40.5%12.6%2.2%645.4K-17.9M-87.6K1.4545.33N/AN/A1882728,2764,682