VWO Options History — December 2007

In December 2007, VWO traded between $50.13 and $56.17. ATM implied volatility averaged 39.0%, placing in the 54.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 7.3% (HV 20d: 46.3%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2007-12-27: Highest Volume — 1,782 contracts
  • 2007-12-05: Largest IV drop — 11.3% change
  • 2007-12-04: Highest IV Rank — 67.3%
  • 2007-12-04: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.42$50.13$56.17$53.76$52.15
Max Pain$51.50$47.50$52.50$47.50$52.50
ATM IV39.0%35.2%43.1%41.2%37.7%
Expected Move11.3%10.1%12.3%11.8%10.8%
HV 20d46.3%35.1%54.0%54.0%35.2%
HV 60d41.3%39.9%42.6%39.9%42.0%
IV Rank54.8%42.9%67.3%61.5%50.7%
IV Percentile76.9%61.3%88.1%86.3%71.6%
Term Structure0.7%-1.2%4.5%2.9%0.6%
VWIV38.8%33.0%42.9%38.5%36.0%
Skew 25d6.4%3.9%11.0%11.0%5.3%
Skew 10d9.1%3.5%24.0%18.8%7.9%
Call IV 25d35.6%31.6%38.5%37.7%33.9%
Put IV 25d41.9%37.6%48.7%48.7%39.2%
Bid-Ask Spread %22.457.3483.0249.7419.36
Gamma HHI0.150.110.210.140.13
Net GEX544.8K205.4K937.0K639.8K295.5K
Net DEX-13.4M-25.2M-4.5M-17.3M-6.2M
Net VEX-67.1K-85.9K-54.6K-85.9K-65.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.610.350.92
Total Volume5281641,782186250
Total OI11,187.46,23813,20413,1367,794

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$53.76$47.5041.2%11.8%54.0%61.5%38.5%11.0%2.9%639.8K-17.3M-85.9K0.3549.74N/AN/A138488,3204,816
2007-12-04$53.66$47.5043.1%12.3%53.4%67.3%39.5%10.2%0.1%663.1K-17.1M-84.7K0.3146.85N/AN/A316988,3224,856
2007-12-05$55.67$47.5038.2%10.9%54.0%52.2%37.7%8.2%1.0%813.4K-22.8M-83.1K0.2052.16N/AN/A304608,3204,884
2007-12-06$56.17$47.5036.0%10.3%52.2%45.4%41.6%9.8%4.5%875.3K-25.2M-80.5K2.6148.60N/AN/A3408868,2804,900
2007-12-07$55.84$52.5035.6%10.9%52.2%44.2%37.4%6.1%1.3%914.1K-23.2M-78.0K0.497.34N/AN/A140688,2764,124
2007-12-10$55.80$52.5037.6%11.1%51.5%50.3%40.3%6.3%0.3%937.0K-23.2M-74.7K1.257.42N/AN/A2503128,2484,150
2007-12-11$53.48$52.5040.7%11.8%49.9%60.0%41.3%5.8%-0.3%810.5K-16.1M-70.5K1.878.37N/AN/A2384448,2444,202
2007-12-12$55.02$52.5038.8%11.4%45.1%54.2%42.1%5.9%-0.7%934.7K-20.6M-72.4K0.787.98N/AN/A1561228,1744,238
2007-12-13$54.03$52.5040.5%11.6%45.5%59.4%38.5%6.2%-1.2%852.7K-17.4M-70.8K0.008.14N/AN/A1,04828,1744,282
2007-12-14$52.52$52.5041.1%11.8%45.9%61.2%40.4%4.3%-0.9%635.7K-11.9M-60.7K1.069.17N/AN/A3844087,5644,284
2007-12-17$50.13$52.5039.4%11.3%48.6%55.8%39.7%5.3%1.8%329.3K-5.4M-54.8K0.4683.02N/AN/A4862247,5984,628
2007-12-18$51.45$52.5042.2%12.1%48.8%64.6%40.6%5.0%0.5%360.3K-8.5M-56.9K0.2111.11N/AN/A248527,4284,812
2007-12-19$51.67$52.5042.0%12.0%48.6%64.1%42.9%5.7%-1.0%331.1K-9.1M-56.5K0.5810.86N/AN/A106627,4744,856
2007-12-20$51.85$52.5041.9%12.0%45.3%63.7%41.3%3.9%-0.7%264.9K-9.0M-56.2K1.5610.52N/AN/A641007,4864,896
2007-12-21$53.23$52.5039.3%11.3%45.8%55.8%38.1%5.8%0.1%309.6K-12.1M-56.1K0.3110.56N/AN/A166527,5044,890
2007-12-24$53.23$52.5037.4%10.7%41.8%49.9%35.3%5.5%0.3%205.4K-5.9M-54.6K0.3612.36N/AN/A250903,6782,560
2007-12-26$53.62$52.5035.2%10.1%38.5%42.9%33.0%5.7%2.3%221.1K-6.4M-57.2K1.5811.75N/AN/A2323663,8223,050
2007-12-27$52.51$52.5036.6%10.5%35.1%47.2%37.2%5.8%0.5%231.8K-4.5M-55.8K0.0816.16N/AN/A1,6521304,0302,968
2007-12-28$52.71$52.5036.1%10.4%35.1%45.8%35.5%5.5%2.7%269.9K-6.3M-66.5K0.1117.48N/AN/A242264,6262,990
2007-12-31$52.15$52.5037.7%10.8%35.2%50.7%36.0%5.3%0.6%295.5K-6.2M-65.2K0.9219.36N/AN/A1301204,7803,014