VWO Options History — January 2008

In January 2008, VWO traded between $45.95 and $52.85. ATM implied volatility averaged 44.0%, placing in the 67.6% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 10.1% (HV 20d: 33.9%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2008-01-30: Highest Volume — 2,156 contracts
  • 2008-01-23: Largest IV spike — 11.4% change
  • 2008-01-23: Highest IV Rank — 100.0%
  • 2008-01-25: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.18$45.95$52.85$52.00$47.45
Max Pain$50.90$47.50$52.50$52.50$47.50
ATM IV44.0%35.8%57.0%37.4%46.2%
Expected Move12.7%10.3%16.3%10.7%13.2%
HV 20d33.9%31.7%36.4%35.2%36.4%
HV 60d42.2%41.6%42.9%41.6%42.1%
IV Rank67.6%44.9%100.0%49.6%69.7%
IV Percentile84.1%63.3%100.0%69.7%92.1%
Term Structure-1.9%-9.4%2.0%1.6%-3.5%
VWIV42.1%35.4%52.4%36.5%46.4%
Skew 25d7.0%3.2%15.0%5.0%10.1%
Skew 10d12.4%3.5%34.4%14.6%16.5%
Call IV 25d40.1%33.1%48.5%35.0%41.6%
Put IV 25d47.2%39.1%61.8%40.0%51.7%
Bid-Ask Spread %19.796.5143.2628.0240.45
Gamma HHI0.140.090.230.120.11
Net GEX252.2K72.6K513.9K298.7K323.1K
Net DEX-2.5M-8.2M3.1M-5.4M-1.5M
Net VEX-61.0K-68.9K-49.8K-64.2K-68.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.084.860.260.24
Total Volume470.8571022,156220266
Total OI8,912.7627,94011,0647,94011,064

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$52.00$52.5037.4%10.7%35.2%49.6%36.5%5.0%1.6%298.7K-5.4M-64.2K0.2628.02N/AN/A174464,9003,040
2008-01-03$52.50$52.5035.8%10.3%35.5%44.9%35.4%6.0%2.0%338.5K-6.4M-65.7K0.2425.73N/AN/A222545,0143,052
2008-01-04$50.77$52.5036.8%11.0%34.3%48.0%37.5%4.5%0.9%285.5K-4.0M-63.3K0.376.51N/AN/A2781025,1943,060
2008-01-07$51.16$52.5038.0%11.3%34.2%51.6%38.4%3.5%0.4%334.7K-4.8M-63.4K0.667.84N/AN/A100665,3743,040
2008-01-08$51.13$52.5036.4%10.9%34.2%46.7%37.9%3.7%0.5%343.3K-5.1M-63.3K0.636.79N/AN/A92585,3483,084
2008-01-09$52.37$52.5038.0%11.5%35.7%51.5%39.3%3.7%-0.6%411.7K-7.5M-65.8K0.167.81N/AN/A254405,4023,136
2008-01-10$52.85$52.5038.8%11.1%32.7%54.0%38.9%3.5%0.8%494.8K-8.2M-65.2K0.386.88N/AN/A224865,5503,142
2008-01-11$51.60$52.5038.0%10.9%31.8%51.6%36.8%4.3%0.1%423.8K-5.5M-63.2K0.967.79N/AN/A52505,7583,154
2008-01-14$52.16$52.5037.7%10.8%31.7%50.6%38.2%3.6%-0.4%513.9K-6.9M-62.1K4.067.89N/AN/A622525,7823,188
2008-01-15$49.95$52.5040.3%11.6%33.7%58.8%40.3%3.3%0.1%197.0K-2.0M-58.7K4.869.48N/AN/A1004865,8423,254
2008-01-16$48.03$52.5043.0%12.3%32.5%67.0%40.9%5.2%-0.4%90.4K1.6M-55.2K0.5813.05N/AN/A7004085,8083,576
2008-01-17$46.66$52.5044.6%12.8%32.0%72.1%39.6%3.2%-1.0%76.0K3.1M-52.0K0.0923.64N/AN/A234205,6023,584
2008-01-18$47.68$52.0045.4%13.0%33.3%74.5%44.9%6.8%-2.1%116.9K1.4M-55.8K0.4215.23N/AN/A3721565,6703,528
2008-01-22$46.22$50.0049.5%14.2%34.5%87.2%48.9%7.9%-4.6%72.6K1.3M-49.8K0.8827.89N/AN/A2982624,7683,190
2008-01-23$46.72$50.0055.1%15.8%33.0%100.0%52.4%8.6%-5.0%97.3K525.6K-55.1K0.2023.91N/AN/A396784,9123,260
2008-01-24$47.05$49.5053.1%15.2%33.2%94.0%47.9%13.6%-6.2%146.5K-682.2K-57.5K0.6024.65N/AN/A7224345,2343,270
2008-01-25$45.95$47.5057.0%16.3%33.4%100.0%43.1%15.0%-9.4%146.4K242.8K-62.3K0.1330.74N/AN/A174225,8203,582
2008-01-28$47.00$47.5053.7%15.4%34.7%90.6%48.7%11.2%-6.2%204.5K-1.4M-65.0K1.1026.60N/AN/A78865,9383,610
2008-01-29$47.18$47.5051.5%14.8%34.7%84.6%46.8%13.0%-5.0%204.7K-932.9K-64.6K0.1331.45N/AN/A202266,0043,638
2008-01-30$46.34$47.5047.4%13.6%34.9%73.0%46.2%11.9%-2.9%176.1K599.5K-60.8K0.0843.26N/AN/A1,9901666,1383,658
2008-01-31$47.45$47.5046.2%13.2%36.4%69.7%46.4%10.1%-3.5%323.1K-1.5M-68.9K0.2440.45N/AN/A214527,2463,818