VWO Options History — February 2008

In February 2008, VWO traded between $45.80 and $50.83. ATM implied volatility averaged 41.5%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 8.9% (HV 20d: 32.6%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2008-02-05: Highest Volume — 684 contracts
  • 2008-02-12: Largest IV drop — 20.8% change
  • 2008-02-06: Highest IV Rank — 92.5%
  • 2008-02-06: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.28$45.80$50.83$48.59$48.81
Max Pain$48.92$47.50$50.00$47.50$48.50
ATM IV41.5%33.8%54.3%43.9%40.3%
Expected Move11.7%9.7%13.4%12.6%11.6%
HV 20d32.6%26.3%38.5%37.5%28.3%
HV 60d37.5%32.5%42.2%42.2%33.2%
IV Rank56.4%34.8%92.5%63.3%53.2%
IV Percentile74.3%45.7%99.1%86.6%76.2%
Term Structure0.1%-2.7%2.6%-0.9%-0.3%
VWIV39.6%31.7%49.9%42.5%39.9%
Skew 25d10.2%8.1%12.5%12.5%9.6%
Skew 10d19.7%16.2%26.7%22.6%26.7%
Call IV 25d35.2%29.3%41.4%38.1%34.0%
Put IV 25d45.3%38.5%53.1%50.7%43.6%
Bid-Ask Spread %43.2428.0063.7432.5454.60
Gamma HHI0.150.100.230.120.18
Net GEX376.6K165.6K667.8K430.1K426.7K
Net DEX-3.2M-9.1M1.9M-4.1M-3.8M
Net VEX-65.2K-74.0K-61.9K-74.0K-61.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.022.930.032.76
Total Volume35662684218316
Total OI11,701.810,62412,58011,19011,948

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$48.59$47.5043.9%12.6%37.5%63.3%42.5%12.5%-0.9%430.1K-4.1M-74.0K0.0332.54N/AN/A21267,3283,862
2008-02-04$48.53$50.0042.3%11.9%35.8%58.8%48.9%10.6%-1.8%471.4K-4.2M-71.9K0.1430.72N/AN/A100147,4383,866
2008-02-05$46.52$50.0048.9%13.1%38.3%77.3%42.0%11.1%-2.7%262.0K293.9K-63.7K2.9328.00N/AN/A1745107,5163,872
2008-02-06$45.80$50.0054.3%13.4%38.5%92.5%49.9%11.7%-0.9%165.6K1.9M-63.9K1.0036.87N/AN/A1581587,5744,212
2008-02-07$46.53$50.0050.5%13.3%37.7%81.8%45.4%11.1%-1.6%208.4K528.3K-65.3K0.2333.90N/AN/A5501247,5864,320
2008-02-08$46.24$50.0047.9%12.7%37.3%74.5%39.1%10.9%-1.3%187.7K1.1M-65.2K0.2837.87N/AN/A190547,6304,420
2008-02-11$46.88$50.0046.9%12.7%37.4%71.7%49.0%9.0%0.0%175.8K416.5K-63.6K0.7536.53N/AN/A1581187,6684,436
2008-02-12$47.05$48.5037.2%11.9%37.1%44.4%39.8%9.8%0.2%231.5K-501.0K-63.9K1.0040.86N/AN/A2002007,6464,530
2008-02-13$48.05$50.0039.4%11.7%35.3%50.7%36.5%10.3%0.8%370.3K-2.4M-66.2K0.0237.47N/AN/A18047,7824,568
2008-02-14$47.50$50.0039.8%11.4%32.7%51.6%38.5%8.1%1.2%244.8K-1.3M-63.0K0.1239.73N/AN/A226267,9084,568
2008-02-15$48.23$48.5041.1%11.8%31.4%55.4%39.5%10.5%-0.1%434.2K-2.9M-65.4K0.4641.35N/AN/A186868,0124,568
2008-02-19$48.70$48.0039.5%11.3%30.6%51.0%35.2%10.9%0.8%322.4K-3.6M-63.1K0.0740.67N/AN/A506366,7543,870
2008-02-20$49.09$48.0039.3%11.3%28.2%50.3%37.7%9.4%0.3%389.6K-4.2M-63.5K0.4544.87N/AN/A3101407,0543,868
2008-02-21$48.42$48.0038.3%11.0%28.7%47.5%34.9%9.4%0.9%360.7K-3.3M-61.9K0.5543.93N/AN/A128707,1563,950
2008-02-22$49.15$48.0039.6%11.3%29.0%51.1%37.4%10.3%-0.2%434.2K-5.2M-64.0K1.4946.74N/AN/A1402087,2323,914
2008-02-25$49.69$48.5037.0%10.6%27.5%43.8%36.0%10.5%0.8%498.0K-6.8M-64.0K0.3554.96N/AN/A3741327,2604,080
2008-02-26$50.62$48.0034.6%9.9%27.1%37.1%31.7%9.6%1.5%607.8K-8.3M-65.7K0.4457.22N/AN/A4682087,5324,120
2008-02-27$50.83$48.5034.7%9.9%27.1%37.3%34.8%9.2%1.9%667.8K-9.1M-67.8K2.1862.17N/AN/A1222667,7504,298
2008-02-28$50.41$48.5033.8%9.7%26.3%34.8%33.8%8.9%2.6%642.3K-7.9M-66.3K0.7263.74N/AN/A36267,7904,150
2008-02-29$48.81$48.5040.3%11.6%28.3%53.2%39.9%9.6%-0.3%426.7K-3.8M-61.9K2.7654.60N/AN/A842327,7724,176