VWO Options History — March 2008

In March 2008, VWO traded between $44.31 and $49.09. ATM implied volatility averaged 40.2%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.8% (HV 20d: 39.4%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2008-03-20: Highest Volume — 1,534 contracts
  • 2008-03-11: Largest IV drop — 21.7% change
  • 2008-03-17: Highest IV Rank — 71.8%
  • 2008-03-17: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.94$44.31$49.09$49.09$47.02
Max Pain$48.73$47.00$50.00$50.00$47.00
ATM IV40.2%35.4%47.0%41.5%38.0%
Expected Move11.6%10.2%13.5%11.9%10.9%
HV 20d39.4%23.8%50.6%27.1%49.3%
HV 60d35.6%32.4%38.5%33.2%38.5%
IV Rank52.9%39.2%71.8%56.6%46.6%
IV Percentile70.8%48.8%91.9%80.5%61.5%
Term Structure-0.4%-3.1%2.9%-1.3%-0.1%
VWIV39.2%33.1%46.6%43.0%36.4%
Skew 25d8.0%5.1%10.9%10.9%9.7%
Skew 10d13.7%5.1%26.7%26.7%24.4%
Call IV 25d35.9%31.8%41.7%34.7%32.7%
Put IV 25d43.9%40.2%48.0%45.6%42.5%
Bid-Ask Spread %27.539.5364.0057.9021.09
Gamma HHI0.220.100.690.200.23
Net GEX185.2K-674.2K460.7K439.0K409.9K
Net DEX-315.4K-4.0M6.0M-4.0M-3.0M
Net VEX-54.1K-62.1K-43.0K-62.1K-56.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.096.440.590.21
Total Volume464.7901,534156240
Total OI11,568.67,25414,07812,1848,762

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$49.09$50.0041.5%11.9%27.1%56.6%43.0%10.9%-1.3%439.0K-4.0M-62.1K0.5957.90N/AN/A98587,8344,350
2008-03-04$48.19$50.0041.6%11.9%27.9%56.8%43.4%9.3%-0.4%324.5K-1.9M-59.2K3.9057.37N/AN/A421647,8764,396
2008-03-05$49.09$50.0039.4%11.3%23.8%50.6%37.3%9.8%0.1%413.1K-3.7M-60.0K0.2964.00N/AN/A70207,8704,502
2008-03-06$47.62$50.0039.1%11.2%25.8%49.8%38.9%10.9%1.4%253.9K-399.9K-55.2K3.8863.91N/AN/A642487,9064,510
2008-03-07$47.10$50.0043.2%12.6%25.6%61.2%43.9%5.1%-2.4%136.5K1.2M-54.0K3.5811.16N/AN/A521867,9444,692
2008-03-10$45.77$50.0045.2%13.3%27.6%66.8%44.0%5.9%-3.0%14.1K3.3M-50.6K1.849.53N/AN/A741367,9704,710
2008-03-11$48.87$50.0035.4%10.4%36.0%39.2%36.7%5.8%-0.5%460.7K-3.6M-54.9K1.0510.84N/AN/A4404608,0124,788
2008-03-12$47.70$50.0037.3%10.8%37.1%44.8%36.4%5.4%-0.4%304.7K-828.8K-55.4K0.7711.47N/AN/A1661288,2845,004
2008-03-13$47.61$50.0038.9%11.2%36.4%49.3%37.1%5.6%-0.5%220.1K123.9K-54.8K1.0810.49N/AN/A2022188,4145,068
2008-03-14$45.89$49.0045.0%12.9%38.4%66.3%44.0%6.0%-1.6%8.5K3.1M-52.7K2.5711.44N/AN/A1062728,4685,102
2008-03-17$44.40$49.0047.0%13.5%39.4%71.8%46.6%5.2%-3.1%-224.2K6.0M-46.9K6.4424.07N/AN/A1821,1728,5365,254
2008-03-18$46.93$47.5042.3%12.1%44.6%58.9%40.5%9.0%-1.6%120.4K937.5K-49.8K0.1722.70N/AN/A7461268,6884,674
2008-03-19$44.31$47.5045.0%12.9%48.5%66.2%42.4%8.0%-2.6%-188.9K5.2M-45.6K1.5336.12N/AN/A761169,4004,678
2008-03-20$44.98$47.5041.6%11.9%48.9%56.7%37.5%8.9%-0.6%-674.2K3.7M-43.0K0.0926.34N/AN/A1,4121228,8204,544
2008-03-24$46.66$47.5035.5%10.2%50.6%39.6%34.3%7.8%2.9%234.0K-1.3M-52.0K0.1125.81N/AN/A672725,1042,150
2008-03-25$47.17$47.5037.5%10.8%50.6%45.3%35.0%9.3%0.9%334.8K-3.0M-57.3K0.1624.08N/AN/A394645,6362,206
2008-03-26$46.58$47.5038.0%10.9%50.1%46.6%36.1%9.2%1.8%360.5K-2.7M-56.6K1.0823.75N/AN/A78845,9762,250
2008-03-27$47.09$47.5036.5%10.5%50.3%42.6%37.3%9.4%1.2%369.3K-2.6M-56.4K0.2018.18N/AN/A264546,0242,332
2008-03-28$46.74$47.0036.4%10.4%50.3%42.2%33.1%8.9%2.2%387.0K-2.9M-57.9K2.1820.27N/AN/A681486,2522,386
2008-03-31$47.02$47.0038.0%10.9%49.3%46.6%36.4%9.7%-0.1%409.9K-3.0M-56.8K0.2121.09N/AN/A198426,3102,452