VWO Options History — April 2008

In April 2008, VWO traded between $48.39 and $51.48. ATM implied volatility averaged 31.6%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 0.9% (HV 20d: 32.5%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2008-04-18: Highest Volume — 636 contracts
  • 2008-04-16: Largest IV drop — 10.6% change
  • 2008-04-14: Highest IV Rank — 40.1%
  • 2008-04-14: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.81$48.39$51.48$48.40$50.98
Max Pain$47.55$45.00$49.00$47.00$49.00
ATM IV31.6%27.3%35.6%33.9%27.3%
Expected Move9.1%7.8%10.2%9.7%7.8%
HV 20d32.5%18.0%50.4%50.4%18.7%
HV 60d36.2%34.1%38.9%38.9%34.2%
IV Rank28.7%16.7%40.1%35.0%16.7%
IV Percentile33.1%18.7%48.0%41.3%18.7%
Term Structure0.7%-0.7%2.3%2.1%1.1%
VWIV31.6%25.8%38.6%30.9%25.8%
Skew 25d5.3%1.0%9.5%9.2%4.8%
Skew 10d9.6%4.7%17.1%16.2%8.4%
Call IV 25d30.0%24.8%35.4%28.4%25.6%
Put IV 25d35.3%30.3%39.3%37.7%30.3%
Bid-Ask Spread %24.049.5654.9321.4352.25
Gamma HHI0.310.250.510.250.29
Net GEX827.9K549.8K1.7M574.2K767.5K
Net DEX-8.8M-15.5M-6.4M-6.5M-9.0M
Net VEX-60.4K-63.6K-56.1K-61.4K-60.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.004.440.680.28
Total Volume232.54566636608138
Total OI9,501.6368,19810,3928,9089,558

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$48.40$47.0033.9%9.7%50.4%35.0%30.9%9.2%2.1%574.2K-6.5M-61.4K0.6821.43N/AN/A3622466,4202,488
2008-04-02$48.39$47.5034.5%9.9%50.0%36.9%33.0%9.5%0.7%613.9K-6.4M-62.1K0.5622.67N/AN/A118666,7162,562
2008-04-03$48.90$47.5032.9%9.4%49.7%32.4%31.5%9.3%1.6%697.3K-7.7M-63.6K0.0226.06N/AN/A12426,8062,590
2008-04-04$48.81$45.0035.0%10.1%48.3%38.2%35.4%3.7%-0.7%704.8K-7.7M-63.0K0.009.56N/AN/A7806,9122,592
2008-04-07$49.05$45.0033.3%10.1%48.1%33.5%34.5%4.6%-0.6%787.1K-9.0M-62.7K0.2210.17N/AN/A148326,9542,592
2008-04-08$48.95$47.5033.7%10.2%46.8%34.6%33.6%6.7%-0.3%801.9K-8.7M-62.6K0.0710.19N/AN/A9067,0562,600
2008-04-09$48.58$47.5032.7%9.9%40.8%31.8%34.6%6.0%-0.4%772.7K-6.7M-59.1K4.449.68N/AN/A18807,1202,604
2008-04-10$49.41$47.5034.6%9.9%40.2%37.3%34.8%4.6%0.3%905.4K-9.3M-62.8K0.1111.04N/AN/A124147,1342,654
2008-04-11$48.51$47.5034.3%9.8%40.8%36.2%38.6%5.3%0.2%835.5K-7.0M-58.7K2.1910.93N/AN/A42927,2162,668
2008-04-14$48.57$47.5035.6%10.2%38.3%40.1%34.7%4.9%-0.6%845.7K-6.4M-56.5K2.6910.60N/AN/A962587,2102,746
2008-04-15$49.40$47.5035.5%10.2%36.1%39.6%35.1%4.6%-0.2%1.1M-8.6M-59.5K0.3511.33N/AN/A74267,2342,922
2008-04-16$50.43$47.5031.7%9.1%31.6%29.1%31.7%4.0%2.1%1.3M-13.0M-61.1K0.0416.27N/AN/A21287,2502,908
2008-04-17$50.12$47.5031.6%9.1%22.3%28.7%32.3%3.6%1.6%1.7M-12.4M-59.7K0.4615.94N/AN/A92427,4282,912
2008-04-18$50.63$47.5029.9%8.6%22.1%24.1%31.1%1.9%-0.3%1.2M-15.5M-56.4K0.1321.81N/AN/A562747,4562,936
2008-04-21$51.12$47.5030.4%8.7%18.9%25.4%30.5%1.0%-0.5%563.5K-8.1M-58.2K0.4127.46N/AN/A228945,7082,490
2008-04-22$50.67$47.5028.2%8.1%19.4%19.3%29.0%5.4%1.0%549.8K-7.0M-56.1K0.5227.14N/AN/A2981545,7082,490
2008-04-23$51.30$47.5027.7%7.9%18.6%17.8%26.5%5.3%1.2%654.2K-9.2M-62.3K0.2236.29N/AN/A438966,1982,652
2008-04-24$51.00$48.5028.3%8.1%18.8%19.4%27.5%5.5%1.9%688.1K-9.0M-63.0K0.3534.07N/AN/A170606,5062,744
2008-04-25$51.48$48.5027.5%7.9%18.4%17.3%26.8%5.4%2.3%761.0K-9.6M-62.4K0.9334.85N/AN/A56526,6022,756
2008-04-28$51.02$49.0027.7%7.9%19.0%17.9%26.3%6.3%1.5%748.9K-9.1M-61.1K0.1854.11N/AN/A56106,6522,788
2008-04-29$50.16$49.0028.7%8.2%18.0%20.5%30.2%4.9%0.7%665.6K-7.0M-57.5K1.4354.93N/AN/A741066,7042,794
2008-04-30$50.98$49.0027.3%7.8%18.7%16.7%25.8%4.8%1.1%767.5K-9.0M-60.2K0.2852.25N/AN/A108306,6902,868