VWO Options History — May 2008

In May 2008, VWO traded between $51.05 and $53.65. ATM implied volatility averaged 25.1%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 5.6% (HV 20d: 19.5%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2008-05-08: Highest Volume — 1,126 contracts
  • 2008-05-20: Largest IV spike — 18.6% change
  • 2008-05-23: Highest IV Rank — 22.4%
  • 2008-05-07: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.96$51.05$53.65$51.72$51.89
Max Pain$49.90$49.00$50.00$49.00$50.00
ATM IV25.1%20.4%28.6%25.0%24.1%
Expected Move7.4%6.6%8.3%7.2%6.9%
HV 20d19.5%17.1%22.1%19.0%19.7%
HV 60d32.8%32.2%33.4%33.1%32.2%
IV Rank11.6%0.0%22.4%10.2%10.3%
IV Percentile9.4%0.0%25.8%7.9%4.8%
Term Structure1.9%0.8%3.3%0.9%2.0%
VWIV25.6%22.4%28.2%23.6%24.6%
Skew 25d5.0%3.8%5.8%5.5%4.9%
Skew 10d10.8%7.6%16.2%8.5%11.1%
Call IV 25d23.6%21.0%26.5%21.9%21.5%
Put IV 25d28.6%25.4%31.3%27.5%26.4%
Bid-Ask Spread %50.1334.3467.6659.8867.66
Gamma HHI0.310.250.440.300.29
Net GEX1.0M695.9K1.9M906.6K901.5K
Net DEX-9.7M-17.8M-5.0M-10.4M-6.7M
Net VEX-63.2K-69.2K-54.6K-58.6K-65.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.002.510.130.59
Total Volume384.571581,126280184
Total OI11,031.5249,63012,3989,63012,398

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$51.72$49.0025.0%7.2%19.0%10.2%23.6%5.5%0.9%906.6K-10.4M-58.6K0.1359.88N/AN/A248326,7322,898
2008-05-02$52.06$49.0024.8%7.1%18.9%9.6%22.4%4.6%1.2%993.9K-11.8M-60.0K0.3963.06N/AN/A168666,8382,920
2008-05-05$51.90$50.0024.3%7.6%19.1%8.3%25.7%5.2%1.8%1.0M-11.3M-58.4K0.6435.77N/AN/A110706,9622,964
2008-05-06$52.36$50.0023.8%7.5%19.1%6.9%27.2%4.6%2.3%1.1M-13.0M-59.3K1.8634.34N/AN/A28526,9602,994
2008-05-07$51.13$50.0027.5%8.3%21.1%17.3%28.2%4.5%1.1%889.2K-8.7M-54.6K1.6534.85N/AN/A3605946,9762,970
2008-05-08$51.32$50.0025.7%8.1%20.4%11.3%26.6%5.5%1.2%933.1K-9.2M-57.8K1.1934.38N/AN/A5146126,9063,322
2008-05-09$51.05$50.0026.1%8.2%19.1%11.3%26.1%5.5%1.1%880.3K-8.2M-66.6K0.0036.63N/AN/A23207,3303,792
2008-05-12$51.45$50.0023.9%7.4%19.2%4.9%28.0%5.3%2.2%1.0M-8.9M-61.7K1.4245.51N/AN/A1381967,2563,752
2008-05-13$51.64$50.0022.4%7.0%18.4%0.7%26.3%5.2%2.3%1.1M-9.8M-63.0K1.8248.56N/AN/A801467,3503,926
2008-05-14$51.75$50.0020.4%6.7%17.1%0.0%23.2%4.4%3.3%1.3M-10.3M-61.2K0.2855.25N/AN/A218627,4283,968
2008-05-15$52.80$50.0023.3%6.7%18.1%8.0%23.5%5.1%2.9%1.9M-14.7M-64.4K0.3652.47N/AN/A182667,4864,008
2008-05-16$53.38$50.0023.5%6.7%18.1%8.6%23.2%4.4%2.4%1.5M-17.8M-64.7K0.8151.64N/AN/A2942387,5064,058
2008-05-19$53.65$50.0022.9%6.6%18.0%7.0%23.1%3.8%3.2%1.1M-13.3M-65.4K0.4452.09N/AN/A3121386,6663,798
2008-05-20$52.39$50.0027.2%7.8%19.9%18.6%27.3%5.7%1.0%865.2K-10.0M-67.4K0.8546.08N/AN/A4523846,8183,890
2008-05-21$51.98$50.0027.5%7.9%19.7%19.5%27.2%5.0%0.8%818.8K-8.2M-69.2K0.4050.78N/AN/A96387,1324,160
2008-05-22$52.58$50.0027.1%7.8%19.9%18.4%26.0%4.2%1.9%880.1K-9.1M-67.6K1.1949.16N/AN/A1541847,1764,160
2008-05-23$51.18$50.0028.6%8.2%22.1%22.4%27.8%5.8%1.8%727.4K-5.7M-66.6K2.0750.69N/AN/A1723567,3304,244
2008-05-27$51.35$50.0028.1%8.0%21.9%21.0%25.5%5.3%2.0%695.9K-5.0M-64.9K2.5155.36N/AN/A1984967,4164,480
2008-05-28$51.59$50.0026.7%7.6%20.9%17.2%28.0%5.7%1.7%752.6K-5.3M-66.9K0.2663.84N/AN/A46127,5264,844
2008-05-29$51.98$50.0024.7%7.1%20.3%11.8%24.9%4.4%2.1%819.2K-5.8M-63.4K0.0764.72N/AN/A138107,4764,846
2008-05-30$51.89$50.0024.1%6.9%19.7%10.3%24.6%4.9%2.0%901.5K-6.7M-65.5K0.5967.66N/AN/A116687,5464,852