VWO Options History — June 2008

In June 2008, VWO traded between $46.21 and $51.60. ATM implied volatility averaged 29.6%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.3% (HV 20d: 24.3%). Max pain ranged from $48.00 to $52.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2008-06-03: Highest Volume — 1,318 contracts
  • 2008-06-20: Largest IV spike — 13.9% change
  • 2008-06-26: Highest IV Rank — 34.4%
  • 2008-06-26: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.58$46.21$51.60$51.60$46.80
Max Pain$50.31$48.00$52.50$50.50$50.00
ATM IV29.6%25.6%33.0%27.5%31.8%
Expected Move8.5%7.3%9.5%7.9%9.1%
HV 20d24.3%19.7%27.2%19.7%27.2%
HV 60d25.2%21.2%31.7%31.6%22.5%
IV Rank25.2%14.2%34.4%19.5%31.3%
IV Percentile24.7%8.7%34.5%18.3%31.0%
Term Structure2.0%0.6%5.0%1.1%0.8%
VWIV27.8%17.4%31.2%29.1%30.2%
Skew 25d4.0%1.9%6.1%6.1%5.4%
Skew 10d11.5%3.0%15.5%11.5%14.2%
Call IV 25d27.1%23.6%30.2%24.7%28.0%
Put IV 25d31.1%28.3%33.4%30.9%33.4%
Bid-Ask Spread %55.0428.3281.1567.3377.53
Gamma HHI0.160.100.250.250.14
Net GEX-75.2K-386.8K739.7K739.7K-145.6K
Net DEX5.6M-4.6M11.6M-4.6M7.7M
Net VEX-63.8K-74.2K-19.5K-61.9K-63.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.0014.691.650.00
Total Volume329.762321,31858880
Total OI12,498.0485,57715,67512,5089,078

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$51.60$50.5027.5%7.9%19.7%19.5%29.1%6.1%1.1%739.7K-4.6M-61.9K1.6567.33N/AN/A2223667,6284,880
2008-06-03$50.70$50.0028.2%8.1%20.6%21.5%27.9%3.4%1.1%516.6K-2.4M-61.0K14.6970.14N/AN/A841,2347,7304,950
2008-06-04$50.00$50.0028.3%8.1%20.7%21.7%26.1%5.2%0.9%195.3K2.0M-68.1K1.2869.98N/AN/A2863667,7366,078
2008-06-05$51.48$50.5025.6%7.3%21.9%14.2%25.9%4.7%2.0%589.7K-2.5M-74.2K0.6564.35N/AN/A1581027,7686,444
2008-06-06$49.69$52.5028.5%8.5%25.2%22.3%28.9%2.5%1.1%69.6K3.7M-70.2K1.7528.32N/AN/A1442527,7906,476
2008-06-09$49.53$52.5030.7%8.6%25.2%28.1%29.8%2.4%0.6%-34.3K5.0M-69.1K5.0030.73N/AN/A603007,8886,706
2008-06-10$48.45$52.5030.7%8.5%26.0%28.3%29.3%2.4%2.0%-258.3K8.4M-67.7K0.2631.32N/AN/A218567,8786,892
2008-06-11$48.25$50.0029.6%8.7%25.8%25.3%24.7%3.3%1.7%-352.2K10.0M-64.5K1.0334.09N/AN/A1341387,9586,934
2008-06-12$48.55$50.0031.0%8.9%26.0%29.1%30.8%3.2%1.7%-317.2K8.9M-65.8K0.0430.30N/AN/A594227,9906,952
2008-06-13$48.58$50.0030.6%8.8%24.6%28.1%26.6%4.9%2.1%-274.8K7.9M-69.0K0.4332.39N/AN/A2761188,3386,974
2008-06-16$49.00$50.0030.0%8.6%24.4%26.4%27.5%3.8%2.6%-282.5K7.6M-67.9K0.6033.03N/AN/A20128,4967,044
2008-06-17$48.64$50.0030.5%8.7%24.2%27.6%29.1%4.1%1.7%-257.5K7.3M-67.2K0.1033.57N/AN/A142148,5107,054
2008-06-18$49.07$48.0027.0%7.8%23.6%18.2%17.4%4.8%4.1%-49.4K1.4M-19.5K2.1156.16N/AN/A18383,5512,026
2008-06-19$48.43$50.0027.3%7.8%23.8%18.8%0.0%4.4%4.7%-305.1K8.0M-66.1K0.3458.07N/AN/A44158,6247,030
2008-06-20$46.90$50.0031.0%8.9%25.1%29.1%27.6%1.9%3.7%-386.8K11.6M-63.1K3.6871.66N/AN/A411518,6287,047
2008-06-23$47.00$50.0031.0%8.9%24.0%29.0%28.7%4.7%1.7%-295.7K8.1M-62.7K0.0371.11N/AN/A391112,7115,390
2008-06-24$46.90$50.0028.8%8.2%23.8%22.9%29.5%5.1%5.0%-220.6K7.6M-63.6K0.2065.15N/AN/A311623,0595,391
2008-06-25$47.74$50.0029.7%8.5%24.9%25.5%26.1%5.3%1.8%-187.3K5.7M-67.1K0.2372.42N/AN/A249583,3205,452
2008-06-26$46.21$50.0033.0%9.5%26.5%34.4%31.2%4.4%0.7%-159.4K8.2M-64.0K0.2781.15N/AN/A77213,5365,493
2008-06-27$46.59$50.0030.9%8.9%26.9%28.7%28.9%2.9%1.7%-162.3K7.9M-64.3K0.0076.93N/AN/A4003,5365,493
2008-06-30$46.80$50.0031.8%9.1%27.2%31.3%30.2%5.4%0.8%-145.6K7.7M-63.2K0.0077.53N/AN/A8003,5695,509