VWO Options History — July 2008

In July 2008, VWO traded between $43.33 and $45.51. ATM implied volatility averaged 32.6%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 4.9% (HV 20d: 27.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2008-07-30: Highest Volume — 1,174 contracts
  • 2008-07-10: Largest IV spike — 15.0% change
  • 2008-07-11: Highest IV Rank — 50.0%
  • 2008-07-11: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.54$43.33$45.51$45.51$44.59
Max Pain$45.68$45.00$50.00$50.00$45.00
ATM IV32.6%29.3%38.7%32.3%30.6%
Expected Move9.4%8.6%11.1%9.3%8.8%
HV 20d27.7%23.7%31.3%28.0%24.6%
HV 60d24.4%23.1%25.2%23.1%24.8%
IV Rank33.4%24.3%50.0%32.6%28.0%
IV Percentile31.6%16.3%65.5%31.3%19.8%
Term Structure0.2%-2.6%3.3%1.8%0.3%
VWIV29.5%17.3%38.5%29.1%28.9%
Skew 25d7.2%2.3%9.4%2.8%6.4%
Skew 10d14.3%0.6%23.7%12.9%19.9%
Call IV 25d29.1%23.2%33.7%30.1%27.8%
Put IV 25d36.3%32.4%42.0%32.9%34.2%
Bid-Ask Spread %43.7918.2288.6386.8146.81
Gamma HHI0.180.120.210.150.12
Net GEX-186.5K-278.3K-134.8K-134.8K-176.4K
Net DEX9.9M7.4M11.8M9.0M9.9M
Net VEX-51.3K-59.7K-45.7K-59.7K-53.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.002.080.220.68
Total Volume207.136171,17456175
Total OI9,125.8188,15110,4499,12010,449

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$45.51$50.0032.3%9.3%28.0%32.6%29.1%2.8%1.8%-134.8K9.0M-59.7K0.2286.81N/AN/A46103,6115,509
2008-07-02$44.37$50.0032.5%9.3%28.8%33.2%33.7%4.2%0.4%-169.2K11.2M-55.2K0.2481.38N/AN/A93223,6355,519
2008-07-03$44.48$50.0032.0%9.2%25.9%31.8%18.2%2.3%0.9%-153.8K11.3M-55.1K0.4588.63N/AN/A31143,7125,537
2008-07-07$44.17$45.0032.0%9.7%23.7%31.9%30.4%7.5%-0.0%-171.4K11.8M-51.5K0.1154.08N/AN/A123133,7185,488
2008-07-08$44.53$45.0032.9%9.4%24.2%34.3%32.5%7.9%3.3%-149.1K10.8M-53.5K0.0044.64N/AN/A8203,7605,436
2008-07-09$43.33$45.0029.3%9.5%24.7%24.3%34.3%7.1%-0.1%-188.9K11.4M-46.9K1.7330.67N/AN/A22383,7825,156
2008-07-10$44.70$45.0033.7%9.6%28.0%36.3%33.8%9.0%0.4%-158.6K9.6M-52.1K1.7318.22N/AN/A41713,7925,135
2008-07-11$44.27$45.0038.7%11.1%27.8%50.0%38.5%8.3%-2.4%-144.8K8.9M-52.8K2.0818.82N/AN/A972023,8065,051
2008-07-14$44.50$45.0037.6%10.8%27.9%47.0%32.4%6.7%-2.6%-195.5K9.5M-51.9K0.0424.14N/AN/A16063,8865,220
2008-07-15$43.48$45.0036.6%10.5%28.2%44.3%35.6%6.9%-1.0%-212.4K10.8M-48.3K0.3731.65N/AN/A109403,9995,220
2008-07-16$44.69$45.0034.6%9.9%30.6%38.9%34.1%7.6%-1.5%-208.1K9.4M-51.0K1.0228.09N/AN/A1281313,9455,233
2008-07-17$45.49$45.0031.4%9.0%31.3%30.2%28.2%6.6%0.7%-157.5K8.8M-51.0K0.0326.45N/AN/A12034,0525,259
2008-07-18$45.00$45.0033.0%9.5%31.2%34.5%25.6%8.6%-0.4%-205.4K9.4M-50.2K0.4229.74N/AN/A1254,0965,260
2008-07-21$45.09$45.0031.9%9.2%29.4%31.6%30.0%7.3%-0.1%-245.1K8.9M-49.1K0.1436.13N/AN/A358512,9775,174
2008-07-22$44.60$45.0031.0%8.9%29.5%29.0%28.8%8.4%-0.6%-195.2K8.5M-49.4K0.2032.16N/AN/A226463,2745,224
2008-07-23$45.01$45.0030.3%8.7%29.8%27.2%27.3%7.5%0.6%-166.6K7.4M-52.0K0.4131.15N/AN/A113463,4575,260
2008-07-24$44.22$45.0032.2%9.2%29.3%32.2%27.6%8.6%1.4%-190.4K10.1M-48.3K1.9834.84N/AN/A1222413,5515,304
2008-07-25$44.22$45.0032.4%9.3%27.3%32.7%26.6%8.2%0.6%-201.3K10.2M-49.9K1.6543.08N/AN/A691143,6535,505
2008-07-28$44.37$45.0030.1%8.6%27.1%26.4%17.3%7.2%2.5%-278.3K11.3M-45.7K0.1255.41N/AN/A6983,6825,617
2008-07-29$44.29$45.0032.3%9.3%27.0%32.6%32.5%8.8%-0.6%-217.2K10.3M-48.8K0.9759.36N/AN/A64623,7275,625
2008-07-30$45.00$45.0030.0%8.6%26.0%26.4%24.3%9.4%0.2%-182.9K8.4M-51.9K0.1661.11N/AN/A1,0161583,7865,686
2008-07-31$44.59$45.0030.6%8.8%24.6%28.0%28.9%6.4%0.3%-176.4K9.9M-53.7K0.6846.81N/AN/A104714,7325,717