VWO Options History — August 2008

In August 2008, VWO traded between $40.56 and $44.49. ATM implied volatility averaged 28.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.8% (HV 20d: 25.1%). Max pain ranged from $43.50 to $49.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.68.

Notable Days

  • 2008-08-26: Highest Volume — 1,213 contracts
  • 2008-08-27: Largest IV drop — 18.2% change
  • 2008-08-04: Highest IV Rank — 37.5%
  • 2008-08-04: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.16$40.56$44.49$44.49$41.06
Max Pain$46.40$43.50$49.00$45.00$43.50
ATM IV28.9%23.5%34.1%29.3%28.4%
Expected Move8.3%6.7%9.7%8.4%8.1%
HV 20d25.1%21.3%27.5%24.6%27.1%
HV 60d25.8%24.4%26.8%24.4%25.9%
IV Rank23.2%8.5%37.5%24.5%21.8%
IV Percentile16.2%1.6%39.7%14.7%15.1%
Term Structure0.2%-1.7%2.7%2.0%0.1%
VWIV28.2%24.8%34.8%27.2%29.2%
Skew 25d6.5%5.0%12.2%6.9%5.7%
Skew 10d16.4%10.7%26.2%19.2%13.9%
Call IV 25d25.6%22.7%28.5%25.8%23.2%
Put IV 25d32.2%28.2%36.3%32.7%28.9%
Bid-Ask Spread %36.8823.2869.1956.4539.01
Gamma HHI0.310.130.540.130.45
Net GEX-235.6K-278.2K-174.7K-225.6K-191.8K
Net DEX11.5M8.3M15.8M10.9M8.6M
Net VEX-37.4K-51.0K-29.6K-51.0K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.680.0039.430.530.09
Total Volume275.762251,2132625
Total OI10,060.2389,05611,12510,5889,464

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$44.49$45.0029.3%8.4%24.6%24.5%27.2%6.9%2.0%-225.6K10.9M-51.0K0.5356.45N/AN/A1794,8175,771
2008-08-04$43.02$49.0034.1%9.7%27.2%37.5%29.1%6.9%-1.7%-246.9K12.9M-45.3K0.1337.98N/AN/A245324,8275,779
2008-08-05$43.59$48.0029.5%8.9%27.5%25.0%25.0%12.2%1.7%-262.6K11.3M-43.9K0.0569.19N/AN/A14884,7125,528
2008-08-06$44.22$48.0028.6%8.8%26.2%22.4%28.6%6.7%-1.0%-231.6K10.2M-45.5K0.0044.86N/AN/A3904,7985,536
2008-08-07$42.90$48.0031.0%8.8%25.9%29.0%30.9%7.0%-0.6%-271.2K12.6M-39.9K0.1236.83N/AN/A198234,8375,536
2008-08-08$43.06$48.0030.4%8.8%25.8%27.5%34.8%7.8%-0.2%-270.1K12.1M-40.6K4.7631.99N/AN/A723434,9835,466
2008-08-11$42.54$48.0031.1%9.2%26.0%29.4%32.1%7.1%-1.3%-275.3K12.6M-37.9K2.1335.43N/AN/A1783795,0295,549
2008-08-12$42.38$48.0033.8%9.0%24.8%36.6%33.6%6.1%-0.7%-262.8K14.0M-37.3K13.3237.91N/AN/A192535,1415,729
2008-08-13$42.28$48.0029.0%8.8%22.3%23.6%29.6%5.8%-1.1%-277.4K14.3M-38.2K4.4048.28N/AN/A672955,1485,899
2008-08-14$42.56$48.0029.4%8.4%21.3%24.7%28.3%6.3%-0.8%-239.9K13.2M-38.7K2.5134.10N/AN/A902265,1905,756
2008-08-15$41.97$48.0027.4%7.8%21.5%19.1%26.7%6.3%1.9%-268.4K14.6M-36.4K2.0327.69N/AN/A721465,2145,911
2008-08-18$41.01$48.0029.9%8.6%22.5%26.1%24.8%5.9%-1.5%-278.2K15.8M-31.2K0.5326.67N/AN/A2491314,4035,785
2008-08-19$40.63$47.0029.8%8.5%22.4%25.8%29.5%6.7%-1.0%-229.9K11.2M-29.6K1.5226.77N/AN/A46704,5094,547
2008-08-20$41.84$45.0026.2%7.5%25.1%15.9%25.9%7.3%1.8%-212.6K9.6M-33.9K0.5223.28N/AN/A2061074,5504,507
2008-08-21$41.64$45.0026.4%7.6%24.5%16.3%26.2%5.9%1.2%-188.8K9.7M-34.5K2.7929.29N/AN/A842344,7404,583
2008-08-22$41.84$45.0026.1%7.5%24.6%15.6%25.3%5.3%1.7%-207.3K10.5M-34.9K0.3424.15N/AN/A131444,8134,807
2008-08-25$40.56$44.0029.6%8.5%26.5%25.2%25.9%5.1%-0.8%-208.0K9.7M-31.9K1.2731.86N/AN/A851084,9214,349
2008-08-26$40.70$44.0028.7%8.2%26.6%22.8%25.1%5.4%-0.8%-234.1K10.1M-31.1K39.4337.27N/AN/A301,1834,9504,451
2008-08-27$41.49$43.5023.5%6.7%27.0%8.5%26.3%5.0%2.7%-190.0K8.4M-34.5K0.4733.40N/AN/A86404,9794,340
2008-08-28$41.53$43.5024.1%6.9%26.9%10.2%29.2%5.6%2.2%-174.7K8.3M-34.3K0.2842.06N/AN/A57165,0514,360
2008-08-29$41.06$43.5028.4%8.1%27.1%21.8%0.0%5.7%0.1%-191.8K8.6M-33.7K0.0939.01N/AN/A2325,0884,376