VWO Options History — September 2008

In September 2008, VWO traded between $32.03 and $39.65. ATM implied volatility averaged 46.5%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 3.7% (HV 20d: 50.2%). Max pain ranged from $35.00 to $43.50. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2008-09-18: Highest Volume — 1,022 contracts
  • 2008-09-29: Largest IV spike — 47.5% change
  • 2008-09-18: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.34$32.03$39.65$39.65$34.66
Max Pain$38.17$35.00$43.50$43.50$35.00
ATM IV46.5%29.8%82.6%29.8%71.4%
Expected Move13.3%8.5%23.7%8.5%20.5%
HV 20d50.2%26.0%91.0%27.3%91.0%
HV 60d36.6%25.8%56.2%25.8%56.2%
IV Rank59.5%25.6%100.0%25.6%82.1%
IV Percentile71.9%21.0%100.0%21.0%99.6%
Term Structure-5.7%-22.9%1.4%-1.2%-8.5%
VWIV45.0%26.8%86.8%29.9%74.1%
Skew 25d8.8%4.1%15.2%4.5%14.4%
Skew 10d20.9%-4.0%51.2%12.8%36.3%
Call IV 25d43.0%21.2%94.1%25.8%66.3%
Put IV 25d51.8%30.2%98.7%30.2%80.7%
Bid-Ask Spread %50.9616.83145.6037.9140.73
Gamma HHI0.320.110.700.590.11
Net GEX-83.3K-269.7K20.1K-251.5K-9.6K
Net DEX8.9M4.6M12.8M10.5M6.5M
Net VEX-24.8K-33.0K-15.0K-28.9K-29.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.132.480.920.81
Total Volume358.286581,022277555
Total OI8,906.196,81611,1739,4877,941

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$39.65$43.5029.8%8.5%27.3%25.6%29.9%4.5%-1.2%-251.5K10.5M-28.9K0.9237.91N/AN/A1441335,1114,376
2008-09-03$39.31$43.0031.2%9.0%26.5%29.7%30.4%11.7%-2.6%-269.7K11.4M-27.4K1.6422.91N/AN/A1472415,1084,467
2008-09-04$38.00$43.0032.5%9.3%27.3%33.0%26.8%4.1%-0.5%-203.6K12.8M-23.1K1.8016.83N/AN/A1713075,1454,433
2008-09-05$37.90$40.0032.1%8.9%26.0%31.9%31.1%6.6%1.4%-222.5K12.5M-25.2K1.0755.61N/AN/A88945,1944,635
2008-09-08$38.49$40.0033.1%9.5%26.9%34.8%29.8%5.5%-1.4%-266.9K11.9M-25.4K0.7347.41N/AN/A2241645,2054,554
2008-09-09$36.85$40.0034.8%10.0%30.1%39.5%31.7%6.9%-1.8%-119.1K10.1M-17.6K0.4432.36N/AN/A2541123,6873,662
2008-09-10$36.90$40.0034.2%9.8%30.2%37.7%35.3%7.6%-1.8%-62.5K9.4M-21.5K0.5736.25N/AN/A157895,5453,694
2008-09-11$36.99$40.0033.7%9.7%30.3%36.4%32.2%6.5%-1.2%-50.4K10.0M-20.4K2.4841.18N/AN/A33825,5803,767
2008-09-12$37.47$40.0036.8%10.5%30.8%44.7%31.0%6.9%-2.9%-68.8K9.1M-24.0K0.3862.13N/AN/A42165,6043,786
2008-09-15$34.77$40.0042.6%12.2%39.2%60.8%41.3%9.2%-4.5%-38.7K10.3M-17.8K0.9532.97N/AN/A3863655,6453,792
2008-09-16$34.30$36.0043.6%12.5%38.9%63.4%45.4%9.9%-4.9%-42.1K9.9M-17.8K1.3837.65N/AN/A2763825,9373,959
2008-09-17$32.03$35.0056.0%16.1%44.3%97.2%46.1%15.2%-15.0%-36.0K10.7M-15.0K1.03143.47N/AN/A2052116,0964,229
2008-09-18$34.00$36.0065.3%18.7%49.1%100.0%66.6%4.7%-22.9%-19.3K10.3M-21.0K0.66145.60N/AN/A6144086,2294,347
2008-09-19$38.97$35.0042.8%12.3%71.6%50.0%41.3%8.1%-6.4%20.1K4.6M-32.6K0.9354.15N/AN/A2292136,6764,497
2008-09-22$36.44$35.0050.3%14.4%75.0%66.6%47.2%10.3%-4.6%-18.7K5.6M-27.9K0.8544.85N/AN/A97823,5333,283
2008-09-23$35.22$36.0058.2%16.7%75.2%84.3%56.7%10.3%-5.8%-23.3K6.2M-28.7K1.1629.82N/AN/A871013,7263,537
2008-09-24$35.79$36.0057.1%16.4%75.5%81.9%54.3%13.5%-5.1%-24.6K6.0M-29.7K0.1743.29N/AN/A110193,7783,578
2008-09-25$37.12$36.0052.2%15.0%76.5%70.9%47.6%11.8%-2.4%-22.0K5.1M-33.0K0.1336.85N/AN/A120153,8753,588
2008-09-26$36.07$36.0056.0%16.0%76.9%79.3%58.4%12.3%-6.4%-14.4K5.8M-30.0K1.0725.99N/AN/A90963,9493,588
2008-09-29$32.13$36.0082.6%23.7%86.1%100.0%86.8%4.6%-21.3%-4.6K7.6M-24.0K1.1182.15N/AN/A1731924,0323,662
2008-09-30$34.66$35.0071.4%20.5%91.0%82.1%74.1%14.4%-8.5%-9.6K6.5M-29.7K0.8140.73N/AN/A3062494,1303,811