VWO Options History — October 2008

In October 2008, VWO traded between $19.72 and $34.22. ATM implied volatility averaged 92.0%, placing in the 84.3% IV rank vs the trailing year. The 30-day expected move averaged 24.7%. IV traded below realized volatility by 23.3% (HV 20d: 115.3%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.08.

Notable Days

  • 2008-10-06: Highest Volume — 930 contracts
  • 2008-10-06: Largest IV spike — 29.6% change
  • 2008-10-06: Highest IV Rank — 100.0%
  • 2008-10-24: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.87$19.72$34.22$34.22$25.21
Max Pain$30.65$25.00$35.00$35.00$25.00
ATM IV92.0%68.0%111.9%74.8%90.0%
Expected Move24.7%19.5%30.9%21.5%25.8%
HV 20d115.3%91.1%136.3%91.1%136.3%
HV 60d75.8%56.2%95.2%56.2%95.2%
IV Rank84.3%52.0%100.0%87.5%76.0%
IV Percentile98.2%94.0%100.0%99.6%94.0%
Term Structure-8.2%-13.6%0.1%-13.0%-13.6%
VWIV81.1%53.8%101.9%71.9%83.0%
Skew 25d13.3%-9.9%29.3%15.2%26.4%
Skew 10d32.7%7.0%54.2%33.7%44.7%
Call IV 25d78.0%61.4%97.4%68.7%74.7%
Put IV 25d91.3%73.3%117.4%83.8%101.1%
Bid-Ask Spread %45.7916.5493.7237.6744.46
Gamma HHI0.090.060.230.100.12
Net GEX3.3K-21.9K35.7K-4.6K35.7K
Net DEX7.6M6.1M9.1M6.5M6.1M
Net VEX-16.1K-30.9K-6.9K-30.9K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.014.221.970.02
Total Volume362.17489930175172
Total OI8,934.5658,14210,2518,3369,731

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$34.22$35.0074.8%21.5%91.1%87.5%71.9%15.2%-13.0%-4.6K6.5M-30.9K1.9737.67N/AN/A591164,3533,983
2008-10-02$31.69$35.0077.0%22.1%94.0%91.0%70.6%10.6%-13.1%-4.3K7.7M-25.4K1.6764.37N/AN/A1051754,3964,029
2008-10-03$31.20$35.0076.5%21.9%94.0%90.2%74.4%5.8%-12.0%-7.5K8.3M-23.2K0.6857.46N/AN/A2181494,4444,076
2008-10-06$28.54$33.0099.1%23.9%97.5%100.0%81.5%4.5%-11.5%-4.7K8.0M-22.8K4.2216.54N/AN/A1787524,5284,104
2008-10-07$26.61$33.0087.2%21.5%99.0%84.9%71.4%11.7%-3.9%-5.8K8.9M-15.9K0.2426.27N/AN/A291694,5414,221
2008-10-08$26.54$32.0099.2%22.2%98.9%100.0%71.3%7.8%-4.4%-1.0K8.7M-15.7K1.7921.67N/AN/A561004,6884,151
2008-10-09$25.45$32.00100.0%23.5%99.0%100.0%53.8%-9.9%-7.6%-2.9K8.7M-14.1K0.1293.72N/AN/A302354,7334,220
2008-10-10$24.80$32.00111.9%25.3%98.3%100.0%82.7%12.1%-10.4%1.3K8.5M-13.4K0.7783.23N/AN/A115884,9064,176
2008-10-13$29.83$32.0086.6%20.7%120.1%72.3%71.3%16.7%-6.9%7.0K8.2M-20.7K0.9226.25N/AN/A4133814,9654,217
2008-10-14$29.07$31.0090.4%21.8%120.3%76.5%72.0%13.2%-8.2%-1.5K8.6M-21.7K0.4622.01N/AN/A3171455,2504,548
2008-10-15$24.61$30.00107.3%25.5%131.3%95.0%87.6%9.7%-8.8%7819.1M-14.2K0.7437.15N/AN/A2421805,4244,565
2008-10-16$25.23$30.0092.5%26.5%129.3%78.8%90.3%15.8%-9.3%-8718.9M-15.9K0.7830.57N/AN/A1561215,5784,590
2008-10-17$25.10$30.0090.4%25.9%116.5%76.6%86.4%9.4%-7.6%-21.9K9.0M-16.2K0.3933.81N/AN/A64255,6304,621
2008-10-20$26.56$30.0068.0%19.5%118.4%52.0%66.4%13.2%-2.8%8.8K7.6M-15.3K0.6849.41N/AN/A1811234,4183,851
2008-10-21$24.55$30.0073.9%21.2%120.3%58.5%69.8%6.0%-5.4%13.0K6.8M-11.8K0.4159.27N/AN/A193804,5833,562
2008-10-22$22.19$30.0092.2%26.4%123.1%78.5%90.4%4.2%-10.1%9.1K6.5M-9.2K2.5069.94N/AN/A521304,6223,520
2008-10-23$22.45$30.00100.1%28.7%121.8%87.2%92.0%14.3%-7.5%9.7K6.4M-10.1K1.6853.05N/AN/A1582664,6533,528
2008-10-24$20.45$29.00107.8%30.9%124.1%95.5%98.1%21.6%-8.2%5.7K6.3M-8.9K0.3738.31N/AN/A191714,7743,688
2008-10-27$19.72$29.00102.4%29.3%119.9%89.6%101.9%22.5%-8.7%4.5K6.4M-6.9K2.4953.81N/AN/A1473664,8413,717
2008-10-28$23.07$28.0090.9%26.1%131.7%77.1%93.2%24.0%0.1%9.3K6.9M-11.5K1.4037.86N/AN/A1592224,9333,946
2008-10-29$22.84$27.00102.1%29.3%131.8%89.3%95.3%22.7%-8.0%8.9K6.7M-12.1K0.4753.36N/AN/A171805,0164,011
2008-10-30$25.18$27.0095.7%27.4%136.3%82.3%89.1%29.3%-6.9%17.1K6.3M-16.6K0.0143.08N/AN/A706105,1224,042
2008-10-31$25.21$25.0090.0%25.8%136.3%76.0%83.0%26.4%-13.6%35.7K6.1M-17.0K0.0244.46N/AN/A16845,6794,052