VWO Options History — November 2008

In November 2008, VWO traded between $18.60 and $27.45. ATM implied volatility averaged 83.2%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded below realized volatility by 46.5% (HV 20d: 129.7%). Max pain ranged from $22.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.40.

Notable Days

  • 2008-11-24: Highest Volume — 2,083 contracts
  • 2008-11-04: Largest IV drop — 14.1% change
  • 2008-11-20: Highest IV Rank — 85.8%
  • 2008-11-20: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.98$18.60$27.45$25.24$23.03
Max Pain$26.58$22.00$30.00$25.00$22.00
ATM IV83.2%71.3%98.9%83.0%79.4%
Expected Move23.5%20.3%28.3%23.8%22.8%
HV 20d129.7%117.3%145.5%133.2%117.3%
HV 60d106.7%95.2%115.3%95.2%115.2%
IV Rank68.7%55.6%85.8%68.5%64.5%
IV Percentile91.4%85.3%96.4%92.9%86.9%
Term Structure-10.6%-20.3%-0.5%-7.3%-6.3%
VWIV77.3%52.0%91.3%79.6%78.3%
Skew 25d20.0%16.0%24.8%24.8%19.5%
Skew 10d47.6%28.7%69.1%42.0%47.6%
Call IV 25d72.3%60.5%88.7%71.6%67.5%
Put IV 25d92.4%80.6%109.2%96.4%87.0%
Bid-Ask Spread %42.8121.7473.5840.8630.55
Gamma HHI0.150.100.250.120.25
Net GEX56.9K12.5K152.5K45.8K152.5K
Net DEX5.3M1.7M6.4M5.9M1.8M
Net VEX-13.9K-19.8K-7.9K-16.4K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.070.910.070.53
Total Volume422.421602,083209171
Total OI10,703.0539,78312,4699,88212,469

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$25.24$25.0083.0%23.8%133.2%68.5%79.6%24.8%-7.3%45.8K5.9M-16.4K0.0740.86N/AN/A196135,8344,048
2008-11-04$27.45$25.0071.3%20.4%134.6%55.6%69.1%20.1%-4.2%67.4K5.1M-19.0K0.3345.34N/AN/A3131046,0084,051
2008-11-05$24.25$25.0078.5%22.5%141.8%63.5%83.3%22.7%-5.4%53.5K5.7M-14.9K0.9150.96N/AN/A47436,2113,897
2008-11-06$22.90$25.0085.5%24.5%142.4%71.2%52.0%16.0%-4.5%36.9K6.3M-11.7K0.6040.33N/AN/A87526,2463,930
2008-11-07$24.87$30.0076.2%20.3%145.5%61.0%74.8%18.1%-9.1%56.3K5.7M-15.2K0.4764.51N/AN/A154736,2323,960
2008-11-10$24.96$30.0080.2%21.0%128.2%65.3%74.6%18.6%-11.1%59.6K5.7M-15.7K0.7329.42N/AN/A101746,3504,021
2008-11-11$23.65$30.0085.0%23.4%129.1%70.6%69.9%22.8%-20.3%46.8K6.0M-13.7K0.2228.43N/AN/A4931086,3704,056
2008-11-12$21.60$30.0090.7%24.3%119.4%76.8%72.1%20.1%-19.9%34.9K6.4M-10.7K0.2528.66N/AN/A232576,5794,136
2008-11-13$24.47$30.0083.3%23.9%127.8%68.8%74.4%21.1%-16.9%71.3K5.4M-15.8K0.4849.79N/AN/A152736,7974,123
2008-11-14$22.47$30.0079.6%22.8%131.2%64.8%83.8%21.1%-10.9%43.8K6.3M-11.6K0.7669.64N/AN/A38296,6154,146
2008-11-17$22.12$29.0084.8%24.3%129.2%70.4%79.0%17.1%-17.6%38.3K6.1M-11.0K0.2673.58N/AN/A50136,6343,984
2008-11-18$21.82$29.0085.6%24.5%126.6%71.3%86.6%22.2%-15.4%33.6K6.2M-10.1K0.6257.69N/AN/A37236,6523,996
2008-11-19$20.17$29.0091.7%26.3%124.6%78.0%83.4%17.5%-17.6%16.7K6.2M-8.3K0.2525.23N/AN/A311776,6843,984
2008-11-20$18.60$25.0098.9%28.3%127.3%85.8%91.3%20.4%-15.8%12.5K5.8M-7.9K0.5259.40N/AN/A6023106,9323,966
2008-11-21$21.00$23.0088.6%25.4%131.3%74.6%81.1%23.9%-11.1%26.2K5.9M-12.0K0.1226.32N/AN/A323397,3434,209
2008-11-24$22.47$23.0081.0%23.2%132.5%66.3%77.8%19.4%-4.8%49.1K4.5M-13.5K0.0743.16N/AN/A1,9541296,1613,622
2008-11-25$22.03$23.0082.8%23.7%120.2%68.2%80.8%16.8%-1.9%96.5K3.4M-16.4K0.1021.74N/AN/A821857,4883,701
2008-11-26$23.53$22.0075.3%21.6%122.5%60.0%76.5%18.3%-0.5%140.1K1.7M-19.7K0.3727.72N/AN/A4691738,1633,760
2008-11-28$23.03$22.0079.4%22.8%117.3%64.5%78.3%19.5%-6.3%152.5K1.8M-19.8K0.5330.55N/AN/A112598,5393,930