VWO Options History — December 2008

In December 2008, VWO traded between $20.99 and $26.27. ATM implied volatility averaged 63.2%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 27.3% (HV 20d: 90.5%). Max pain ranged from $22.00 to $29.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2008-12-01: Highest Volume — 884 contracts
  • 2008-12-24: Largest IV spike — 16.8% change
  • 2008-12-02: Highest IV Rank — 74.1%
  • 2008-12-02: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.68$20.99$26.27$20.99$23.57
Max Pain$27.68$22.00$29.00$22.00$29.00
ATM IV63.2%44.2%88.1%87.8%49.5%
Expected Move18.1%12.7%25.3%25.2%14.2%
HV 20d90.5%51.2%123.4%121.4%51.2%
HV 60d113.9%107.3%118.1%116.5%107.3%
IV Rank46.8%26.0%74.1%73.7%31.8%
IV Percentile78.1%65.9%92.1%92.1%69.4%
Term Structure2.6%-8.7%10.7%-4.2%3.6%
VWIV61.2%46.9%87.9%87.9%49.8%
Skew 25d15.8%4.0%23.2%12.2%14.8%
Skew 10d39.2%20.8%63.3%26.6%33.2%
Call IV 25d56.7%41.2%85.1%85.1%41.2%
Put IV 25d72.6%51.2%97.3%97.3%55.9%
Bid-Ask Spread %54.7215.3080.4215.3031.34
Gamma HHI0.240.090.590.260.12
Net GEX113.4K-85.4K328.5K120.8K-46.3K
Net DEX3.2M-2.5M8.7M3.5M5.4M
Net VEX-18.9K-22.8K-15.2K-16.5K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.132.982.170.53
Total Volume377.27379884884183
Total OI12,745.7278,01416,30812,5678,355

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$20.99$22.0087.8%25.2%121.4%73.7%87.9%12.2%-4.2%120.8K3.5M-16.5K2.1715.30N/AN/A2796058,5933,974
2008-12-02$22.16$22.0088.1%25.3%123.4%74.1%81.5%16.0%-8.7%133.7K3.0M-18.8K0.3820.78N/AN/A2801058,6544,375
2008-12-03$22.45$22.0082.6%23.7%119.0%68.0%81.3%18.7%-4.9%149.5K2.8M-19.4K2.5523.58N/AN/A1513858,8094,473
2008-12-04$21.53$22.0081.2%23.3%112.0%66.4%79.4%16.4%-6.0%130.1K4.2M-18.4K1.2078.39N/AN/A1782148,9044,823
2008-12-05$22.58$28.0070.4%21.1%111.8%54.7%60.7%23.2%-2.1%167.3K3.1M-20.2K2.8535.77N/AN/A1584509,0174,861
2008-12-08$23.52$29.0070.5%20.2%108.6%54.8%62.4%21.0%0.6%188.0K1.6M-21.4K1.3848.91N/AN/A2723749,1355,194
2008-12-09$23.38$29.0072.4%20.1%108.6%56.9%61.0%19.3%-1.7%210.2K2.6M-21.4K1.8045.59N/AN/A1422569,3045,383
2008-12-10$24.82$29.0063.5%18.6%109.0%47.2%62.2%22.3%2.1%194.1K705.0K-22.8K0.9246.51N/AN/A1661529,3525,559
2008-12-11$24.34$29.0066.5%19.1%103.8%50.4%60.7%19.5%1.3%226.5K1.5M-22.1K1.1851.77N/AN/A1431699,4765,688
2008-12-12$24.57$29.0065.4%18.7%93.9%49.2%61.3%20.4%3.6%235.4K1.4M-22.2K2.9854.35N/AN/A521559,5655,854
2008-12-15$24.38$29.0067.0%19.2%88.4%50.9%63.3%19.3%2.9%291.9K1.7M-20.5K1.7656.40N/AN/A1432519,5985,994
2008-12-16$26.27$29.0059.3%17.0%91.5%42.5%60.6%14.6%3.3%92.0K-2.5M-19.9K0.6461.69N/AN/A4652979,5986,161
2008-12-17$25.60$29.0055.4%15.9%92.0%38.3%56.0%15.9%10.6%167.6K-1.1M-21.3K1.7166.36N/AN/A971669,7986,396
2008-12-18$25.11$29.0057.0%16.3%86.8%40.0%56.7%12.8%3.9%273.8K220.4K-20.0K1.3767.94N/AN/A1502069,7706,538
2008-12-19$25.04$29.0052.9%15.2%80.0%35.5%57.1%14.5%9.0%328.5K18.5K-18.5K0.2570.49N/AN/A288729,7676,473
2008-12-22$24.20$29.0050.6%14.5%71.1%33.0%52.9%14.5%8.9%-59.6K8.4M-15.6K1.3850.43N/AN/A2633632,9985,546
2008-12-23$23.89$29.0044.2%12.7%67.6%26.0%46.9%4.0%10.7%-85.4K8.3M-15.4K1.0457.60N/AN/A55573,2165,856
2008-12-24$22.99$29.0051.6%14.8%68.8%34.1%52.4%12.0%6.1%-59.9K8.7M-16.2K0.2479.75N/AN/A76183,1325,912
2008-12-26$22.97$29.0052.1%14.9%64.5%34.7%51.4%11.3%6.1%-55.9K6.2M-15.6K1.2680.42N/AN/A35443,1894,830
2008-12-29$23.06$29.0053.6%15.4%64.1%36.3%53.2%10.2%3.9%-57.6K6.1M-15.2K0.1380.18N/AN/A259333,2154,799
2008-12-30$23.59$29.0048.5%13.9%54.3%30.7%47.9%15.7%7.5%-50.6K5.6M-16.5K1.4580.30N/AN/A38553,4484,824
2008-12-31$23.57$29.0049.5%14.2%51.2%31.8%49.8%14.8%3.6%-46.3K5.4M-16.7K0.5331.34N/AN/A120633,4824,873