VWO Options History — January 2009

In January 2009, VWO traded between $20.50 and $25.68. ATM implied volatility averaged 52.9%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 0.4% (HV 20d: 52.4%). Max pain ranged from $23.00 to $28.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2009-01-09: Highest Volume — 1,341 contracts
  • 2009-01-15: Largest IV spike — 40.6% change
  • 2009-01-20: Highest IV Rank — 50.1%
  • 2009-01-20: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.61$20.50$25.68$24.83$21.47
Max Pain$23.50$23.00$28.00$28.00$23.00
ATM IV52.9%43.8%66.2%46.3%53.9%
Expected Move15.7%13.3%19.0%13.3%15.4%
HV 20d52.4%44.0%60.2%54.0%60.2%
HV 60d94.1%82.7%107.2%107.0%83.4%
IV Rank35.5%25.6%50.1%28.3%36.6%
IV Percentile70.6%59.9%79.0%66.3%71.8%
Term Structure2.8%-1.0%6.2%5.0%4.3%
VWIV53.1%40.9%63.5%46.3%49.2%
Skew 25d13.9%10.5%16.6%10.5%12.8%
Skew 10d32.2%20.5%44.2%22.5%20.5%
Call IV 25d47.6%40.8%56.3%40.8%46.0%
Put IV 25d61.5%51.3%72.2%51.3%58.9%
Bid-Ask Spread %39.0927.9887.0187.0137.42
Gamma HHI0.220.110.300.110.21
Net GEX-51.2K-133.8K15.1K-48.3K-39.2K
Net DEX5.1M2.8M8.2M4.2M4.5M
Net VEX-17.1K-18.8K-14.8K-17.5K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.034.520.100.31
Total Volume389.85521,34151576
Total OI9,517.658,17611,4108,5219,351

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$24.83$28.0046.3%13.3%54.0%28.3%46.3%10.5%5.0%-48.3K4.2M-17.5K0.1087.01N/AN/A467483,5854,936
2009-01-05$25.23$24.0048.6%14.8%51.2%30.8%49.5%14.2%2.6%-20.8K3.6M-18.0K0.0345.75N/AN/A423113,9134,978
2009-01-06$25.68$24.0044.6%13.8%49.2%26.5%40.9%14.3%4.2%4.4K2.8M-18.8K0.1545.35N/AN/A292434,2054,971
2009-01-07$24.32$24.0051.8%15.6%51.9%34.4%56.9%13.1%1.3%8.6K4.2M-18.0K3.8344.96N/AN/A301154,4474,951
2009-01-08$24.17$24.0051.0%15.2%51.9%33.5%51.1%14.2%2.6%11.6K4.5M-17.8K0.5749.99N/AN/A3962244,4745,027
2009-01-09$23.58$24.0049.5%15.0%47.8%31.8%49.9%13.9%0.5%15.1K5.3M-16.9K4.5234.86N/AN/A2431,0984,8455,169
2009-01-12$22.49$23.0057.7%16.6%50.1%40.8%57.0%13.4%-1.0%-84.5K7.4M-17.3K3.4739.48N/AN/A1545345,0046,020
2009-01-13$22.64$23.0044.7%15.6%50.0%26.6%54.5%14.2%0.5%-123.4K7.0M-18.4K2.0438.07N/AN/A761555,0516,153
2009-01-14$21.52$23.0043.8%17.4%52.7%25.6%58.2%14.9%0.2%-125.0K8.2M-16.6K0.3929.72N/AN/A6892675,0766,268
2009-01-15$21.81$23.0061.6%17.7%44.0%45.0%63.0%14.9%1.1%-126.7K7.7M-18.1K1.4932.39N/AN/A1512254,9306,351
2009-01-16$22.12$23.0057.8%16.6%44.3%40.9%57.4%12.5%2.3%-133.8K7.4M-18.2K0.6328.64N/AN/A57365,0226,388
2009-01-20$20.50$23.0066.2%19.0%50.5%50.1%61.8%16.0%0.4%-37.4K4.9M-14.8K1.2733.14N/AN/A1201523,9434,233
2009-01-21$21.64$23.0058.0%16.6%55.4%41.1%57.9%16.2%3.1%-46.0K4.3M-16.9K0.6734.46N/AN/A1541033,9984,337
2009-01-22$21.14$23.0060.1%17.2%54.8%43.4%63.5%15.6%4.3%-46.7K4.8M-16.2K1.2627.98N/AN/A23294,1064,393
2009-01-23$21.19$23.0057.3%16.4%54.8%40.4%49.4%16.6%4.4%-52.6K4.9M-15.4K0.7329.06N/AN/A90664,1204,420
2009-01-26$21.51$23.0053.1%15.2%53.9%35.8%51.4%13.8%5.2%-55.9K4.8M-15.4K0.1938.77N/AN/A141274,1784,477
2009-01-27$21.69$23.0051.3%14.7%54.1%33.8%47.3%11.8%6.2%-57.3K4.5M-16.1K0.1234.07N/AN/A437514,2564,504
2009-01-28$22.93$23.0049.8%14.3%57.9%32.2%48.1%12.0%2.9%-33.8K3.3M-17.6K0.1530.99N/AN/A446654,4774,513
2009-01-29$21.75$23.0050.1%14.4%60.1%32.5%48.8%12.3%4.9%-33.1K4.2M-16.9K4.1939.67N/AN/A16674,7614,522
2009-01-30$21.47$23.0053.9%15.4%60.2%36.6%49.2%12.8%4.3%-39.2K4.5M-16.2K0.3137.42N/AN/A58184,7724,579