VWO Options History — February 2009

In February 2009, VWO traded between $20.06 and $23.67. ATM implied volatility averaged 52.4%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 3.3% (HV 20d: 55.7%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.80.

Notable Days

  • 2009-02-20: Highest Volume — 1,110 contracts
  • 2009-02-09: Largest IV spike — 24.8% change
  • 2009-02-23: Highest IV Rank — 40.5%
  • 2009-02-23: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.72$20.06$23.67$21.33$20.96
Max Pain$25.53$23.00$27.00$23.00$26.00
ATM IV52.4%42.8%57.4%57.3%53.4%
Expected Move15.2%13.5%16.5%16.4%15.3%
HV 20d55.7%49.8%62.5%56.3%49.8%
HV 60d67.6%54.4%81.5%81.5%54.4%
IV Rank35.0%24.5%40.5%40.3%36.1%
IV Percentile68.4%57.5%74.6%74.2%67.1%
Term Structure-0.5%-4.5%4.2%0.7%-2.6%
VWIV51.5%33.6%61.4%54.7%49.6%
Skew 25d14.0%10.8%17.7%13.8%12.7%
Skew 10d29.0%11.7%45.8%24.0%16.9%
Call IV 25d45.9%39.6%51.4%48.5%48.9%
Put IV 25d59.9%55.1%64.7%62.3%61.6%
Bid-Ask Spread %40.0921.4467.9739.1567.97
Gamma HHI0.220.160.270.210.17
Net GEX-20.5K-63.4K41.4K-41.9K31.7K
Net DEX3.7M1.6M6.1M4.9M2.6M
Net VEX-14.4K-19.2K-9.9K-15.1K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.033.430.550.18
Total Volume224.158291,11045112
Total OI9,258.6327,20710,2049,3837,828

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$21.33$23.0057.3%16.4%56.3%40.3%54.7%13.8%0.7%-41.9K4.9M-15.1K0.5539.15N/AN/A29164,7914,592
2009-02-03$21.94$23.0050.7%14.5%57.2%33.1%50.3%14.3%2.3%-44.9K4.4M-15.7K0.5832.93N/AN/A57334,8084,607
2009-02-04$22.16$23.0049.8%14.3%56.8%32.2%48.2%11.1%4.2%-44.4K4.1M-15.8K1.2138.54N/AN/A33404,8314,617
2009-02-05$22.58$23.0047.8%13.7%54.6%30.0%50.6%16.8%2.0%-39.1K3.5M-16.3K0.0333.44N/AN/A385134,8344,643
2009-02-06$23.67$27.0042.8%13.5%57.5%24.5%43.9%15.5%2.1%10.2K1.6M-19.2K0.8332.86N/AN/A95795,2054,641
2009-02-09$23.43$27.0053.4%15.0%57.0%36.1%52.0%12.3%-1.0%1.1K1.9M-18.3K0.1634.61N/AN/A165265,2664,618
2009-02-10$22.17$27.0053.6%15.7%57.9%36.3%54.1%14.0%-0.9%-40.3K3.9M-16.2K0.5024.93N/AN/A178895,3444,631
2009-02-11$22.69$26.0044.7%14.2%58.5%26.6%50.7%14.7%0.1%-33.6K3.3M-17.4K3.4335.16N/AN/A14485,4774,695
2009-02-12$22.64$26.0049.8%14.3%55.3%32.1%53.3%15.0%0.4%-50.4K3.5M-16.7K1.1531.95N/AN/A39455,4874,702
2009-02-13$22.77$26.0047.9%13.7%55.2%30.1%46.6%12.9%1.0%-54.2K3.1M-16.6K2.2255.15N/AN/A9205,4964,708
2009-02-17$20.98$26.0056.0%16.0%62.5%38.9%58.2%10.8%-3.2%-63.4K6.0M-11.5K1.0059.89N/AN/A37375,4974,682
2009-02-18$21.15$26.0056.1%16.1%56.2%39.0%50.6%14.8%-2.2%-63.1K6.1M-11.1K0.0837.76N/AN/A453355,5014,650
2009-02-19$21.06$26.0056.6%16.2%52.6%39.6%57.4%13.8%-4.0%-53.1K6.1M-10.6K1.3833.49N/AN/A50695,4214,619
2009-02-20$20.56$26.0053.6%15.4%52.7%36.3%54.7%13.5%-0.7%-50.6K6.0M-9.9K0.0961.55N/AN/A1,019915,4054,433
2009-02-23$20.06$26.0057.4%16.5%53.3%40.5%54.4%12.3%-4.5%29.0K2.5M-11.4K0.5266.43N/AN/A100524,6422,565
2009-02-24$21.13$26.0057.4%16.4%56.4%40.4%61.4%17.7%-1.6%36.9K2.3M-12.5K0.4021.44N/AN/A3801534,6612,603
2009-02-25$20.82$26.0053.7%15.4%56.5%36.4%54.9%14.2%0.0%41.4K2.2M-13.4K0.5429.40N/AN/A48264,9652,736
2009-02-26$20.59$26.0054.2%15.5%52.3%37.0%33.6%15.6%-1.9%38.8K2.3M-12.6K0.4325.12N/AN/A129554,9722,741
2009-02-27$20.96$26.0053.4%15.3%49.8%36.1%49.6%12.7%-2.6%31.7K2.6M-12.3K0.1867.97N/AN/A95175,0362,792