VWO Options History — March 2009

In March 2009, VWO traded between $19.41 and $25.00. ATM implied volatility averaged 52.1%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 5.7% (HV 20d: 57.9%). Max pain ranged from $21.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-03-20: Highest Volume — 999 contracts
  • 2009-03-04: Largest IV drop — 14.2% change
  • 2009-03-03: Highest IV Rank — 44.4%
  • 2009-03-03: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.26$19.41$25.00$19.98$23.56
Max Pain$21.95$21.00$25.00$25.00$22.00
ATM IV52.1%43.6%61.0%60.5%49.9%
Expected Move14.9%12.5%17.5%17.3%14.3%
HV 20d57.9%52.3%63.5%52.3%58.4%
HV 60d55.1%53.4%57.2%54.0%56.3%
IV Rank34.7%25.4%44.4%43.8%32.3%
IV Percentile62.1%49.6%77.0%77.0%56.3%
Term Structure-1.2%-4.0%3.2%-3.6%0.8%
VWIV49.6%41.3%70.3%70.3%47.9%
Skew 25d12.6%8.2%17.0%14.5%8.2%
Skew 10d23.5%9.2%41.4%10.1%41.4%
Call IV 25d46.3%36.0%55.8%55.8%47.5%
Put IV 25d58.8%51.3%70.2%70.2%55.7%
Bid-Ask Spread %51.9621.1479.7549.7633.80
Gamma HHI0.180.140.300.140.17
Net GEX105.9K11.7K197.6K15.7K183.7K
Net DEX-826.3K-5.9M3.0M3.0M-4.3M
Net VEX-16.6K-24.6K-10.4K-10.4K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.019.159.150.11
Total Volume257.45568999264181
Total OI7,782.1365,0039,4087,8876,401

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$19.98$25.0060.5%17.3%52.3%43.8%70.3%14.5%-3.6%15.7K3.0M-10.4K9.1549.76N/AN/A262385,1082,779
2009-03-03$19.41$25.0061.0%17.5%53.1%44.4%49.8%15.7%-3.1%11.7K3.0M-10.9K1.3231.75N/AN/A31415,1152,925
2009-03-04$20.73$25.0052.4%15.0%57.6%35.0%48.4%14.1%1.0%29.0K2.3M-12.8K0.2851.73N/AN/A172485,1362,926
2009-03-05$19.82$25.0059.2%17.0%59.3%42.5%51.6%15.6%-3.3%24.0K2.6M-11.9K0.0955.92N/AN/A10095,2812,922
2009-03-06$20.10$21.0058.5%16.2%59.0%41.6%57.1%9.2%-3.8%26.3K2.5M-11.9K2.8521.14N/AN/A461315,3262,920
2009-03-09$19.75$21.0060.6%16.4%55.7%43.9%49.0%11.2%-2.9%22.6K2.6M-11.4K0.0126.62N/AN/A23735,3502,968
2009-03-10$21.33$21.0055.6%15.8%63.5%38.6%50.6%12.6%-2.2%62.5K1.5M-13.8K0.1921.25N/AN/A188355,5302,968
2009-03-11$21.27$21.0055.6%16.0%60.6%38.5%54.2%15.5%-4.0%77.0K1.2M-14.1K0.1952.10N/AN/A192365,6912,969
2009-03-12$21.99$21.0052.0%14.9%61.3%34.5%46.3%16.7%-3.3%98.0K553.7K-15.3K0.0554.60N/AN/A17785,8312,991
2009-03-13$22.13$21.0051.1%14.6%61.4%33.6%47.8%17.0%-1.6%108.7K375.4K-15.5K0.1053.91N/AN/A6265,9332,991
2009-03-16$22.22$21.0052.2%15.0%61.3%34.7%48.9%10.2%-1.8%110.3K168.5K-15.1K0.2957.79N/AN/A126375,9782,991
2009-03-17$22.73$21.0048.3%13.8%53.9%30.5%47.8%15.0%-0.2%134.4K-504.2K-15.2K0.2864.26N/AN/A86246,0593,008
2009-03-18$23.22$21.0050.6%14.5%54.2%33.1%49.8%11.2%-2.9%149.3K-1.4M-15.5K0.2166.19N/AN/A201436,1342,920
2009-03-19$23.06$21.0049.8%14.3%54.3%32.1%47.6%9.8%-3.4%130.9K-1.4M-16.3K0.0868.17N/AN/A239186,2862,960
2009-03-20$22.76$21.0049.9%14.3%53.7%32.3%48.3%11.4%-2.2%69.7K-1.3M-16.1K0.0641.00N/AN/A940596,4472,961
2009-03-23$24.76$21.0043.6%12.5%59.3%25.4%47.0%10.5%3.2%148.0K-4.8M-20.0K0.1066.91N/AN/A727754,090913
2009-03-24$24.06$21.0047.8%13.7%58.7%30.0%46.8%8.6%-0.4%170.6K-4.6M-21.9K0.3671.53N/AN/A3981434,626967
2009-03-25$24.44$22.0046.5%13.3%58.2%28.6%41.3%11.5%2.4%187.3K-5.1M-23.3K0.0479.75N/AN/A21594,9351,084
2009-03-26$25.00$22.0043.9%12.6%58.0%25.8%45.0%15.4%2.5%196.4K-5.9M-24.6K0.1748.39N/AN/A75135,0831,091
2009-03-27$24.30$22.0046.2%13.2%59.5%28.2%44.0%11.8%1.7%197.6K-5.2M-24.2K1.7058.75N/AN/A53905,1451,100
2009-03-30$23.10$22.0051.8%14.8%59.8%34.3%50.9%11.1%-0.1%176.6K-3.6M-22.1K0.8867.74N/AN/A67595,1781,190
2009-03-31$23.56$22.0049.9%14.3%58.4%32.3%47.9%8.2%0.8%183.7K-4.3M-23.2K0.1133.80N/AN/A163185,1631,238