VWO Options History — April 2009

In April 2009, VWO traded between $24.42 and $27.67. ATM implied volatility averaged 44.1%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 4.8% (HV 20d: 48.9%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2009-04-09: Highest Volume — 678 contracts
  • 2009-04-08: Largest IV drop — 13.2% change
  • 2009-04-01: Highest IV Rank — 31.2%
  • 2009-04-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.38$24.42$27.67$24.42$27.67
Max Pain$24.24$22.00$25.00$22.00$25.00
ATM IV44.1%38.7%49.0%49.0%38.7%
Expected Move12.8%11.1%14.0%14.0%11.1%
HV 20d48.9%40.8%55.5%55.5%42.5%
HV 60d54.2%51.3%57.7%56.7%52.0%
IV Rank25.9%20.1%31.2%31.2%20.1%
IV Percentile46.4%37.7%53.6%53.6%37.7%
Term Structure0.8%-1.4%2.8%-0.2%2.8%
VWIV44.3%38.2%52.1%43.0%38.2%
Skew 25d9.4%6.9%11.0%11.0%6.9%
Skew 10d20.0%14.1%31.4%31.4%14.1%
Call IV 25d40.2%37.0%43.0%42.2%37.0%
Put IV 25d49.6%43.8%53.8%53.1%43.8%
Bid-Ask Spread %31.4320.7655.3437.0528.65
Gamma HHI0.200.160.420.170.20
Net GEX280.9K205.0K458.8K205.0K318.5K
Net DEX-8.3M-11.2M-5.4M-5.4M-9.8M
Net VEX-28.7K-34.8K-24.2K-24.2K-34.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.012.410.020.73
Total Volume297.429129678184247
Total OI7,850.6676,5319,0226,5319,022

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$24.42$22.0049.0%14.0%55.5%31.2%43.0%11.0%-0.2%205.0K-5.4M-24.2K0.0237.05N/AN/A18135,2771,254
2009-04-02$25.80$22.0044.3%12.7%54.1%26.1%44.2%7.8%2.7%214.9K-7.4M-25.2K0.0420.76N/AN/A600215,3851,257
2009-04-03$26.10$24.0043.8%13.3%54.1%25.6%43.6%10.6%-0.9%258.2K-8.3M-26.7K0.0828.38N/AN/A163135,9181,276
2009-04-06$25.76$24.0044.4%13.6%53.8%26.3%52.1%10.9%-1.4%269.4K-8.1M-26.2K0.7434.29N/AN/A74556,0341,286
2009-04-07$25.23$24.0045.7%13.5%49.4%27.7%47.5%9.8%0.6%273.4K-7.2M-25.9K0.6534.73N/AN/A82536,0841,341
2009-04-08$25.65$24.0039.6%12.9%49.3%21.1%43.9%10.7%0.8%290.1K-7.9M-26.1K0.3831.75N/AN/A176666,1271,388
2009-04-09$26.77$24.0043.0%12.3%50.1%24.8%41.3%10.5%1.1%283.9K-9.9M-26.1K0.0130.06N/AN/A66996,1991,423
2009-04-13$26.96$24.0044.0%12.6%50.0%25.9%48.2%10.4%0.7%307.9K-10.8M-27.6K0.0330.95N/AN/A14756,7571,431
2009-04-14$26.54$24.0044.6%12.8%50.8%26.5%42.7%9.4%1.0%322.7K-10.1M-27.8K0.3032.43N/AN/A217656,8141,436
2009-04-15$26.89$24.0046.7%13.4%50.6%28.7%50.0%11.0%-0.3%316.7K-10.8M-28.1K0.0632.58N/AN/A338196,9101,489
2009-04-16$27.27$24.0044.6%12.8%50.4%26.5%46.1%10.2%-0.2%307.4K-11.2M-27.5K0.1923.54N/AN/A124246,7531,421
2009-04-17$27.01$24.0041.6%11.9%50.5%23.2%42.6%8.4%2.3%458.8K-10.9M-27.2K0.0827.01N/AN/A389326,8241,425
2009-04-20$25.71$25.0044.8%12.8%54.1%26.7%44.5%8.3%0.6%247.7K-6.7M-27.4K1.7029.21N/AN/A1853146,0461,233
2009-04-21$26.36$25.0046.0%13.2%46.2%28.0%44.4%10.1%0.0%243.9K-6.9M-28.4K1.0524.73N/AN/A1531605,8701,475
2009-04-22$26.15$25.0045.4%13.0%44.9%27.3%44.8%8.9%0.8%247.3K-6.7M-29.0K2.4131.23N/AN/A1804346,0001,515
2009-04-23$26.65$25.0042.8%12.3%45.0%24.5%40.9%9.7%1.0%250.1K-6.9M-32.4K0.0532.16N/AN/A12966,1731,907
2009-04-24$27.14$25.0042.8%12.3%44.8%24.5%44.1%7.3%1.5%268.9K-8.0M-33.0K1.0027.58N/AN/A1041046,3001,911
2009-04-27$26.23$25.0045.6%13.1%45.4%27.5%47.3%8.7%2.0%258.2K-6.5M-32.1K1.6955.34N/AN/A941596,4012,008
2009-04-28$26.09$25.0044.8%12.8%40.8%26.7%43.6%7.8%0.8%260.9K-6.3M-32.4K0.0635.84N/AN/A267156,4922,125
2009-04-29$27.50$25.0043.0%12.3%43.8%24.7%38.2%8.2%0.9%294.2K-9.2M-34.5K0.0131.78N/AN/A16826,7432,134
2009-04-30$27.67$25.0038.7%11.1%42.5%20.1%38.2%6.9%2.8%318.5K-9.8M-34.8K0.7328.65N/AN/A1431046,8882,134