VWO Options History — May 2009

In May 2009, VWO traded between $28.17 and $32.62. ATM implied volatility averaged 38.3%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 6.7% (HV 20d: 45.0%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2009-05-21: Highest Volume — 2,126 contracts
  • 2009-05-11: Largest IV spike — 20.3% change
  • 2009-05-11: Highest IV Rank — 26.3%
  • 2009-05-12: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.42$28.17$32.62$28.17$32.62
Max Pain$24.05$24.00$25.00$25.00$24.00
ATM IV38.3%32.9%44.4%37.8%32.9%
Expected Move11.0%9.4%12.3%10.8%9.4%
HV 20d45.0%38.8%47.4%38.8%42.3%
HV 60d50.6%46.4%53.4%52.0%46.4%
IV Rank18.3%10.6%26.3%19.1%10.6%
IV Percentile34.7%23.8%44.8%36.9%23.8%
Term Structure0.6%-2.0%3.2%3.2%2.5%
VWIV38.6%33.9%48.4%37.6%34.5%
Skew 25d8.3%6.5%10.2%6.9%8.7%
Skew 10d19.7%11.6%34.4%11.6%18.1%
Call IV 25d34.9%31.1%40.1%33.9%31.1%
Put IV 25d43.2%39.0%47.1%40.8%39.8%
Bid-Ask Spread %30.6115.7369.8222.6130.07
Gamma HHI0.180.150.250.200.25
Net GEX433.3K296.3K653.4K330.5K653.4K
Net DEX-16.6M-23.3M-10.7M-10.7M-23.3M
Net VEX-37.7K-43.6K-32.8K-34.9K-40.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.021.690.160.19
Total Volume394.41082,126136414
Total OI11,015.559,22812,9009,22812,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$28.17$25.0037.8%10.8%38.8%19.1%37.6%6.9%3.2%330.5K-10.7M-34.9K0.1622.61N/AN/A117196,9952,233
2009-05-04$30.06$24.0037.9%11.2%44.3%19.2%41.5%8.7%0.9%296.3K-14.4M-32.8K0.1025.69N/AN/A562547,0952,252
2009-05-05$29.66$24.0036.8%11.0%44.3%17.9%37.7%9.7%0.7%345.7K-14.4M-35.8K0.1528.23N/AN/A173267,5802,278
2009-05-06$30.29$24.0037.9%10.9%43.3%19.1%35.4%8.3%1.6%344.9K-15.9M-35.0K0.1225.12N/AN/A230287,7302,293
2009-05-07$29.46$24.0039.5%12.0%45.1%20.9%41.1%9.4%-1.2%379.6K-14.5M-36.6K0.3424.77N/AN/A4311477,8952,292
2009-05-08$30.57$24.0036.9%11.3%44.6%18.1%40.4%9.0%-0.1%352.4K-17.2M-37.1K0.2624.43N/AN/A4351128,2212,415
2009-05-11$29.88$24.0044.4%12.0%45.8%26.3%43.5%8.3%-0.9%396.9K-16.2M-38.7K1.0841.77N/AN/A1101198,5712,503
2009-05-12$30.04$24.0043.7%12.3%45.1%25.5%48.4%10.2%-2.0%381.9K-16.6M-38.1K1.6969.82N/AN/A54918,6022,573
2009-05-13$29.00$24.0042.9%12.1%47.4%24.6%42.3%6.5%0.6%438.3K-14.3M-38.4K0.1731.61N/AN/A254428,6182,619
2009-05-14$29.43$24.0042.5%12.2%47.4%24.2%42.3%8.2%-1.0%421.8K-15.1M-38.3K0.2534.47N/AN/A152388,5812,618
2009-05-15$29.20$24.0040.7%11.7%47.3%20.0%41.3%8.4%0.7%392.1K-14.6M-37.1K0.0233.38N/AN/A28168,6622,630
2009-05-18$31.01$24.0037.3%10.7%46.9%16.2%36.3%9.2%0.1%335.3K-15.8M-35.7K0.0839.46N/AN/A537457,6882,260
2009-05-19$31.22$24.0036.3%10.4%46.6%15.0%35.2%7.4%0.5%366.0K-17.1M-36.2K0.2918.88N/AN/A129388,0672,274
2009-05-20$31.34$24.0035.7%10.2%46.2%13.8%35.0%7.0%1.6%378.3K-17.5M-36.0K0.3422.43N/AN/A90318,1712,296
2009-05-21$30.82$24.0038.0%10.9%46.9%16.4%35.1%8.3%-0.3%383.0K-16.3M-36.2K0.0426.78N/AN/A2,047798,2232,315
2009-05-22$31.13$24.0036.1%10.3%46.8%14.3%33.9%8.2%1.2%598.3K-18.7M-43.6K0.0831.15N/AN/A2391810,2282,376
2009-05-26$31.40$24.0038.9%11.1%44.2%17.4%40.6%9.9%-0.5%620.3K-19.3M-42.7K0.0644.94N/AN/A3212010,3632,389
2009-05-27$31.10$24.0036.1%10.4%44.4%14.3%35.6%6.6%1.3%610.9K-18.8M-40.9K0.2920.90N/AN/A842410,3132,409
2009-05-28$32.06$24.0034.2%9.8%42.1%12.2%33.9%6.6%2.7%639.2K-21.5M-40.3K0.1315.73N/AN/A2573410,3592,424
2009-05-29$32.62$24.0032.9%9.4%42.3%10.6%34.5%8.7%2.5%653.4K-23.3M-40.1K0.1930.07N/AN/A3476710,4442,456