VWO Options History — June 2009

In June 2009, VWO traded between $30.00 and $33.89. ATM implied volatility averaged 37.7%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 3.0% (HV 20d: 34.8%). Max pain ranged from $24.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2009-06-18: Highest Volume — 6,111 contracts
  • 2009-06-08: Largest IV spike — 12.9% change
  • 2009-06-16: Highest IV Rank — 20.8%
  • 2009-06-16: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.04$30.00$33.89$33.89$31.82
Max Pain$29.68$24.00$32.00$24.00$30.00
ATM IV37.7%30.4%41.9%35.5%30.4%
Expected Move10.9%8.7%12.0%10.2%8.7%
HV 20d34.8%29.8%43.5%43.5%29.8%
HV 60d42.5%38.0%46.2%45.5%38.1%
IV Rank16.1%7.8%20.8%13.6%7.8%
IV Percentile29.0%8.3%36.9%28.6%8.3%
Term Structure0.6%-2.4%4.1%-0.1%3.6%
VWIV37.9%29.6%45.6%35.5%29.6%
Skew 25d8.2%5.0%11.3%11.3%7.5%
Skew 10d19.1%-1.4%32.3%16.9%17.8%
Call IV 25d33.9%27.5%38.5%29.2%27.5%
Put IV 25d42.1%34.4%46.2%40.5%35.0%
Bid-Ask Spread %29.8213.0962.4213.0920.79
Gamma HHI0.200.120.310.270.15
Net GEX699.5K266.6K962.2K569.2K909.6K
Net DEX-20.9M-28.7M-6.5M-27.4M-17.6M
Net VEX-80.6K-153.8K-37.4K-37.4K-150.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.026.800.140.04
Total Volume1,428.2731766,1112561,010
Total OI19,651.18213,01829,60013,01827,294

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$33.89$24.0035.5%10.2%43.5%13.6%35.5%11.3%-0.1%569.2K-27.4M-37.4K0.1413.09N/AN/A2253110,5552,463
2009-06-02$33.40$24.0037.2%10.7%38.9%15.6%37.4%8.3%0.7%619.5K-26.4M-38.9K0.6317.57N/AN/A19712410,6872,487
2009-06-03$32.34$24.0041.3%11.8%40.6%20.1%44.4%9.6%0.3%663.4K-22.7M-40.9K0.2517.02N/AN/A2606610,8462,586
2009-06-04$32.85$24.0038.1%10.9%40.4%16.5%35.0%10.3%0.3%658.6K-24.7M-40.8K0.1918.64N/AN/A3506710,9952,652
2009-06-05$32.90$31.0036.5%11.2%38.6%14.7%37.9%7.9%-0.6%735.0K-25.3M-41.0K0.5441.63N/AN/A1146211,2892,719
2009-06-08$32.42$32.0041.2%11.7%37.4%20.0%45.6%8.0%-0.1%750.6K-23.8M-40.8K3.1937.76N/AN/A9430011,3812,769
2009-06-09$32.45$32.0040.0%11.5%36.1%18.7%38.2%9.2%-0.2%760.6K-23.8M-40.9K0.0234.38N/AN/A8411911,4673,049
2009-06-10$32.76$32.0035.9%11.2%36.2%14.1%40.4%9.5%-0.1%849.7K-26.0M-45.3K5.3135.20N/AN/A2311,22612,2933,066
2009-06-11$33.37$32.0037.7%10.8%33.3%16.1%36.1%8.0%1.7%824.7K-28.7M-50.2K0.0332.56N/AN/A1,7045112,4464,263
2009-06-12$32.97$32.0038.1%10.9%33.8%16.6%42.1%9.3%0.4%962.2K-27.7M-55.4K2.8362.42N/AN/A4613013,4354,296
2009-06-15$31.78$32.0041.4%11.9%36.8%20.3%41.7%8.5%-2.3%905.3K-21.9M-52.5K2.4746.77N/AN/A8642,13713,4514,394
2009-06-16$31.36$32.0041.9%12.0%30.7%20.8%40.3%8.5%-2.4%703.7K-20.2M-64.0K0.0657.03N/AN/A1,99911014,1206,438
2009-06-17$31.12$32.0041.5%11.9%30.7%20.4%43.8%7.7%-0.8%716.1K-21.1M-74.9K0.1038.62N/AN/A2,73926715,5816,548
2009-06-18$31.06$30.0041.2%11.8%30.7%20.0%38.5%7.2%-0.8%541.5K-20.5M-79.1K0.7231.09N/AN/A3,5472,56417,4806,741
2009-06-19$31.19$30.0039.2%11.2%30.1%17.7%38.6%7.3%-0.6%812.7K-23.2M-111.7K0.0533.55N/AN/A1,1705620,7028,898
2009-06-22$30.00$30.0041.1%11.8%33.0%19.9%39.5%5.0%0.8%304.5K-7.4M-107.4K6.8024.36N/AN/A3122,12212,6327,444
2009-06-23$30.19$30.0039.6%11.4%32.9%18.3%39.5%8.0%1.7%266.6K-6.5M-117.2K0.0518.42N/AN/A2,22812012,8109,323
2009-06-24$31.05$30.0035.8%10.3%34.4%13.9%33.5%7.1%2.5%464.9K-11.5M-137.3K0.1424.97N/AN/A3064214,9699,397
2009-06-25$31.82$30.0032.7%9.4%33.8%10.4%33.8%7.6%2.9%643.3K-14.9M-140.7K0.0317.16N/AN/A2,5487815,2149,417
2009-06-26$31.99$30.0031.9%9.1%33.2%9.5%31.8%7.4%3.1%820.4K-18.4M-152.2K0.4119.30N/AN/A53121617,1229,476
2009-06-29$32.19$30.0031.9%9.2%30.0%9.6%31.2%6.4%4.1%906.8K-20.1M-153.8K0.0813.79N/AN/A2952317,5259,606
2009-06-30$31.82$30.0030.4%8.7%29.8%7.8%29.6%7.5%3.6%909.6K-17.6M-150.7K0.0420.79N/AN/A9713917,6939,601