VWO Options History — July 2009

In July 2009, VWO traded between $30.54 and $35.29. ATM implied volatility averaged 31.4%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 0.8% (HV 20d: 30.6%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.75.

Notable Days

  • 2009-07-17: Highest Volume — 2,344 contracts
  • 2009-07-15: Largest IV drop — 22.2% change
  • 2009-07-07: Highest IV Rank — 14.9%
  • 2009-07-07: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.01$30.54$35.29$32.49$35.29
Max Pain$31.05$30.00$32.00$30.00$32.00
ATM IV31.4%27.4%36.6%30.8%31.4%
Expected Move9.3%8.0%11.0%8.8%9.0%
HV 20d30.6%28.0%34.3%28.7%28.6%
HV 60d36.7%33.2%38.3%38.1%33.2%
IV Rank8.9%4.4%14.9%8.3%9.0%
IV Percentile11.8%2.4%25.0%9.5%13.9%
Term Structure2.0%0.5%3.9%3.6%2.9%
VWIV32.7%26.8%40.8%28.1%35.0%
Skew 25d7.2%4.1%10.3%7.0%6.0%
Skew 10d14.8%0.0%27.3%12.5%0.0%
Call IV 25d29.3%26.0%34.4%26.6%29.3%
Put IV 25d36.4%32.1%42.5%33.6%35.3%
Bid-Ask Spread %35.2519.7071.9025.2147.58
Gamma HHI0.180.110.590.160.14
Net GEX1.3M703.5K4.6M1.1M1.3M
Net DEX-26.3M-40.5M-11.4M-22.7M-40.5M
Net VEX-179.5K-205.0K-154.0K-155.4K-205.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0230.560.060.68
Total Volume793.7731252,344789220
Total OI32,044.72728,22935,34928,22935,349

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$32.49$30.0030.8%8.8%28.7%8.3%28.1%7.0%3.6%1.1M-22.7M-155.4K0.0625.21N/AN/A7474218,5969,633
2009-07-02$31.56$30.0031.3%9.0%29.9%8.8%31.7%7.5%3.5%970.2K-17.6M-154.0K1.3423.80N/AN/A9801,31019,2109,645
2009-07-06$31.63$31.0035.2%10.3%29.9%13.2%38.1%8.3%0.9%995.1K-16.9M-170.8K0.9230.84N/AN/A17115720,08310,946
2009-07-07$30.89$31.0036.6%11.0%30.6%14.9%40.8%8.1%0.8%772.4K-13.6M-167.5K0.2432.34N/AN/A1,12827320,18911,089
2009-07-08$30.54$31.0035.7%10.7%30.7%13.9%39.0%8.5%1.4%703.5K-11.4M-168.1K0.4128.15N/AN/A1968021,15811,292
2009-07-09$31.03$31.0033.4%10.6%31.2%11.2%36.4%7.9%0.6%891.2K-14.5M-171.2K0.0519.70N/AN/A1,0745721,24411,363
2009-07-10$30.65$31.0030.8%10.4%30.3%8.2%39.5%8.2%0.5%749.0K-12.7M-175.9K0.3329.49N/AN/A943122,17011,372
2009-07-13$30.87$31.0032.5%10.3%30.4%10.1%38.3%8.5%1.4%767.7K-13.3M-173.0K0.3131.40N/AN/A1926022,18111,339
2009-07-14$31.17$31.0035.2%10.2%28.0%13.2%33.0%7.8%1.0%905.5K-15.4M-175.1K0.1537.21N/AN/A1792622,31811,379
2009-07-15$32.79$31.0027.4%9.2%33.0%4.4%33.6%7.7%1.4%2.1M-28.0M-185.1K0.0439.99N/AN/A1,0373822,47511,395
2009-07-16$32.79$31.0031.9%9.2%32.8%9.6%33.4%10.3%1.6%2.7M-29.3M-188.3K0.5848.80N/AN/A1347823,31011,402
2009-07-17$33.14$31.0030.7%8.8%32.9%8.1%32.7%7.8%2.2%4.6M-33.3M-181.7K0.0640.30N/AN/A2,21313122,89611,167
2009-07-20$34.16$31.0028.7%8.2%34.3%5.9%27.4%6.8%2.5%986.4K-29.9M-181.1K0.0433.83N/AN/A9073819,10510,462
2009-07-21$34.12$31.0028.5%8.2%30.3%5.7%28.4%4.9%3.2%1.0M-31.1M-183.0K0.1330.07N/AN/A3824819,90610,485
2009-07-22$34.05$31.0029.0%8.3%30.5%6.3%26.8%6.3%2.2%1.1M-31.4M-184.5K0.1725.11N/AN/A1432520,22710,515
2009-07-23$34.96$31.0028.7%8.2%30.3%5.9%28.2%6.3%2.4%1.1M-36.9M-184.1K0.1030.49N/AN/A5585420,31310,529
2009-07-24$34.86$31.0028.0%8.0%29.6%5.1%28.3%6.2%3.9%1.2M-35.8M-187.4K1.5271.90N/AN/A21733020,75510,567
2009-07-27$35.09$31.0030.8%8.8%29.6%8.2%29.5%6.4%1.8%1.2M-37.9M-187.4K0.7226.81N/AN/A17612620,93410,896
2009-07-28$34.91$31.0029.8%8.5%29.8%7.1%29.4%6.9%2.9%1.2M-36.9M-187.6K0.1968.89N/AN/A1933720,95010,907
2009-07-29$34.17$32.0032.1%9.2%30.7%9.7%31.7%5.9%1.7%1.1M-33.2M-186.2K30.5625.92N/AN/A431,31421,02310,942
2009-07-30$35.08$32.0031.7%9.1%31.2%9.3%30.5%4.1%1.7%1.1M-37.4M-197.0K0.0227.71N/AN/A2,1735121,05412,213
2009-07-31$35.29$32.0031.4%9.0%28.6%9.0%35.0%6.0%2.9%1.3M-40.5M-205.0K0.6847.58N/AN/A1318923,10312,246