VWO Options History — August 2009

In August 2009, VWO traded between $34.08 and $36.63. ATM implied volatility averaged 31.0%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.8% (HV 20d: 28.1%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2009-08-31: Highest Volume — 4,338 contracts
  • 2009-08-31: Largest IV spike — 9.9% change
  • 2009-08-17: Highest IV Rank — 12.9%
  • 2009-08-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.59$34.08$36.63$36.63$35.04
Max Pain$30.52$30.00$33.00$32.00$30.00
ATM IV31.0%28.9%34.8%31.3%31.7%
Expected Move9.0%8.3%10.0%9.0%9.1%
HV 20d28.1%23.3%30.7%30.7%23.3%
HV 60d30.6%28.3%33.4%33.4%28.6%
IV Rank8.3%5.2%12.9%8.8%5.2%
IV Percentile10.9%2.8%21.0%13.1%12.3%
Term Structure0.9%-0.9%2.7%0.6%1.3%
VWIV31.9%16.6%36.5%32.8%29.8%
Skew 25d6.5%3.3%9.4%3.3%7.7%
Skew 10d15.7%3.9%26.4%8.1%21.9%
Call IV 25d28.9%25.7%31.9%31.8%27.7%
Put IV 25d35.4%31.4%38.8%35.1%35.4%
Bid-Ask Spread %39.8412.3585.3419.6912.35
Gamma HHI0.150.140.150.140.15
Net GEX1.4M1.1M1.5M1.4M1.3M
Net DEX-38.8M-49.1M-27.8M-49.1M-30.2M
Net VEX-199.5K-209.2K-187.8K-198.5K-201.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.048.650.650.04
Total Volume888.1431204,3386614,338
Total OI38,293.57135,50840,15235,50839,797

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$36.63$32.0031.3%9.0%30.7%8.8%32.8%3.3%0.6%1.4M-49.1M-198.5K0.6519.69N/AN/A40026123,19012,318
2009-08-04$36.35$33.0032.1%9.2%29.1%9.8%32.6%5.1%1.0%1.4M-47.6M-200.0K0.8324.48N/AN/A16713923,47212,542
2009-08-05$36.04$33.0031.0%8.9%28.8%8.5%34.1%5.0%0.4%1.5M-45.4M-198.6K5.8449.17N/AN/A2731,59523,45312,641
2009-08-06$35.73$33.0030.9%8.9%29.3%8.4%35.3%5.8%1.8%1.4M-42.1M-209.2K1.7516.34N/AN/A9316323,56814,121
2009-08-07$35.98$30.0030.9%9.4%28.4%8.4%34.0%7.3%0.3%1.4M-44.3M-207.6K0.5813.74N/AN/A764423,61214,273
2009-08-10$35.68$30.0029.3%9.2%29.0%6.6%35.3%7.3%0.5%1.4M-41.8M-203.1K0.6512.93N/AN/A895823,65114,296
2009-08-11$35.04$30.0030.4%9.6%30.3%7.8%36.5%6.9%-0.1%1.4M-37.3M-203.3K1.0617.17N/AN/A24526023,69514,339
2009-08-12$35.43$30.0029.2%9.7%25.4%6.5%34.4%6.6%-0.2%1.4M-39.9M-203.9K0.7637.47N/AN/A1058023,67214,480
2009-08-13$36.03$30.0032.1%9.2%25.7%9.8%32.3%5.3%0.2%1.5M-44.3M-197.9K1.6482.99N/AN/A21935923,65814,510
2009-08-14$35.54$30.0032.0%9.2%26.4%9.7%31.6%3.8%-0.9%1.4M-40.1M-199.1K8.6552.53N/AN/A1421,22923,80614,856
2009-08-17$34.08$30.0034.8%10.0%29.0%12.9%35.2%6.9%0.5%1.1M-27.8M-201.5K1.1253.65N/AN/A27530823,86416,028
2009-08-18$34.64$30.0032.6%9.4%29.6%10.3%33.2%6.3%0.3%1.2M-31.7M-202.6K0.2016.70N/AN/A1292623,88516,267
2009-08-19$34.82$30.0031.9%9.1%29.6%9.5%33.5%9.4%1.3%1.3M-32.2M-200.6K0.0476.63N/AN/A8803223,76716,194
2009-08-20$35.27$30.0033.2%9.5%28.5%11.0%33.3%8.4%0.4%1.3M-34.3M-199.3K0.2475.37N/AN/A1784223,21716,159
2009-08-21$35.93$30.0029.9%8.6%29.1%7.3%31.1%8.8%2.4%1.2M-40.3M-195.7K0.3512.52N/AN/A37313223,33616,190
2009-08-24$36.00$30.0030.3%8.7%29.1%7.7%29.4%5.5%1.8%1.4M-39.0M-189.5K0.3585.34N/AN/A45515922,09815,215
2009-08-25$35.95$30.0029.9%8.6%29.0%7.3%29.0%4.6%1.6%1.5M-40.1M-187.8K0.5373.97N/AN/A1588422,25715,323
2009-08-26$35.75$30.0029.1%8.3%27.9%6.3%30.0%6.9%1.4%1.4M-36.7M-189.5K2.1833.90N/AN/A6661,45322,34115,383
2009-08-27$35.69$30.0029.0%8.3%26.4%6.2%16.6%7.7%1.7%1.4M-35.4M-201.9K0.1038.43N/AN/A2,02520122,65116,746
2009-08-28$35.69$30.0028.9%8.3%26.3%5.4%30.1%7.4%2.7%1.4M-35.9M-199.8K2.7231.29N/AN/A19954122,39816,896
2009-08-31$35.04$30.0031.7%9.1%23.3%5.2%29.8%7.7%1.3%1.3M-30.2M-201.2K0.0412.35N/AN/A4,17416422,54717,250