VWO Options History — September 2009

In September 2009, VWO traded between $34.49 and $39.01. ATM implied volatility averaged 29.1%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.5% (HV 20d: 22.6%). Max pain ranged from $30.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-09-21: Highest Volume — 6,951 contracts
  • 2009-09-02: Largest IV drop — 10.9% change
  • 2009-09-01: Highest IV Rank — 9.3%
  • 2009-09-01: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.55$34.49$39.01$34.49$38.53
Max Pain$35.57$30.00$37.00$30.00$37.00
ATM IV29.1%27.0%35.2%35.2%28.0%
Expected Move8.5%7.8%10.1%10.1%8.0%
HV 20d22.6%18.2%26.6%23.7%20.2%
HV 60d27.3%25.3%29.0%28.6%25.3%
IV Rank2.4%0.0%9.3%9.3%1.1%
IV Percentile5.3%0.0%21.8%21.8%2.4%
Term Structure1.9%0.3%3.9%0.3%2.8%
VWIV29.8%27.1%32.9%31.8%28.2%
Skew 25d7.0%2.7%9.7%8.0%7.3%
Skew 10d19.5%6.0%25.5%23.8%17.3%
Call IV 25d26.8%24.7%30.9%30.9%25.0%
Put IV 25d33.8%30.2%38.9%38.9%32.4%
Bid-Ask Spread %41.409.3585.089.3567.05
Gamma HHI0.180.110.270.180.13
Net GEX2.2M1.3M3.8M1.8M1.5M
Net DEX-49.6M-76.1M-30.0M-30.0M-40.1M
Net VEX-221.2K-255.4K-182.8K-215.4K-248.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.094.040.841.99
Total Volume1,238.2861296,951825248
Total OI46,275.42936,84553,14843,86145,410

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$34.49$30.0035.2%10.1%23.7%9.3%31.8%8.0%0.3%1.8M-30.0M-215.4K0.849.35N/AN/A44837726,62217,239
2009-09-02$34.90$30.0031.4%9.0%24.1%4.8%32.4%7.2%3.4%1.9M-32.8M-217.2K0.4012.10N/AN/A32112926,73917,548
2009-09-03$35.54$30.0028.6%8.2%25.0%1.5%29.5%7.1%3.9%2.2M-39.2M-215.9K4.0410.69N/AN/A3351,35226,94617,661
2009-09-04$36.24$36.0028.1%9.3%25.8%0.8%31.9%8.4%1.2%2.4M-46.1M-223.6K0.5130.74N/AN/A25312927,11118,851
2009-09-08$37.01$36.0028.6%9.3%26.6%1.5%31.4%8.5%0.4%2.5M-55.7M-210.5K0.6428.32N/AN/A80151127,28118,906
2009-09-09$37.09$36.0027.0%8.9%25.5%0.0%29.1%8.3%0.7%2.5M-56.7M-213.6K1.7441.18N/AN/A6091,06027,71219,387
2009-09-10$37.62$37.0028.3%8.1%25.7%1.6%32.9%8.5%2.3%2.5M-62.5M-211.8K0.6619.95N/AN/A61640828,14220,367
2009-09-11$37.50$36.0030.2%8.7%25.2%3.8%29.7%7.0%1.6%3.8M-70.0M-219.7K0.1149.01N/AN/A3904232,45820,690
2009-09-14$37.48$36.0030.8%8.8%24.6%4.5%30.1%9.7%1.0%3.1M-58.3M-207.2K1.3122.30N/AN/A30139528,66220,631
2009-09-15$37.88$36.0028.9%8.3%18.2%2.3%29.8%9.0%0.9%3.3M-62.8M-203.9K0.2234.62N/AN/A1302828,86020,993
2009-09-16$38.89$36.0027.8%8.0%19.3%0.9%28.7%7.2%1.4%3.2M-76.1M-192.4K0.1335.87N/AN/A2973928,87120,998
2009-09-17$38.55$36.0027.9%8.0%20.0%1.0%27.8%5.6%2.3%3.6M-74.5M-182.8K0.0930.51N/AN/A5425028,81320,943
2009-09-18$38.68$36.0027.8%8.0%19.8%1.0%27.1%6.9%1.7%2.9M-74.5M-188.0K0.1369.24N/AN/A5,12168128,72820,960
2009-09-21$38.32$37.0029.4%8.4%19.6%2.8%30.0%6.7%1.1%1.3M-37.0M-194.7K0.8421.18N/AN/A3,7713,18020,11816,727
2009-09-22$39.01$37.0027.3%7.8%20.3%0.4%27.2%5.3%2.1%1.5M-43.6M-244.5K1.6326.03N/AN/A53687623,80319,871
2009-09-23$38.41$37.0029.4%8.4%21.4%2.8%30.2%4.7%2.8%1.4M-40.2M-246.3K0.5370.98N/AN/A35318624,06020,051
2009-09-24$37.65$37.0029.8%8.5%22.8%3.3%31.8%5.0%1.8%1.3M-33.2M-252.1K1.0866.81N/AN/A20622324,24620,152
2009-09-25$37.93$37.0028.5%8.2%22.8%1.8%29.3%2.7%3.1%1.5M-34.3M-248.6K2.7457.21N/AN/A18450424,37720,329
2009-09-28$38.40$37.0029.1%8.4%23.0%2.5%27.7%8.1%3.3%1.5M-36.6M-255.4K0.3985.08N/AN/A1756824,38720,792
2009-09-29$38.35$37.0028.9%8.3%21.5%2.2%29.1%5.4%2.2%1.5M-36.8M-253.4K0.4081.23N/AN/A923724,51120,831
2009-09-30$38.53$37.0028.0%8.0%20.2%1.1%28.2%7.3%2.8%1.5M-40.1M-248.3K1.9967.05N/AN/A8316524,55320,857