VWO Options History — October 2009

In October 2009, VWO traded between $37.56 and $41.36. ATM implied volatility averaged 29.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.4% (HV 20d: 23.6%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-10-16: Highest Volume — 6,360 contracts
  • 2009-10-30: Largest IV spike — 14.2% change
  • 2009-10-30: Highest IV Rank — 16.4%
  • 2009-10-30: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.67$37.56$41.36$37.56$37.60
Max Pain$38.27$37.00$39.00$37.00$39.00
ATM IV29.0%24.3%36.5%31.6%36.5%
Expected Move8.7%7.5%10.5%9.1%10.5%
HV 20d23.6%21.4%34.7%22.8%34.7%
HV 60d24.5%22.7%27.4%25.8%27.4%
IV Rank5.1%0.0%16.4%5.4%16.4%
IV Percentile11.0%0.0%38.9%18.7%38.9%
Term Structure1.5%-1.4%3.4%1.0%2.1%
VWIV30.3%26.4%35.7%29.7%35.1%
Skew 25d5.9%2.6%8.3%2.6%8.3%
Skew 10d9.1%-8.4%22.6%4.6%22.6%
Call IV 25d27.7%24.4%33.7%29.6%33.7%
Put IV 25d33.6%30.1%41.9%32.2%41.9%
Bid-Ask Spread %41.8221.4374.5374.5346.46
Gamma HHI0.170.080.340.120.08
Net GEX1.6M779.1K2.2M1.4M779.1K
Net DEX-49.1M-70.0M-24.6M-31.5M-24.6M
Net VEX-227.6K-249.6K-201.8K-249.2K-234.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.014.860.132.29
Total Volume890.0911616,360806953
Total OI46,629.22745,21648,27745,52048,277

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$37.56$37.0031.6%9.1%22.8%5.4%29.7%2.6%1.0%1.4M-31.5M-249.2K0.1374.53N/AN/A7119524,59820,922
2009-10-02$37.65$37.0030.8%8.8%22.1%4.5%32.3%8.0%1.1%1.4M-29.4M-249.6K2.7366.96N/AN/A9726524,75120,937
2009-10-05$38.48$38.0030.0%9.4%22.4%3.5%32.2%7.7%-0.1%1.6M-37.5M-248.5K0.3027.97N/AN/A57517124,76821,175
2009-10-06$39.11$38.0027.6%8.9%21.9%0.8%29.5%4.7%0.8%1.8M-45.2M-242.5K0.2423.59N/AN/A69816825,03821,188
2009-10-07$39.02$38.0026.7%9.0%22.0%0.0%31.5%6.2%1.1%1.8M-44.6M-240.3K0.1821.43N/AN/A3115525,32021,277
2009-10-08$39.62$38.0025.8%8.4%22.1%0.0%33.9%7.9%0.9%1.9M-51.0M-232.9K0.3421.81N/AN/A31810825,51321,290
2009-10-09$39.83$38.0024.3%8.2%22.0%0.0%28.8%5.4%1.8%2.2M-53.5M-229.9K0.5226.30N/AN/A1246425,55421,292
2009-10-12$40.07$38.0027.1%8.3%22.0%3.3%30.0%5.7%1.0%2.1M-57.6M-217.2K0.3537.74N/AN/A1194225,58121,286
2009-10-13$40.08$38.0028.8%8.5%21.8%5.5%31.3%5.5%1.9%2.1M-56.6M-220.6K1.0037.00N/AN/A23823825,58321,298
2009-10-14$41.36$38.0025.2%8.4%22.6%1.1%29.1%5.6%1.0%1.5M-69.8M-205.4K0.6335.90N/AN/A44228025,67321,359
2009-10-15$41.18$38.0028.4%8.1%22.4%5.0%28.7%5.5%2.4%1.8M-70.0M-201.8K0.5539.15N/AN/A31917625,80121,295
2009-10-16$40.58$38.0028.4%8.1%23.3%4.9%26.4%6.6%0.4%2.1M-64.8M-211.9K0.0146.96N/AN/A6,3174325,91521,412
2009-10-19$41.33$38.0027.2%7.8%23.5%3.5%27.1%5.6%2.5%1.4M-59.9M-219.8K1.3041.03N/AN/A45359124,70120,515
2009-10-20$40.69$38.0027.6%7.9%23.8%4.0%28.2%5.1%2.8%1.4M-54.3M-225.5K1.1047.81N/AN/A42947124,79620,960
2009-10-21$40.55$39.0027.2%7.8%23.0%3.5%27.6%4.7%2.7%1.4M-54.6M-219.8K0.2646.72N/AN/A3609524,98221,137
2009-10-22$40.87$39.0026.3%7.5%21.4%2.4%28.1%6.7%3.4%1.5M-54.6M-220.7K0.5247.59N/AN/A29615524,97621,211
2009-10-23$40.48$39.0028.4%8.2%21.9%5.0%27.5%3.4%2.7%1.4M-52.6M-219.5K0.2651.75N/AN/A2155624,94321,251
2009-10-26$40.11$39.0030.4%8.7%22.1%7.4%30.2%4.7%1.0%1.4M-49.2M-218.5K0.6454.14N/AN/A28718424,92421,282
2009-10-27$39.45$39.0032.3%9.3%23.1%10.3%30.5%6.6%1.5%1.3M-45.9M-234.6K0.9450.52N/AN/A33131025,91622,000
2009-10-28$37.75$39.0036.0%10.3%28.1%15.1%35.7%7.2%-1.4%1.1M-31.4M-235.7K1.0842.98N/AN/A18920426,04322,163
2009-10-29$39.35$39.0032.0%9.2%30.3%9.9%33.0%6.5%1.3%1.3M-40.6M-227.7K4.8631.67N/AN/A3461,68325,33321,607
2009-10-30$37.60$39.0036.5%10.5%34.7%16.4%35.1%8.3%2.1%779.1K-24.6M-234.8K2.2946.46N/AN/A29066325,47822,799