VWO Options History — November 2009

In November 2009, VWO traded between $37.94 and $41.76. ATM implied volatility averaged 31.1%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.8% (HV 20d: 35.9%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.04.

Notable Days

  • 2009-11-24: Highest Volume — 3,744 contracts
  • 2009-11-27: Largest IV spike — 19.6% change
  • 2009-11-03: Highest IV Rank — 21.2%
  • 2009-11-03: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.39$37.94$41.76$38.32$40.30
Max Pain$35.80$35.00$39.00$39.00$35.00
ATM IV31.1%26.1%40.1%38.9%33.0%
Expected Move9.1%7.5%11.5%11.2%9.5%
HV 20d35.9%28.4%37.8%34.5%28.4%
HV 60d27.8%26.9%28.7%27.7%28.5%
IV Rank9.4%2.8%21.2%19.7%13.7%
IV Percentile22.6%1.2%47.2%44.8%38.5%
Term Structure-3.6%-7.8%2.1%0.1%-4.5%
VWIV31.8%23.5%40.0%39.2%32.2%
Skew 25d7.8%5.5%10.9%9.0%9.0%
Skew 10d19.3%12.0%33.9%17.7%22.4%
Call IV 25d28.1%22.6%34.6%34.6%28.3%
Put IV 25d35.9%29.0%45.4%43.7%37.3%
Bid-Ask Spread %60.4319.7288.0249.5575.38
Gamma HHI0.120.080.250.090.09
Net GEX1.4M768.6K2.6M838.7K791.3K
Net DEX-48.4M-66.2M-25.6M-27.7M-41.0M
Net VEX-215.3K-234.1K-194.3K-231.7K-232.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.057.616.041.10
Total Volume952.41643,744394164
Total OI51,784.1548,63756,14948,63753,864

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$38.32$39.0038.9%11.2%34.5%19.7%39.2%9.0%0.1%838.7K-27.7M-231.7K6.0449.55N/AN/A5633825,47123,166
2009-11-03$37.94$39.0040.1%11.5%34.1%21.2%40.0%10.9%-0.4%768.6K-25.6M-234.1K0.5542.17N/AN/A32317925,48123,376
2009-11-04$38.92$39.0035.7%10.2%35.4%15.3%34.8%6.4%2.1%929.8K-34.8M-227.7K0.5153.87N/AN/A1929725,54323,485
2009-11-05$39.73$39.0032.4%9.3%35.8%10.9%32.8%9.6%1.2%1.1M-40.8M-226.0K4.8835.73N/AN/A2721,32725,66523,523
2009-11-06$39.60$35.0030.9%9.5%35.8%8.8%33.1%7.9%-5.9%1.1M-39.6M-231.4K0.4055.81N/AN/A2439725,84124,813
2009-11-09$40.97$35.0028.9%9.0%37.7%6.2%30.8%9.4%-3.6%1.6M-54.1M-210.5K0.2372.61N/AN/A48111125,96224,798
2009-11-10$40.68$35.0029.1%9.1%37.8%6.5%33.3%9.4%-5.1%1.5M-52.2M-211.7K0.0575.60N/AN/A4942526,15324,838
2009-11-11$40.94$35.0029.0%9.0%36.2%6.4%31.0%8.0%-7.3%1.7M-57.8M-207.3K0.9779.26N/AN/A908726,60924,848
2009-11-12$40.07$35.0032.4%9.3%36.9%10.9%31.1%6.5%-7.8%1.5M-49.8M-211.3K7.6178.80N/AN/A1631,24126,60824,905
2009-11-13$40.78$35.0030.3%8.7%37.1%8.1%35.1%8.0%-3.5%1.7M-52.8M-212.0K0.4049.54N/AN/A1365526,64426,040
2009-11-16$41.76$35.0028.7%8.2%37.5%6.0%28.7%8.8%-5.7%2.4M-66.2M-194.8K0.3872.02N/AN/A26010026,67126,068
2009-11-17$41.61$35.0029.4%8.4%37.1%6.9%30.0%8.2%-3.8%2.5M-63.9M-194.9K0.1172.28N/AN/A6016626,83726,135
2009-11-18$41.27$35.0030.5%8.7%37.2%8.4%30.3%6.3%-4.6%2.6M-62.6M-194.3K0.9688.02N/AN/A1,0651,02327,25126,158
2009-11-19$40.59$35.0029.4%8.4%37.6%6.9%31.8%6.8%-4.6%1.5M-51.9M-205.3K5.8419.72N/AN/A2241,30827,76427,162
2009-11-20$40.55$35.0030.9%8.9%37.5%9.0%31.1%5.5%-5.3%1.4M-49.7M-216.7K0.4668.38N/AN/A1,26057827,73928,410
2009-11-23$41.24$35.0027.9%8.0%37.7%5.6%27.6%7.1%-2.5%909.9K-54.3M-200.9K1.3479.61N/AN/A44759824,25426,510
2009-11-24$41.10$35.0026.1%7.5%37.2%2.8%27.0%6.2%-1.3%847.2K-50.1M-212.0K3.9934.16N/AN/A7502,99424,44426,910
2009-11-25$41.44$35.0026.7%7.6%33.0%3.8%23.5%6.4%-3.5%864.3K-54.3M-219.3K0.7223.44N/AN/A29121024,94027,770
2009-11-27$39.93$35.0031.9%9.1%33.1%12.0%31.8%7.0%-6.7%823.0K-39.4M-231.9K4.2082.58N/AN/A21289025,11427,913
2009-11-30$40.30$35.0033.0%9.5%28.4%13.7%32.2%9.0%-4.5%791.3K-41.0M-232.0K1.1075.38N/AN/A788625,09128,773