VWO Options History — December 2009

In December 2009, VWO traded between $40.00 and $41.50. ATM implied volatility averaged 25.8%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.3% (HV 20d: 22.5%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.46.

Notable Days

  • 2009-12-15: Highest Volume — 3,717 contracts
  • 2009-12-10: Largest IV drop — 11.6% change
  • 2009-12-08: Highest IV Rank — 10.8%
  • 2009-12-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.85$40.00$41.50$41.31$41.00
Max Pain$39.14$35.00$43.00$35.00$42.00
ATM IV25.8%22.2%29.6%29.6%23.7%
Expected Move7.3%6.4%8.5%8.5%6.8%
HV 20d22.5%14.0%28.9%28.9%14.0%
HV 60d27.9%26.8%28.7%28.7%26.8%
IV Rank5.1%0.0%10.8%8.4%3.4%
IV Percentile6.2%0.0%21.4%19.8%2.4%
Term Structure2.0%-4.0%5.4%-3.6%4.8%
VWIV26.4%21.1%41.2%29.7%23.9%
Skew 25d9.1%3.1%14.2%6.0%5.5%
Skew 10d18.6%8.8%28.3%22.3%14.9%
Call IV 25d22.8%17.4%26.4%26.4%22.1%
Put IV 25d31.8%26.3%37.8%32.4%27.6%
Bid-Ask Spread %39.6517.0972.3869.2419.39
Gamma HHI0.120.090.230.090.11
Net GEX399.6K-973.8K1.4M761.9K-214.9K
Net DEX-29.6M-55.0M7.2M-53.0M-2.3M
Net VEX-241.5K-255.9K-214.6K-216.1K-254.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.027.240.471.12
Total Volume1,495.8181143,717335558
Total OI53,862.68242,91264,87753,96544,155

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$41.31$35.0029.6%8.5%28.9%8.4%29.7%6.0%-3.6%761.9K-53.0M-216.1K0.4769.24N/AN/A22810725,12128,844
2009-12-02$41.50$35.0029.4%8.4%28.4%8.1%29.5%5.9%-4.0%778.8K-54.8M-214.6K0.3239.56N/AN/A60319525,22128,898
2009-12-03$41.19$35.0029.0%8.3%27.6%8.1%29.6%6.1%-3.8%798.6K-53.7M-221.2K1.1756.07N/AN/A37944425,65428,968
2009-12-04$41.45$36.0028.8%7.8%26.8%8.0%27.8%14.2%1.3%788.5K-55.0M-216.7K3.9846.97N/AN/A7362,92625,70029,244
2009-12-07$41.12$38.0029.4%7.5%27.0%10.6%25.1%13.7%2.3%637.3K-49.9M-238.3K0.2736.71N/AN/A73220126,30332,089
2009-12-08$40.51$38.0029.4%7.7%24.8%10.8%23.3%12.0%2.0%621.0K-42.3M-245.5K3.8942.39N/AN/A6322,46026,63732,239
2009-12-09$40.77$38.0027.4%6.7%24.7%6.4%24.4%14.0%4.7%559.4K-44.5M-255.9K0.0234.09N/AN/A3,1625926,92232,951
2009-12-10$40.86$38.0024.2%6.9%24.6%0.0%35.6%11.8%2.7%1.1M-46.7M-252.2K4.5533.37N/AN/A19488328,72532,997
2009-12-11$41.07$39.0026.0%7.5%23.4%4.3%30.8%12.4%0.5%1.2M-48.1M-255.0K0.5771.61N/AN/A1337628,51033,856
2009-12-14$41.28$39.0023.1%6.6%22.6%0.0%23.8%12.2%3.6%1.4M-52.6M-241.0K0.1028.26N/AN/A1,01510028,28333,757
2009-12-15$41.03$39.0025.6%7.3%21.0%5.7%23.1%10.4%1.1%1.4M-48.3M-238.4K7.2418.63N/AN/A4513,26628,70533,783
2009-12-16$41.14$39.0025.3%7.2%21.0%5.0%22.9%10.7%2.5%1.3M-50.4M-247.6K0.0672.38N/AN/A1,93511128,67434,396
2009-12-17$40.00$39.0026.6%7.6%23.0%8.2%26.9%10.0%0.7%864.5K-35.2M-242.3K3.1428.11N/AN/A7182,25128,72134,362
2009-12-18$40.17$40.0025.6%7.3%22.4%5.7%41.2%7.5%2.3%359.6K-33.1M-249.7K0.1917.09N/AN/A89416628,58036,297
2009-12-21$40.10$40.0026.5%7.6%22.4%7.8%25.8%3.1%0.8%-973.8K2.6M-250.4K1.8527.49N/AN/A36567415,29729,895
2009-12-22$40.36$41.0024.7%7.1%21.6%3.8%24.1%4.9%1.9%-757.5K5.3M-234.4K0.2038.03N/AN/A1,50229914,18128,731
2009-12-23$40.70$41.0022.2%6.4%21.9%0.0%21.9%7.2%5.4%-609.2K417.0K-254.3K1.7749.99N/AN/A8521,51215,21028,946
2009-12-24$40.64$43.0022.6%6.5%21.6%1.0%22.1%6.9%4.2%-402.4K7.2M-251.8K0.8128.91N/AN/A26021014,08129,897
2009-12-28$40.82$42.0023.4%6.7%16.9%2.7%21.1%8.0%4.0%-358.4K1.8M-245.9K0.1632.51N/AN/A4386914,15628,979
2009-12-29$40.78$42.0022.6%6.5%16.7%1.0%24.4%6.9%5.1%-269.2K1.4M-245.1K0.1648.94N/AN/A981614,54729,037
2009-12-30$40.88$42.0023.6%6.8%14.1%3.3%23.4%9.6%4.8%-317.4K38.4K-242.9K0.1532.51N/AN/A86613214,38129,049
2009-12-31$41.00$42.0023.7%6.8%14.0%3.4%23.9%5.5%4.8%-214.9K-2.3M-254.3K1.1219.39N/AN/A26329515,13029,025