VWO Options History — January 2010

In January 2010, VWO traded between $38.24 and $42.80. ATM implied volatility averaged 26.2%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.3% (HV 20d: 19.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.96.

Notable Days

  • 2010-01-07: Highest Volume — 3,106 contracts
  • 2010-01-11: Largest IV spike — 21.7% change
  • 2010-01-29: Highest IV Rank — 26.1%
  • 2010-01-29: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.13$38.24$42.80$42.40$38.24
Max Pain$40.32$40.00$41.00$41.00$40.00
ATM IV26.2%20.8%31.3%24.5%31.3%
Expected Move7.8%6.6%9.0%8.0%9.0%
HV 20d19.9%16.1%24.1%18.3%24.0%
HV 60d26.7%23.2%28.0%27.6%23.2%
IV Rank12.2%0.0%26.1%5.3%26.1%
IV Percentile14.1%0.0%45.2%3.6%45.2%
Term Structure2.0%0.1%4.2%0.1%1.0%
VWIV27.3%22.1%31.1%27.4%26.4%
Skew 25d5.4%2.7%6.5%6.3%4.9%
Skew 10d11.8%-3.5%20.9%12.6%12.1%
Call IV 25d24.8%19.9%28.0%25.0%26.9%
Put IV 25d30.2%26.0%32.8%31.3%31.8%
Bid-Ask Spread %43.8717.0685.6032.5757.65
Gamma HHI0.120.090.160.120.09
Net GEX166.8K-803.0K965.3K280.4K-752.2K
Net DEX-6.5M-21.4M20.1M-14.0M20.1M
Net VEX-280.5K-318.1K-234.1K-237.2K-307.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0712.800.231.90
Total Volume1,564.4743163,106626606
Total OI49,240.68444,46353,39544,46352,389

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$42.40$41.0024.5%8.0%18.3%5.3%27.4%6.3%0.1%280.4K-14.0M-237.2K0.2332.57N/AN/A50811815,33829,125
2010-01-05$42.54$41.0023.2%7.5%18.2%2.4%26.8%6.5%1.8%386.7K-16.6M-234.1K0.0735.92N/AN/A9977015,46029,180
2010-01-06$42.80$41.0022.6%7.7%17.9%1.0%26.2%6.1%1.0%540.6K-21.4M-240.0K0.9624.52N/AN/A27125916,25229,216
2010-01-07$42.43$41.0025.1%7.8%17.3%6.7%31.1%5.9%1.8%495.7K-18.0M-245.4K12.8027.57N/AN/A2252,88116,38329,441
2010-01-08$42.69$41.0020.8%7.6%17.3%0.0%27.4%5.5%2.0%522.6K-18.7M-257.8K1.8634.53N/AN/A26248816,55232,115
2010-01-11$42.75$41.0025.3%7.6%17.3%9.9%28.2%5.2%0.6%562.1K-19.4M-255.2K0.2768.82N/AN/A1,44039216,65332,575
2010-01-12$42.13$40.0026.8%7.6%18.2%13.2%27.6%5.8%3.2%386.2K-15.3M-270.6K0.6674.59N/AN/A1,41693317,83832,869
2010-01-13$42.30$40.0025.9%7.4%18.2%11.1%26.7%6.2%2.0%829.2K-19.1M-282.5K0.5481.58N/AN/A20511119,13633,701
2010-01-14$42.20$40.0025.2%7.2%18.0%9.7%24.5%5.7%2.5%965.3K-19.4M-277.7K0.1133.52N/AN/A5486019,23333,749
2010-01-15$41.70$40.0024.7%7.1%18.6%8.6%27.0%5.9%3.2%725.6K-14.3M-279.5K2.5426.25N/AN/A6881,74619,60733,788
2010-01-19$42.42$40.0023.1%6.6%16.1%5.1%22.1%6.1%4.2%722.7K-20.9M-270.3K1.5378.98N/AN/A9351,43216,47728,000
2010-01-20$41.38$40.0025.9%7.4%18.9%11.2%24.7%5.5%2.7%425.7K-12.0M-288.2K2.0322.51N/AN/A9051,83417,10528,967
2010-01-21$40.18$40.0028.2%8.1%21.8%18.5%27.8%4.5%1.5%-44.7K-670.6K-306.8K1.2723.96N/AN/A1,1841,50817,58430,454
2010-01-22$39.28$40.0030.1%8.6%23.1%23.3%30.2%6.0%1.4%-431.5K9.7M-316.2K1.8720.44N/AN/A33362218,17431,681
2010-01-25$39.66$40.0028.1%8.1%23.2%18.2%27.9%5.0%2.3%-347.8K6.1M-311.9K0.7285.60N/AN/A1,24590018,25332,118
2010-01-26$38.90$40.0029.4%8.4%24.1%21.5%28.3%2.7%2.4%-586.1K13.9M-318.1K0.2043.10N/AN/A1,22323918,83732,837
2010-01-27$38.79$40.0029.1%8.3%23.9%20.6%28.5%4.5%2.1%-707.7K16.8M-314.7K2.1444.40N/AN/A45196518,70333,058
2010-01-28$38.64$40.0028.7%8.2%23.9%19.6%29.1%4.8%2.8%-803.0K18.8M-316.6K5.5817.06N/AN/A2621,46318,85633,869
2010-01-29$38.24$40.0031.3%9.0%24.0%26.1%26.4%4.9%1.0%-752.2K20.1M-307.4K1.9057.65N/AN/A20939718,89233,497