VWO Options History — February 2010

In February 2010, VWO traded between $36.85 and $39.57. ATM implied volatility averaged 28.8%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 0.3% (HV 20d: 29.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.75.

Notable Days

  • 2010-02-23: Highest Volume — 2,482 contracts
  • 2010-02-08: Largest IV spike — 18.4% change
  • 2010-02-08: Highest IV Rank — 33.0%
  • 2010-02-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.70$36.85$39.57$39.34$38.96
Max Pain$40.16$40.00$41.00$40.00$40.00
ATM IV28.8%25.5%34.1%29.2%25.5%
Expected Move8.3%7.3%9.8%8.4%7.3%
HV 20d29.1%22.9%33.3%26.4%29.6%
HV 60d24.3%22.9%24.8%23.8%23.7%
IV Rank19.8%11.6%33.0%20.9%11.6%
IV Percentile28.1%8.3%57.9%31.0%8.3%
Term Structure1.1%-1.6%3.2%1.3%1.1%
VWIV28.5%23.1%35.0%26.3%24.1%
Skew 25d7.1%1.2%9.5%6.2%9.5%
Skew 10d15.3%-3.5%27.8%7.4%19.6%
Call IV 25d25.9%22.2%30.3%25.7%22.2%
Put IV 25d33.0%27.7%38.0%31.9%31.7%
Bid-Ask Spread %62.8021.0685.1625.0675.53
Gamma HHI0.110.090.210.100.11
Net GEX-843.6K-1.8M-269.9K-542.7K-722.8K
Net DEX17.1M6.6M34.1M12.8M12.1M
Net VEX-283.0K-303.2K-266.7K-303.2K-267.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0013.510.510.00
Total Volume969.4211442,482417614
Total OI53,410.15847,86557,45952,62449,527

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$39.34$40.0029.2%8.4%26.4%20.9%26.3%6.2%1.3%-542.7K12.8M-303.2K0.5125.06N/AN/A27614118,96533,659
2010-02-02$39.53$40.0026.7%7.6%23.1%14.6%23.1%7.0%3.0%-499.5K10.8M-302.4K0.1235.61N/AN/A6497818,94833,757
2010-02-03$39.42$40.0025.8%7.4%22.9%12.5%24.0%4.4%2.9%-453.6K9.7M-299.9K0.6761.99N/AN/A865819,46633,793
2010-02-04$37.62$40.0029.2%8.4%27.2%20.9%30.4%1.2%1.6%-962.2K26.8M-291.1K0.7021.06N/AN/A53437319,39433,833
2010-02-05$37.55$41.0028.8%8.9%27.2%19.8%31.2%8.3%-0.4%-1.2M32.2M-277.0K0.8056.99N/AN/A95576319,36634,146
2010-02-08$36.85$41.0034.1%9.8%27.2%33.0%30.9%7.7%-1.6%-1.1M34.1M-286.4K0.5767.86N/AN/A19711319,86534,774
2010-02-09$37.98$41.0031.3%9.3%30.2%26.0%35.0%8.7%-1.1%-998.8K26.2M-288.4K1.8780.65N/AN/A7161,34119,87234,802
2010-02-10$37.86$40.0029.8%9.0%30.0%22.5%33.5%9.1%0.4%-1.2M28.6M-292.2K4.4480.08N/AN/A15970620,05935,855
2010-02-11$38.79$40.0030.1%8.6%31.6%23.3%29.1%8.1%-0.3%-961.4K19.9M-290.4K1.1581.06N/AN/A54562720,08735,628
2010-02-12$38.36$40.0031.0%8.9%31.7%25.3%35.0%9.4%0.4%-1.1M23.3M-289.8K0.2934.46N/AN/A47413820,38835,471
2010-02-16$39.34$40.0029.6%8.5%33.3%21.9%30.9%7.6%1.4%-751.0K11.9M-280.6K0.5332.04N/AN/A32817320,77535,594
2010-02-17$39.49$40.0029.9%8.6%32.6%22.6%27.3%7.1%0.2%-757.4K9.7M-276.7K0.0681.89N/AN/A1,2337420,86935,647
2010-02-18$39.57$40.0027.2%7.8%31.6%15.9%25.2%6.8%1.8%-549.2K7.7M-279.5K0.4873.14N/AN/A37218021,79035,655
2010-02-19$39.31$40.0028.2%8.1%30.0%18.5%28.2%7.4%0.6%-1.8M12.1M-275.6K4.9581.95N/AN/A18792621,73635,723
2010-02-22$39.33$40.0028.0%8.0%28.9%17.9%27.9%6.2%1.3%-269.9K6.6M-271.2K2.0185.16N/AN/A27355017,29730,568
2010-02-23$38.45$40.0027.6%7.9%29.8%17.0%27.3%6.2%2.9%-668.1K13.2M-266.7K13.5173.89N/AN/A1712,31117,43930,853
2010-02-24$38.93$40.0027.2%7.8%29.4%15.8%26.9%7.1%1.8%-696.3K12.0M-270.3K0.4871.24N/AN/A31915317,55531,865
2010-02-25$38.62$40.0027.3%7.8%29.5%16.3%26.0%6.9%3.2%-868.2K15.6M-268.6K0.0773.57N/AN/A1,51511117,77931,993
2010-02-26$38.96$40.0025.5%7.3%29.6%11.6%24.1%9.5%1.1%-722.8K12.1M-267.8K0.0075.53N/AN/A613117,48432,043