VWO Options History — March 2010

In March 2010, VWO traded between $39.61 and $42.15. ATM implied volatility averaged 23.1%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.9% (HV 20d: 20.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.88.

Notable Days

  • 2010-03-22: Highest Volume — 4,697 contracts
  • 2010-03-11: Largest IV spike — 18.2% change
  • 2010-03-12: Highest IV Rank — 16.7%
  • 2010-03-12: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.19$39.61$42.15$39.61$42.15
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV23.1%20.3%26.0%25.0%20.3%
Expected Move6.8%5.8%7.5%7.2%5.8%
HV 20d20.1%15.3%29.9%29.9%15.8%
HV 60d23.7%23.0%24.2%23.4%23.0%
IV Rank6.7%0.0%16.7%10.4%0.0%
IV Percentile4.5%0.0%15.1%6.3%0.0%
Term Structure1.9%-0.2%3.2%2.8%3.2%
VWIV23.7%19.5%30.0%26.7%19.5%
Skew 25d5.8%2.8%8.6%6.5%6.7%
Skew 10d14.9%3.8%21.4%16.1%17.3%
Call IV 25d21.0%15.8%24.2%23.4%16.1%
Put IV 25d26.8%22.7%29.9%29.9%22.7%
Bid-Ask Spread %36.7116.7190.5476.0417.49
Gamma HHI0.150.100.330.100.12
Net GEX1.1M-295.6K2.8M-295.6K1.4M
Net DEX-16.3M-28.3M4.7M4.7M-27.0M
Net VEX-278.1K-340.8K-245.4K-261.8K-340.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.024.210.311.46
Total Volume1,036.6091704,697462516
Total OI49,981.73938,39056,13949,79947,059

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$39.61$40.0025.0%7.2%29.9%10.4%26.7%6.5%2.8%-295.6K4.7M-261.8K0.3176.04N/AN/A35410817,75532,044
2010-03-02$40.06$40.0025.3%7.3%28.4%11.3%26.0%7.3%2.1%38.9K-485.1K-260.5K0.5690.54N/AN/A25114017,92132,098
2010-03-03$40.16$40.0024.1%6.9%28.4%8.3%24.8%5.8%2.6%192.5K-2.5M-259.2K0.1716.71N/AN/A4027018,05332,112
2010-03-04$39.90$40.0025.0%7.2%28.5%10.7%25.1%8.6%1.3%58.0K-357.5K-256.7K0.1019.34N/AN/A9819918,38632,116
2010-03-05$41.06$40.0022.0%7.4%24.1%3.1%30.0%6.1%0.3%978.8K-12.6M-253.8K0.5231.77N/AN/A1,64285019,08832,188
2010-03-08$41.05$40.0022.7%7.4%24.1%4.7%25.0%6.0%0.6%1.3M-16.4M-257.7K0.9632.89N/AN/A33832420,56431,943
2010-03-09$41.22$40.0021.3%7.2%22.5%1.2%25.0%5.5%1.8%1.4M-17.4M-253.6K0.2235.41N/AN/A57212420,78232,043
2010-03-10$41.30$40.0021.8%7.4%20.5%3.0%24.3%5.5%-0.0%1.7M-21.7M-251.0K1.8034.00N/AN/A51292221,06732,084
2010-03-11$41.46$40.0025.8%7.4%20.3%14.4%25.2%6.0%-0.2%1.7M-19.8M-262.0K1.0237.31N/AN/A899121,26532,978
2010-03-12$41.35$40.0026.0%7.5%19.1%16.7%25.2%6.0%0.4%1.7M-19.6M-258.4K0.0953.25N/AN/A5795221,29233,055
2010-03-15$41.07$40.0025.3%7.3%18.7%14.5%25.7%5.2%1.4%1.3M-14.7M-255.8K0.9836.58N/AN/A868421,42433,093
2010-03-16$41.55$40.0022.8%6.5%17.1%6.4%24.0%5.3%2.5%2.0M-21.0M-251.9K0.3033.64N/AN/A38711621,45733,131
2010-03-17$41.97$40.0023.5%6.7%17.3%8.8%22.1%4.4%0.7%2.8M-28.3M-245.4K4.2134.18N/AN/A5552,33821,70033,140
2010-03-18$41.70$40.0022.8%6.5%17.7%6.4%23.5%5.0%2.5%2.6M-22.8M-259.5K0.3629.29N/AN/A2147821,67434,404
2010-03-19$41.29$40.0023.4%6.7%17.9%8.3%22.2%5.8%2.5%869.2K-17.1M-257.3K0.1926.89N/AN/A1,07220321,70434,435
2010-03-22$41.39$40.0023.4%6.7%17.9%8.3%21.9%6.1%2.6%440.9K-10.8M-257.8K0.0553.74N/AN/A4,45324414,51023,880
2010-03-23$41.72$40.0021.7%6.2%15.3%2.9%21.4%6.5%2.3%884.3K-20.7M-311.5K0.1067.89N/AN/A1,17512318,80424,080
2010-03-24$41.16$40.0022.2%6.4%16.2%4.6%22.7%4.5%2.7%898.3K-18.1M-321.4K0.5921.45N/AN/A40724219,91424,196
2010-03-25$40.95$40.0022.4%6.4%16.0%5.3%21.8%3.9%2.4%853.1K-17.2M-329.2K0.2826.62N/AN/A47713420,27524,378
2010-03-26$41.24$40.0022.2%6.4%15.9%4.6%22.8%2.8%2.5%948.5K-18.8M-326.8K3.0421.99N/AN/A26379920,66324,467
2010-03-29$41.99$40.0020.8%6.0%16.1%0.2%20.6%6.1%2.9%1.2M-24.7M-334.5K0.0222.17N/AN/A444920,86625,253
2010-03-30$42.13$40.0020.7%5.9%15.8%0.0%20.4%7.2%2.9%1.3M-27.5M-329.9K3.0025.17N/AN/A23169221,06025,179
2010-03-31$42.15$40.0020.3%5.8%15.8%0.0%19.5%6.7%3.2%1.4M-27.0M-340.8K1.4617.49N/AN/A21030621,21425,845