VWO Options History — April 2010

In April 2010, VWO traded between $41.57 and $43.97. ATM implied volatility averaged 21.4%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.0% (HV 20d: 17.3%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2010-04-16: Highest Volume — 1,781 contracts
  • 2010-04-15: Largest IV spike — 29.2% change
  • 2010-04-30: Highest IV Rank — 28.4%
  • 2010-04-30: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.99$41.57$43.97$43.16$42.06
Max Pain$41.86$40.00$42.00$40.00$42.00
ATM IV21.4%17.4%25.1%18.2%25.1%
Expected Move6.6%5.2%7.2%5.2%7.2%
HV 20d17.3%14.6%22.0%17.1%20.7%
HV 60d22.8%21.5%23.5%23.5%22.5%
IV Rank12.9%0.0%28.4%0.0%28.4%
IV Percentile7.2%0.0%21.8%0.0%21.8%
Term Structure2.1%0.6%4.0%4.0%2.5%
VWIV23.1%19.4%26.1%19.4%25.0%
Skew 25d5.0%3.2%6.2%3.6%4.4%
Skew 10d13.0%-5.7%19.0%12.7%16.6%
Call IV 25d20.8%16.9%24.1%16.9%24.1%
Put IV 25d25.9%20.5%28.9%20.5%28.5%
Bid-Ask Spread %46.0115.9972.2615.9941.56
Gamma HHI0.130.110.160.130.11
Net GEX1.3M655.5K1.9M1.6M785.2K
Net DEX-30.8M-45.6M-14.0M-37.9M-16.9M
Net VEX-345.8K-358.1K-326.9K-328.7K-354.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.1013.280.340.89
Total Volume572.238981,7818191,015
Total OI48,536.71445,84451,35147,42947,826

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$43.16$40.0018.2%5.2%17.1%0.0%19.4%3.6%4.0%1.6M-37.9M-328.7K0.3415.99N/AN/A61320621,35726,072
2010-04-05$43.59$41.0019.1%6.4%14.6%2.9%25.1%5.7%1.0%1.7M-42.8M-326.9K1.0043.13N/AN/A25625721,81526,160
2010-04-06$43.68$42.0019.5%6.5%14.6%4.5%23.2%5.2%0.7%1.7M-44.1M-327.8K5.9224.51N/AN/A12976421,97526,335
2010-04-07$43.34$42.0020.6%6.9%15.1%8.2%24.7%5.7%1.4%1.7M-39.8M-335.9K1.6129.82N/AN/A7512122,00226,964
2010-04-08$43.45$42.0020.3%6.9%15.1%7.3%23.7%5.4%0.9%1.7M-40.9M-333.7K13.2835.56N/AN/A1021,35522,00226,964
2010-04-09$43.68$42.0018.1%6.6%15.1%0.0%22.8%6.2%0.6%1.6M-42.0M-347.5K0.1555.99N/AN/A1452222,03428,305
2010-04-12$43.32$42.0020.1%6.8%15.5%7.0%24.5%5.6%1.9%1.7M-39.5M-346.4K0.6856.91N/AN/A624222,10228,323
2010-04-13$43.29$42.0018.3%6.9%15.1%0.8%23.9%5.7%1.5%1.8M-38.9M-342.4K0.6355.05N/AN/A1257922,11928,336
2010-04-14$43.97$42.0017.4%6.4%15.5%0.0%20.6%5.6%1.7%1.6M-45.6M-335.1K3.7755.10N/AN/A21982522,18828,393
2010-04-15$43.70$42.0022.5%6.5%15.6%17.5%22.0%5.7%1.1%1.6M-43.3M-342.9K0.1046.38N/AN/A2342422,26629,014
2010-04-16$42.55$42.0024.3%7.0%18.4%23.9%23.6%4.7%1.7%1.9M-30.4M-352.8K0.5364.78N/AN/A1,16361822,34129,010
2010-04-19$42.35$42.0024.3%7.0%18.1%24.1%23.5%4.9%2.9%665.5K-16.9M-347.5K0.2162.05N/AN/A1,09522619,04826,796
2010-04-20$42.84$42.0021.8%6.3%18.5%15.4%22.1%4.2%3.6%916.8K-23.6M-355.8K1.3956.62N/AN/A23432519,97826,885
2010-04-21$42.67$42.0021.8%6.3%18.4%15.4%21.0%4.9%3.4%930.1K-21.5M-358.1K1.0052.92N/AN/A14614620,13427,143
2010-04-22$42.86$42.0022.0%6.3%17.6%16.2%23.8%4.8%3.7%958.4K-22.8M-356.4K2.9072.26N/AN/A6017420,19127,141
2010-04-23$43.08$42.0021.6%6.2%17.4%14.8%21.5%4.6%2.8%1.1M-24.6M-356.1K1.5866.73N/AN/A386020,21327,289
2010-04-26$43.10$42.0021.0%6.0%17.4%12.5%21.6%3.2%3.6%1.1M-26.2M-351.7K1.4027.26N/AN/A9012620,22727,303
2010-04-27$41.57$42.0024.6%7.1%21.1%25.6%24.2%6.0%1.2%655.5K-14.0M-353.3K0.9352.96N/AN/A18116920,27427,340
2010-04-28$41.98$42.0025.0%7.2%21.4%27.7%26.1%5.0%1.6%704.5K-14.9M-355.5K0.4930.07N/AN/A24712020,21927,387
2010-04-29$42.60$42.0022.7%6.5%22.0%19.3%23.2%4.3%2.6%934.1K-20.9M-353.8K0.7420.59N/AN/A745520,32027,480
2010-04-30$42.06$42.0025.1%7.2%20.7%28.4%25.0%4.4%2.5%785.2K-16.9M-354.1K0.8941.56N/AN/A53747820,34127,485