VWO Options History — May 2010

In May 2010, VWO traded between $36.42 and $42.32. ATM implied volatility averaged 36.1%, placing in the 67.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 0.4% (HV 20d: 35.7%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.90.

Notable Days

  • 2010-05-21: Highest Volume — 2,703 contracts
  • 2010-05-20: Largest IV spike — 23.8% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.94$36.42$42.32$42.32$38.20
Max Pain$40.35$39.00$42.00$42.00$39.00
ATM IV36.1%26.2%47.1%26.2%35.6%
Expected Move10.3%7.5%13.5%7.5%10.2%
HV 20d35.7%20.4%44.8%20.4%44.8%
HV 60d25.7%20.2%30.2%20.2%30.2%
IV Rank67.8%32.4%100.0%32.4%61.3%
IV Percentile83.0%29.4%100.0%29.4%87.3%
Term Structure-0.7%-3.7%1.5%0.3%1.2%
VWIV34.1%28.7%42.7%30.7%34.6%
Skew 25d9.3%4.1%14.5%5.8%5.7%
Skew 10d18.1%-14.2%40.5%7.5%17.3%
Call IV 25d31.4%24.1%40.5%24.1%31.6%
Put IV 25d40.7%29.9%54.9%29.9%37.3%
Bid-Ask Spread %60.2739.25112.0851.6048.43
Gamma HHI0.090.080.120.120.09
Net GEX-256.9K-797.9K864.3K864.3K-435.5K
Net DEX11.4M-17.9M30.9M-17.9M14.5M
Net VEX-328.2K-349.0K-296.4K-348.5K-311.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.0229.318.000.02
Total Volume846.851352,703135497
Total OI49,853.1547,24451,72348,76949,316

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$42.32$42.0026.2%7.5%20.4%32.4%0.0%5.8%0.3%864.3K-17.9M-348.5K8.0051.60N/AN/A1512020,83427,935
2010-05-04$40.58$42.0030.8%8.8%24.9%49.5%30.7%4.1%-0.9%263.0K-3.1M-349.0K0.3542.51N/AN/A1,27745120,84528,055
2010-05-05$39.83$42.0031.6%9.0%25.5%52.3%31.9%5.2%-0.6%-36.2K4.2M-343.9K2.7444.83N/AN/A18450420,86228,337
2010-05-06$38.37$42.0038.5%11.0%27.9%78.1%37.0%10.8%-3.7%-394.1K15.5M-337.6K1.30112.08N/AN/A24131421,00628,703
2010-05-07$38.41$40.0042.1%10.9%27.7%91.6%35.7%8.7%1.5%-373.6K15.1M-344.2K0.2866.29N/AN/A3138821,03928,875
2010-05-10$40.93$40.0033.8%9.1%37.2%60.6%28.7%7.7%-0.3%275.8K-4.4M-345.2K0.2389.54N/AN/A57113021,10128,918
2010-05-11$40.21$40.0035.1%10.0%37.5%65.4%34.5%9.5%-0.4%105.3K927.9K-346.0K1.1478.46N/AN/A33137821,42628,966
2010-05-12$40.77$40.0029.8%8.7%37.4%47.0%29.2%8.1%1.3%224.2K-1.4M-346.5K0.3473.31N/AN/A1424821,68329,165
2010-05-13$40.37$40.0031.8%9.1%37.5%56.6%30.6%8.2%0.1%75.3K-377.3K-338.0K0.1471.50N/AN/A4085821,25729,049
2010-05-14$39.67$40.0034.0%9.8%36.9%66.1%34.7%10.2%-1.1%-87.4K7.1M-333.1K29.3182.24N/AN/A782,28621,52729,086
2010-05-17$39.48$40.0034.9%10.0%36.9%70.5%33.2%10.5%-0.9%-391.6K11.8M-319.7K0.5148.41N/AN/A1588121,53728,830
2010-05-18$38.63$40.0035.3%10.1%37.0%72.4%30.9%10.2%-0.8%-522.3K16.1M-329.8K0.5840.95N/AN/A54531421,62729,738
2010-05-19$38.15$40.0038.1%10.9%37.0%83.5%34.2%10.3%-1.2%-610.7K21.1M-327.4K0.8039.25N/AN/A856821,84329,880
2010-05-20$36.42$40.0047.1%13.5%39.5%100.0%42.7%14.5%-2.8%-776.4K30.9M-310.4K1.8150.20N/AN/A15127321,82229,879
2010-05-21$37.41$40.0043.7%12.5%41.2%88.4%38.7%13.6%-2.0%-656.8K27.5M-310.6K4.6746.70N/AN/A4772,22621,88729,707
2010-05-24$37.00$40.0040.9%11.7%41.1%79.0%40.4%12.6%-1.0%-720.2K23.9M-309.1K0.2756.86N/AN/A89123918,53528,709
2010-05-25$36.66$40.0041.5%11.9%39.7%81.2%37.8%13.3%-1.1%-797.9K29.3M-296.4K0.2378.67N/AN/A49511219,36028,751
2010-05-26$36.66$40.0036.7%10.5%39.4%64.8%29.1%8.7%1.3%-653.5K24.4M-302.1K4.8341.99N/AN/A20398119,54128,828
2010-05-27$38.78$40.0033.9%9.7%44.8%55.3%33.6%8.6%-1.9%-489.9K13.3M-314.5K0.4341.64N/AN/A84436019,64828,956
2010-05-28$38.20$39.0035.6%10.2%44.8%61.3%34.6%5.7%1.2%-435.5K14.5M-311.7K0.0248.43N/AN/A4851220,19529,121