VWO Options History — June 2010

In June 2010, VWO traded between $36.89 and $40.80. ATM implied volatility averaged 33.5%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 4.2% (HV 20d: 37.7%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.21.

Notable Days

  • 2010-06-21: Highest Volume — 3,629 contracts
  • 2010-06-29: Largest IV spike — 18.8% change
  • 2010-06-01: Highest IV Rank — 78.5%
  • 2010-06-01: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.98$36.89$40.80$37.52$37.99
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV33.5%26.6%40.8%40.8%37.3%
Expected Move9.6%7.6%11.7%11.7%10.7%
HV 20d37.7%29.0%45.0%44.9%29.3%
HV 60d32.3%29.8%33.6%29.8%33.6%
IV Rank54.2%30.7%78.5%78.5%67.0%
IV Percentile75.8%30.6%95.2%95.2%95.2%
Term Structure0.5%-2.9%3.3%-2.9%-1.7%
VWIV33.0%24.4%44.2%43.1%35.9%
Skew 25d9.9%6.3%14.1%9.5%10.8%
Skew 10d23.2%15.7%31.4%31.1%31.4%
Call IV 25d29.5%23.4%37.1%37.1%33.8%
Put IV 25d39.3%31.5%48.0%46.6%44.6%
Bid-Ask Spread %63.1630.7486.0449.6030.74
Gamma HHI0.090.080.260.090.09
Net GEX-194.5K-1.5M495.3K-459.4K-101.6K
Net DEX8.4M-5.3M23.6M17.3M15.5M
Net VEX-311.6K-378.5K-275.2K-308.0K-363.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.0615.701.430.16
Total Volume737.6361073,629567107
Total OI46,631.45532,38051,88249,71842,272

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$37.52$39.0040.8%11.7%44.9%78.5%43.1%9.5%-2.9%-459.4K17.3M-308.0K1.4349.60N/AN/A23333420,59529,123
2010-06-02$38.85$39.0036.4%10.4%45.0%63.9%40.5%10.0%-1.1%-396.2K11.9M-304.8K3.9661.13N/AN/A14256220,79429,175
2010-06-03$38.69$39.0034.7%9.9%44.6%58.2%35.8%8.4%0.1%-412.8K12.2M-306.4K1.1548.96N/AN/A12314120,90529,487
2010-06-04$37.41$39.0040.3%11.3%44.2%76.9%44.2%13.6%0.3%-555.1K19.8M-300.3K2.5346.69N/AN/A4511420,97729,455
2010-06-07$36.89$39.0039.5%11.6%44.4%74.3%38.6%13.9%-0.2%-662.0K23.6M-287.2K3.1147.28N/AN/A10532720,99129,532
2010-06-08$37.69$39.0036.8%10.6%38.2%65.3%35.5%14.1%0.7%-657.7K20.8M-284.5K0.1253.70N/AN/A1301521,01129,518
2010-06-09$37.43$39.0036.5%11.1%37.9%64.1%32.8%12.3%0.7%-595.9K18.5M-284.6K0.2471.04N/AN/A1924621,07429,488
2010-06-10$38.60$39.0034.0%9.8%39.4%55.9%31.3%9.8%1.1%-427.7K11.3M-290.9K0.1167.69N/AN/A2032221,19329,491
2010-06-11$38.87$39.0033.6%9.6%39.5%54.5%32.2%10.2%1.8%-358.7K8.6M-285.6K0.0675.82N/AN/A3652121,27229,489
2010-06-14$38.84$39.0033.9%9.7%39.0%55.5%32.0%9.6%0.7%-262.6K6.3M-282.3K0.1774.59N/AN/A2424121,34829,471
2010-06-15$40.02$39.0030.1%8.6%40.5%42.8%31.1%10.0%1.7%-49.1K-1.9M-282.0K0.1478.11N/AN/A6729321,43829,482
2010-06-16$39.97$39.0030.1%8.6%39.6%42.7%26.5%10.3%1.1%132.5K-2.6M-282.8K0.1374.78N/AN/A4435921,82729,520
2010-06-17$39.83$39.0029.6%8.5%39.3%40.9%28.5%8.3%1.4%4.7K-1.2M-279.7K0.2076.87N/AN/A2915922,11029,551
2010-06-18$40.06$39.0028.3%8.1%34.9%36.5%26.4%10.0%3.3%-1.5M-5.3M-279.0K0.6672.78N/AN/A26417422,29229,590
2010-06-21$40.80$39.0026.6%7.6%34.3%30.7%24.4%8.2%2.6%446.8K-2.7M-275.2K0.4382.50N/AN/A2,5331,09614,31718,063
2010-06-22$40.03$39.0030.4%8.7%34.9%43.8%28.0%7.0%-1.6%495.3K-1.9M-315.3K4.9578.31N/AN/A4522,23916,70519,143
2010-06-23$40.21$39.0029.8%8.5%34.6%41.5%26.0%8.6%1.2%380.6K2.5M-352.2K10.3386.04N/AN/A1361,40517,04021,876
2010-06-24$39.61$39.0030.5%8.7%35.2%44.0%32.1%8.5%1.1%267.4K5.8M-371.1K15.7069.27N/AN/A1322,07217,11623,273
2010-06-25$40.05$39.0031.2%8.9%29.5%46.3%32.1%8.7%0.2%247.8K6.5M-378.5K0.4635.24N/AN/A843917,21724,630
2010-06-28$39.84$39.0030.9%8.8%29.0%45.2%31.7%9.2%1.1%264.2K6.1M-377.1K0.1831.78N/AN/A1903517,29224,639
2010-06-29$38.31$39.0036.7%10.5%31.8%64.8%36.3%6.3%-0.4%-67.9K14.8M-365.4K2.2976.63N/AN/A7617417,45924,651
2010-06-30$37.99$39.0037.3%10.7%29.3%67.0%35.9%10.8%-1.7%-101.6K15.5M-363.3K0.1630.74N/AN/A921517,50024,772