VWO Options History — July 2010

In July 2010, VWO traded between $38.22 and $41.91. ATM implied volatility averaged 28.4%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.9% (HV 20d: 24.5%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2010-07-13: Highest Volume — 2,186 contracts
  • 2010-07-13: Largest IV drop — 21.7% change
  • 2010-07-01: Highest IV Rank — 62.3%
  • 2010-07-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.46$38.22$41.91$38.22$41.87
Max Pain$39.05$39.00$40.00$39.00$39.00
ATM IV28.4%22.2%35.9%35.9%22.8%
Expected Move8.1%6.4%10.3%10.3%6.5%
HV 20d24.5%19.5%29.4%29.4%19.5%
HV 60d33.9%32.5%34.5%33.6%32.5%
IV Rank36.8%16.1%62.3%62.3%18.2%
IV Percentile46.8%9.1%91.7%91.7%13.9%
Term Structure2.1%-1.1%4.2%1.3%3.8%
VWIV27.2%20.2%42.3%42.3%20.2%
Skew 25d8.9%6.5%11.9%10.6%11.3%
Skew 10d20.3%9.0%30.8%13.6%16.2%
Call IV 25d24.6%19.7%32.1%32.1%19.7%
Put IV 25d33.5%27.5%42.6%42.6%31.0%
Bid-Ask Spread %57.8933.7383.6682.2183.66
Gamma HHI0.090.090.100.090.10
Net GEX624.0K-123.8K1.1M-123.8K1.1M
Net DEX1.5M-11.6M17.5M17.5M-10.7M
Net VEX-373.4K-380.2K-358.6K-358.6K-375.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0015.950.050.18
Total Volume559.095782,186803221
Total OI44,107.52442,22245,87542,28745,473

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$38.22$39.0035.9%10.3%29.4%62.3%42.3%10.6%1.3%-123.8K17.5M-358.6K0.0582.21N/AN/A7643917,50024,787
2010-07-02$38.30$39.0035.2%10.1%26.6%59.8%28.5%11.8%0.6%-19.1K15.2M-368.0K2.9738.90N/AN/A15445818,22524,806
2010-07-06$38.96$39.0034.6%9.9%26.6%57.9%30.8%8.3%-1.1%161.3K10.5M-372.1K0.4945.25N/AN/A1195818,32125,187
2010-07-07$39.72$39.0032.9%8.8%26.4%52.2%28.1%10.5%2.3%306.9K8.4M-371.1K0.0040.27N/AN/A817418,40225,235
2010-07-08$39.98$39.0029.5%9.0%26.2%40.5%30.6%8.7%1.2%611.7K4.9M-374.5K1.0637.21N/AN/A11111819,18325,231
2010-07-09$40.48$39.0028.5%8.7%24.4%37.2%28.3%8.2%1.7%852.0K958.5K-376.5K0.4349.68N/AN/A1546619,24925,293
2010-07-12$40.17$39.0034.5%8.7%24.6%57.4%26.9%11.1%2.2%840.5K2.9M-369.7K0.4758.10N/AN/A532519,31025,321
2010-07-13$40.65$39.0027.0%8.1%24.8%32.2%27.5%8.8%1.8%1.1M-1.3M-370.3K15.9556.63N/AN/A1292,05719,35625,323
2010-07-14$40.59$39.0026.9%8.2%22.6%31.8%30.7%9.6%3.1%1.1M1.3M-379.4K0.6261.93N/AN/A603719,45425,897
2010-07-15$40.49$39.0030.1%8.6%22.6%42.7%27.2%8.8%1.9%1.1M2.3M-377.9K0.0555.75N/AN/A6463019,48625,907
2010-07-16$39.37$39.0030.9%8.9%24.8%45.3%26.0%9.2%2.0%480.2K8.1M-377.0K7.6264.05N/AN/A10277719,95425,921
2010-07-19$39.87$40.0028.1%8.0%25.1%35.8%27.6%11.9%3.0%17.2K9.9M-370.3K0.0468.77N/AN/A6542817,33424,888
2010-07-20$40.63$39.0025.7%7.4%25.2%27.9%24.4%9.6%3.2%248.4K4.9M-369.1K0.6469.36N/AN/A34822117,93024,916
2010-07-21$40.27$39.0028.2%8.1%24.4%36.3%25.3%7.0%3.1%327.8K2.8M-378.5K0.0467.49N/AN/A6102418,25325,020
2010-07-22$41.32$39.0026.4%7.6%26.0%30.3%23.4%6.5%2.2%520.7K-2.4M-374.4K0.0171.02N/AN/A480518,01425,027
2010-07-23$41.65$39.0023.4%6.7%25.4%19.9%24.7%7.3%2.7%643.3K-5.4M-376.6K0.1560.99N/AN/A2293518,50425,032
2010-07-26$41.91$39.0022.2%6.4%25.2%16.1%22.6%7.1%4.2%787.6K-7.0M-368.8K0.0377.61N/AN/A3461118,66225,041
2010-07-27$41.81$39.0023.6%6.8%25.1%20.8%26.5%6.7%2.7%893.2K-9.2M-375.7K0.1653.26N/AN/A1,22019818,98825,051
2010-07-28$41.61$39.0024.5%7.0%20.0%23.9%23.4%6.7%2.3%1.0M-10.1M-380.2K0.0733.73N/AN/A1541120,17725,237
2010-07-29$41.73$39.0024.6%7.0%19.5%24.0%25.2%7.4%0.8%1.1M-11.6M-377.4K0.8939.73N/AN/A897920,29825,065
2010-07-30$41.87$39.0022.8%6.5%19.5%18.2%20.2%11.3%3.8%1.1M-10.7M-375.9K0.1883.66N/AN/A1873420,36525,108