VWO Options History — August 2010

In August 2010, VWO traded between $40.39 and $42.96. ATM implied volatility averaged 24.6%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.2% (HV 20d: 19.3%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.88.

Notable Days

  • 2010-08-25: Highest Volume — 3,972 contracts
  • 2010-08-10: Largest IV spike — 17.6% change
  • 2010-08-11: Highest IV Rank — 35.7%
  • 2010-08-11: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.71$40.39$42.96$42.96$40.80
Max Pain$39.86$39.00$40.00$39.00$40.00
ATM IV24.6%21.8%28.0%22.0%24.0%
Expected Move7.1%6.3%7.9%6.3%6.9%
HV 20d19.3%17.1%23.1%20.8%17.3%
HV 60d26.9%22.0%31.9%31.9%22.0%
IV Rank24.0%14.8%35.7%15.4%22.2%
IV Percentile25.3%6.7%46.8%8.3%22.2%
Term Structure3.4%1.8%5.9%3.1%4.5%
VWIV25.3%21.7%35.8%23.5%23.9%
Skew 25d6.5%3.4%9.0%8.8%5.5%
Skew 10d13.5%3.7%22.5%3.7%9.4%
Call IV 25d22.2%15.5%24.2%15.5%23.1%
Put IV 25d28.7%24.3%32.4%24.3%28.7%
Bid-Ask Spread %58.2322.5194.7394.4394.73
Gamma HHI0.100.090.110.110.10
Net GEX1.4M873.5K1.9M1.5M1.4M
Net DEX-11.7M-24.2M483.2K-23.7M-1.5M
Net VEX-348.2K-369.9K-326.6K-361.5K-344.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.0125.820.120.03
Total Volume648.091693,972549255
Total OI46,647.54544,82048,53645,61448,536

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$42.96$39.0022.0%6.3%20.8%15.4%23.5%8.8%3.1%1.5M-23.7M-361.5K0.1294.43N/AN/A4896020,48325,131
2010-08-03$42.75$39.0021.8%6.3%20.7%14.8%21.9%9.0%3.6%1.4M-20.9M-368.7K0.4689.66N/AN/A502320,80425,134
2010-08-04$42.89$39.0022.8%6.5%19.9%18.2%22.7%7.4%2.9%1.5M-22.6M-366.8K0.1789.34N/AN/A2163620,84725,152
2010-08-05$42.74$40.0022.9%6.6%20.1%18.3%25.8%6.9%2.6%1.6M-21.7M-369.9K1.0823.43N/AN/A17018320,97925,165
2010-08-06$42.64$40.0022.4%7.1%19.9%16.6%22.1%6.2%2.1%1.6M-20.5M-366.9K0.5728.59N/AN/A442521,13125,322
2010-08-09$42.88$40.0022.1%7.0%19.5%15.5%25.2%6.3%3.1%1.7M-24.2M-360.9K0.7444.19N/AN/A473521,16625,329
2010-08-10$42.28$40.0025.9%7.5%20.2%28.6%26.3%7.3%2.4%1.6M-18.2M-359.2K0.7282.88N/AN/A25918721,21125,333
2010-08-11$41.03$40.0028.0%7.9%23.1%35.7%25.6%8.5%3.0%1.1M-6.0M-358.5K0.4134.68N/AN/A2319421,23125,377
2010-08-12$41.07$40.0027.3%7.8%23.1%33.2%26.6%7.2%1.8%1.1M-5.0M-350.3K0.2832.49N/AN/A1002821,22525,402
2010-08-13$41.31$40.0026.5%7.6%20.5%30.5%23.4%6.5%4.0%1.3M-8.1M-352.6K0.4180.82N/AN/A1114621,17325,418
2010-08-16$41.64$40.0026.2%7.5%20.3%29.3%25.2%7.5%3.3%1.5M-9.8M-343.3K0.2792.09N/AN/A1143121,23025,462
2010-08-17$42.10$40.0025.9%7.4%19.6%28.4%27.4%6.7%2.7%1.9M-16.1M-342.7K0.2261.35N/AN/A1102421,30325,468
2010-08-18$42.03$40.0024.8%7.1%19.2%24.7%25.8%5.7%3.4%1.9M-16.3M-341.5K0.0357.56N/AN/A8332821,33625,476
2010-08-19$41.73$40.0024.6%7.1%17.3%24.1%25.3%5.3%2.9%1.8M-14.0M-340.7K0.3362.78N/AN/A702322,13925,486
2010-08-20$41.68$40.0023.8%6.8%17.1%21.3%24.5%6.0%4.0%1.7M-11.7M-333.8K0.4757.26N/AN/A29514022,15625,487
2010-08-23$41.31$40.0023.7%6.8%17.2%21.0%22.2%5.2%5.9%1.3M-7.7M-327.9K0.0140.53N/AN/A7471020,10824,712
2010-08-24$40.86$40.0025.7%7.4%17.6%27.7%25.5%5.7%2.8%983.1K-2.4M-327.4K0.0529.42N/AN/A1,2305920,77224,722
2010-08-25$40.68$40.0026.2%7.5%17.6%29.4%30.5%7.1%2.6%873.5K483.2K-326.6K8.2686.00N/AN/A4293,54321,32324,751
2010-08-26$40.39$40.0025.6%7.3%17.6%27.6%24.9%3.4%4.3%974.2K-262.2K-343.3K0.7545.42N/AN/A755621,44126,509
2010-08-27$41.21$40.0024.7%7.1%19.2%24.6%21.7%5.0%3.1%1.4M-4.4M-335.6K0.1530.90N/AN/A1,21417821,50225,264
2010-08-30$40.60$40.0023.5%6.7%17.1%20.5%35.8%5.4%5.5%1.3M-2.5M-338.0K25.8222.51N/AN/A882,27222,63425,416
2010-08-31$40.80$40.0024.0%6.9%17.3%22.2%23.9%5.5%4.5%1.4M-1.5M-344.5K0.0394.73N/AN/A248722,69725,839