VWO Options History — September 2010

In September 2010, VWO traded between $42.07 and $45.46. ATM implied volatility averaged 22.3%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.1% (HV 20d: 19.2%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2010-09-07: Highest Volume — 4,297 contracts
  • 2010-09-07: Largest IV spike — 21.4% change
  • 2010-09-10: Highest IV Rank — 23.1%
  • 2010-09-08: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.75$42.07$45.46$42.16$45.46
Max Pain$41.86$40.00$43.00$40.00$43.00
ATM IV22.3%19.4%24.3%23.7%22.0%
Expected Move6.5%5.9%7.6%6.8%6.3%
HV 20d19.2%13.1%22.0%21.2%13.1%
HV 60d20.7%18.5%22.5%22.5%18.5%
IV Rank16.4%6.5%23.1%21.1%15.3%
IV Percentile13.6%2.0%28.2%21.8%12.3%
Term Structure2.1%-0.6%3.9%2.6%2.4%
VWIV22.0%19.8%25.3%22.6%22.5%
Skew 25d5.9%4.1%7.9%4.1%5.7%
Skew 10d13.3%9.6%19.9%13.2%12.8%
Call IV 25d19.7%18.0%22.2%20.4%19.2%
Put IV 25d25.6%22.9%30.0%24.5%24.9%
Bid-Ask Spread %46.4719.5389.2078.2980.14
Gamma HHI0.180.120.300.120.19
Net GEX3.0M1.4M5.7M2.2M2.6M
Net DEX-30.6M-43.5M-16.5M-16.5M-43.5M
Net VEX-344.6K-366.4K-306.1K-341.4K-358.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.0310.940.110.17
Total Volume1,016.9521524,297479383
Total OI49,481.76242,32953,61048,67349,681

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$42.16$40.0023.7%6.8%21.2%21.1%22.6%4.1%2.6%2.2M-16.5M-341.4K0.1178.29N/AN/A4314822,83325,840
2010-09-02$42.18$40.0022.3%6.4%21.2%16.4%19.8%4.5%3.5%2.4M-17.3M-343.0K0.1156.25N/AN/A5125823,14225,852
2010-09-03$42.65$42.0019.4%6.7%21.6%6.5%22.8%6.1%3.9%2.9M-23.9M-341.5K0.2233.41N/AN/A1753823,51625,883
2010-09-07$42.07$42.0023.5%7.4%22.0%20.4%23.0%7.8%1.4%2.7M-17.8M-334.9K10.9427.22N/AN/A3603,93723,63825,914
2010-09-08$42.50$42.0023.1%7.6%21.8%19.0%25.3%7.9%1.3%3.0M-20.7M-349.4K0.3827.05N/AN/A70326923,93427,156
2010-09-09$42.71$42.0024.0%6.9%18.7%22.1%23.2%6.0%2.7%3.3M-24.7M-348.8K0.1723.52N/AN/A96716524,48627,280
2010-09-10$42.93$42.0024.3%7.0%18.7%23.1%21.8%5.8%2.3%3.7M-28.1M-346.7K4.7025.79N/AN/A13663925,08827,148
2010-09-13$43.83$42.0022.0%6.3%19.8%15.2%21.4%7.1%1.9%4.0M-42.8M-335.2K0.4519.53N/AN/A52123525,21527,721
2010-09-14$43.85$42.0020.6%5.9%19.7%10.8%21.3%6.3%3.6%4.1M-39.2M-336.4K0.0826.04N/AN/A9878024,51427,929
2010-09-15$43.88$42.0022.1%6.3%19.5%15.8%22.2%6.4%2.6%4.8M-40.5M-333.4K1.5223.66N/AN/A20130625,08627,924
2010-09-16$43.68$42.0021.9%6.3%19.6%15.2%22.7%6.1%2.3%5.3M-37.9M-330.9K0.0632.73N/AN/A6863825,16427,808
2010-09-17$43.66$42.0022.4%6.4%19.3%16.5%21.5%5.1%3.1%5.7M-38.2M-333.3K0.0548.38N/AN/A5493025,76427,846
2010-09-20$44.36$42.0021.9%6.3%19.9%14.9%21.3%4.2%1.1%1.4M-22.7M-306.1K0.0441.68N/AN/A2,56510317,63924,690
2010-09-21$44.33$42.0021.8%6.2%19.4%14.6%22.2%6.6%2.3%1.8M-25.0M-347.4K0.2338.55N/AN/A77217920,01324,769
2010-09-22$44.34$42.0021.9%6.3%18.7%15.1%20.1%5.5%1.4%2.0M-27.1M-353.4K0.0630.97N/AN/A1,2948320,75924,862
2010-09-23$44.10$42.0023.2%6.6%18.8%19.2%22.3%6.2%2.2%2.1M-27.2M-366.4K0.2534.70N/AN/A1223021,94524,935
2010-09-24$44.87$42.0021.4%6.1%18.8%13.2%19.8%5.3%0.6%2.4M-35.3M-359.0K1.3389.20N/AN/A46962222,03924,965
2010-09-27$44.78$42.0021.9%6.3%18.1%15.1%21.8%5.1%2.1%2.3M-34.5M-360.4K0.0375.68N/AN/A1,7884722,45125,569
2010-09-28$45.08$42.0023.7%6.8%16.7%21.2%23.4%7.8%-0.6%2.5M-38.0M-350.7K2.5486.64N/AN/A14737323,21825,606
2010-09-29$45.24$42.0021.7%6.2%16.7%14.4%21.8%5.2%2.2%2.5M-40.7M-360.5K0.3276.46N/AN/A2347423,32625,969
2010-09-30$45.46$43.0022.0%6.3%13.1%15.3%22.5%5.7%2.4%2.6M-43.5M-358.7K0.1780.14N/AN/A3275623,64426,037