VWO Options History — October 2010

In October 2010, VWO traded between $45.93 and $47.52. ATM implied volatility averaged 21.3%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.3% (HV 20d: 15.0%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2010-10-13: Highest Volume — 2,702 contracts
  • 2010-10-14: Largest IV spike — 21.9% change
  • 2010-10-19: Highest IV Rank — 21.8%
  • 2010-10-07: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.84$45.93$47.52$46.17$46.87
Max Pain$44.14$43.00$45.00$43.00$45.00
ATM IV21.3%17.9%23.9%19.7%22.7%
Expected Move6.4%5.6%6.9%5.6%6.5%
HV 20d15.0%12.2%18.5%13.7%17.7%
HV 60d17.9%16.6%18.7%18.7%17.9%
IV Rank12.9%1.7%21.8%7.6%17.6%
IV Percentile14.5%0.4%34.5%2.8%26.6%
Term Structure1.8%-1.4%4.4%4.3%2.2%
VWIV22.8%19.7%25.8%19.7%25.8%
Skew 25d5.0%2.7%6.2%3.8%4.9%
Skew 10d10.3%-1.4%13.6%9.4%10.7%
Call IV 25d20.3%17.5%22.9%17.5%20.7%
Put IV 25d25.3%21.3%26.8%21.3%25.7%
Bid-Ask Spread %69.1046.6390.3390.3374.76
Gamma HHI0.150.120.190.180.13
Net GEX2.2M1.8M2.8M2.5M2.1M
Net DEX-57.2M-73.5M-43.9M-53.5M-50.0M
Net VEX-318.9K-347.8K-290.3K-337.6K-291.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0025.430.030.54
Total Volume656.81632,7021,71263
Total OI51,517.85749,52654,29749,93952,479

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$46.17$43.0019.7%5.6%13.7%7.6%19.7%3.8%4.3%2.5M-53.5M-337.6K0.0390.33N/AN/A1,6595323,89526,044
2010-10-04$46.13$44.0020.5%6.7%13.6%10.3%23.7%6.1%0.6%2.6M-53.5M-333.7K0.5664.91N/AN/A1176524,23726,083
2010-10-05$46.81$44.0019.8%6.3%12.4%7.9%24.4%4.4%1.3%2.8M-61.3M-315.4K0.9874.27N/AN/A20720324,32326,116
2010-10-06$46.90$44.0019.6%6.5%12.3%7.4%22.0%5.9%1.3%2.2M-60.9M-342.2K0.0462.53N/AN/A1,1684924,59826,310
2010-10-07$46.45$44.0022.6%6.9%13.4%17.3%23.7%6.2%0.6%2.6M-60.5M-347.8K0.6560.69N/AN/A18812225,67426,349
2010-10-08$46.94$44.0018.9%6.4%13.5%4.7%21.4%5.3%1.3%2.7M-67.5M-313.8K0.4267.30N/AN/A1918025,68126,411
2010-10-11$46.92$44.0019.2%6.5%12.2%6.0%22.6%5.4%1.6%2.5M-68.3M-313.3K25.4359.27N/AN/A751,90725,81226,428
2010-10-12$46.73$44.0018.1%6.5%12.4%2.1%23.7%5.6%1.4%2.3M-63.0M-340.8K0.6946.63N/AN/A1409725,85827,328
2010-10-13$47.46$44.0017.9%6.4%13.1%1.7%24.9%5.6%-1.4%1.8M-73.5M-319.0K0.1667.69N/AN/A2,32837425,88627,419
2010-10-14$47.52$44.0021.9%6.3%12.8%14.8%22.4%5.7%0.7%1.8M-72.0M-331.0K0.1168.26N/AN/A1681926,52727,770
2010-10-15$47.42$44.0023.1%6.6%12.9%19.0%21.7%5.2%1.0%1.9M-70.1M-320.2K0.0063.47N/AN/A440126,18127,877
2010-10-18$47.39$44.0021.9%6.3%12.2%15.1%21.4%3.8%3.2%2.0M-51.4M-317.7K0.1367.17N/AN/A5277122,38627,140
2010-10-19$45.93$44.0023.9%6.9%17.3%21.8%23.9%2.7%4.4%1.8M-43.9M-317.6K0.4374.34N/AN/A1727422,71227,207
2010-10-20$46.71$44.0022.4%6.4%18.1%16.7%22.5%5.0%2.5%1.8M-47.1M-317.4K0.4563.92N/AN/A25111222,77127,257
2010-10-21$46.66$44.0023.3%6.7%17.9%19.6%23.8%4.6%2.5%2.1M-49.1M-307.2K0.9669.40N/AN/A26725522,93727,358
2010-10-22$46.78$44.0021.9%6.3%17.1%15.2%22.4%4.6%2.5%2.0M-48.3M-319.8K0.3369.76N/AN/A481623,15227,504
2010-10-25$47.29$44.0021.4%6.2%17.3%13.5%21.5%5.1%4.3%2.4M-56.8M-290.3K2.2379.07N/AN/A24855223,19427,518
2010-10-26$47.29$45.0022.9%6.6%17.2%18.5%21.9%4.4%0.2%2.3M-54.4M-297.1K0.1277.59N/AN/A5075923,40128,048
2010-10-27$46.51$45.0022.5%6.5%18.5%17.1%23.4%4.9%1.2%2.0M-45.5M-317.7K0.1374.41N/AN/A3654923,84128,106
2010-10-28$46.75$45.0022.5%6.5%18.5%17.1%22.6%5.3%1.4%2.2M-49.5M-305.7K1.6475.40N/AN/A19231423,91528,142
2010-10-29$46.87$45.0022.7%6.5%17.7%17.6%25.8%4.9%2.2%2.1M-50.0M-291.5K0.5474.76N/AN/A412224,07528,404