VWO Options History — November 2010

In November 2010, VWO traded between $45.54 and $49.32. ATM implied volatility averaged 23.9%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.3% (HV 20d: 20.6%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.96.

Notable Days

  • 2010-11-05: Highest Volume — 5,354 contracts
  • 2010-11-11: Largest IV spike — 12.7% change
  • 2010-11-30: Highest IV Rank — 37.2%
  • 2010-11-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.32$45.54$49.32$47.36$45.54
Max Pain$44.38$44.00$45.00$45.00$45.00
ATM IV23.9%20.0%28.5%22.9%28.5%
Expected Move6.9%6.0%8.2%6.6%8.2%
HV 20d20.6%17.8%25.4%18.0%25.1%
HV 60d18.3%16.9%20.0%17.9%19.5%
IV Rank21.8%8.6%37.2%18.5%37.2%
IV Percentile37.3%5.6%72.2%29.0%72.2%
Term Structure-0.0%-2.6%2.5%2.5%-1.7%
VWIV24.3%19.1%29.2%19.1%29.2%
Skew 25d5.2%1.8%6.9%5.6%6.9%
Skew 10d10.4%4.1%19.1%12.2%13.6%
Call IV 25d22.1%19.4%25.8%19.4%25.1%
Put IV 25d27.3%22.3%32.0%25.0%32.0%
Bid-Ask Spread %53.5740.1686.2684.7654.74
Gamma HHI0.150.130.190.140.18
Net GEX2.7M2.1M3.1M2.5M2.5M
Net DEX-53.7M-84.1M-30.4M-58.1M-30.4M
Net VEX-277.2K-303.1K-218.4K-286.0K-296.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.960.0355.360.270.33
Total Volume1,018.4291025,354288227
Total OI54,014.76249,77656,74252,52453,162

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$47.36$45.0022.9%6.6%18.0%18.5%19.1%5.6%2.5%2.5M-58.1M-286.0K0.2784.76N/AN/A2266224,09928,425
2010-11-02$47.92$45.0022.2%6.4%17.8%16.2%23.0%3.0%2.3%2.6M-61.6M-295.1K0.0375.66N/AN/A291824,27828,475
2010-11-03$48.25$45.0021.7%6.2%17.9%14.4%27.5%4.1%0.9%2.9M-70.8M-260.6K2.7386.26N/AN/A11531424,52928,483
2010-11-04$49.32$45.0020.8%6.0%18.8%11.2%20.5%1.8%0.8%3.1M-84.1M-234.6K3.5372.51N/AN/A3871,36624,60328,767
2010-11-05$49.24$44.0020.0%6.0%18.7%8.6%22.8%4.3%0.1%2.9M-80.0M-255.0K55.3644.96N/AN/A955,25924,78729,795
2010-11-08$49.00$44.0021.1%6.3%18.8%12.4%21.1%5.3%0.2%3.1M-78.2M-243.6K13.2741.88N/AN/A1261,67224,66329,176
2010-11-09$48.47$44.0022.6%6.7%19.3%17.2%21.9%2.7%0.3%2.9M-68.8M-279.3K0.9141.15N/AN/A20118324,63430,838
2010-11-10$48.73$44.0020.9%6.5%18.6%11.8%22.7%6.7%-0.3%2.8M-69.5M-281.0K0.1940.52N/AN/A2184124,67730,985
2010-11-11$48.36$44.0023.6%6.8%18.9%20.7%22.2%6.0%-0.1%3.0M-65.6M-285.9K0.2840.16N/AN/A802224,85231,012
2010-11-12$47.22$44.0026.2%7.5%20.8%29.5%29.1%6.1%-1.5%2.7M-50.7M-303.1K0.4441.51N/AN/A1,59469924,84031,014
2010-11-15$47.16$44.0026.3%7.5%20.8%29.8%25.7%5.7%-1.0%2.7M-51.3M-297.7K0.4041.09N/AN/A32312825,12831,155
2010-11-16$45.90$44.0028.1%8.0%20.0%35.8%28.0%4.6%-0.9%2.1M-34.1M-299.2K0.7542.00N/AN/A28821525,24331,198
2010-11-17$46.10$44.0027.1%7.8%19.1%32.4%25.8%5.5%-1.5%2.3M-36.0M-302.9K0.4945.00N/AN/A1457125,25731,360
2010-11-18$47.15$44.0024.1%6.9%20.8%22.4%24.3%4.9%-0.6%2.8M-50.4M-285.0K0.8043.98N/AN/A15212125,25731,410
2010-11-19$47.21$44.0022.8%6.5%20.8%18.1%22.5%6.9%0.5%2.5M-51.2M-280.5K1.0244.51N/AN/A36537125,28831,454
2010-11-22$47.11$44.0022.4%6.4%20.4%16.8%22.2%5.8%0.1%2.6M-49.1M-218.4K0.1356.64N/AN/A1,20015822,30827,468
2010-11-23$45.60$44.0025.1%7.2%23.5%25.7%27.6%6.5%0.9%2.5M-30.9M-281.7K0.4753.54N/AN/A1,74282123,24027,619
2010-11-24$46.60$45.0022.9%6.6%24.2%18.3%21.9%5.1%1.1%2.6M-41.3M-284.6K0.2557.51N/AN/A2155323,28028,146
2010-11-26$45.60$45.0025.1%7.2%25.3%25.9%25.7%5.6%-0.3%2.5M-31.2M-279.4K1.2660.26N/AN/A617723,45628,197
2010-11-29$45.86$45.0027.8%8.0%25.4%34.9%28.4%6.8%-2.6%2.7M-33.7M-270.8K0.2156.27N/AN/A1,40329223,49828,254
2010-11-30$45.54$45.0028.5%8.2%25.1%37.2%29.2%6.9%-1.7%2.5M-30.4M-296.9K0.3354.74N/AN/A1715624,67728,485