VWO Options History — December 2010

In December 2010, VWO traded between $46.89 and $48.15. ATM implied volatility averaged 20.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.4% (HV 20d: 21.9%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2010-12-20: Highest Volume — 4,029 contracts
  • 2010-12-22: Largest IV spike — 17.0% change
  • 2010-12-01: Highest IV Rank — 26.7%
  • 2010-12-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.38$46.89$48.15$46.91$48.15
Max Pain$44.59$42.00$48.00$45.00$48.00
ATM IV20.5%15.7%25.4%25.4%19.5%
Expected Move5.8%4.5%7.3%7.3%5.6%
HV 20d21.9%11.3%27.6%27.1%11.3%
HV 60d20.0%19.7%20.3%20.1%19.8%
IV Rank12.3%0.0%26.7%26.7%12.1%
IV Percentile14.0%0.0%54.4%54.4%6.3%
Term Structure1.9%-0.9%3.8%-0.5%2.2%
VWIV20.1%15.7%24.2%23.5%19.2%
Skew 25d4.5%2.2%6.7%6.7%4.7%
Skew 10d12.4%7.4%20.9%11.6%14.6%
Call IV 25d18.6%15.7%22.2%22.2%18.0%
Put IV 25d23.1%18.5%28.9%28.9%22.7%
Bid-Ask Spread %71.5619.1686.0251.6419.16
Gamma HHI0.140.110.190.160.16
Net GEX2.8M1.4M4.0M3.0M2.1M
Net DEX-47.1M-64.2M-23.8M-47.1M-38.3M
Net VEX-281.0K-343.5K-229.2K-283.3K-343.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.0010.350.080.15
Total Volume860.5911164,029643478
Total OI48,514.22739,15155,23153,29744,044

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$46.91$45.0025.4%7.3%27.1%26.7%23.5%6.7%-0.5%3.0M-47.1M-283.3K0.0851.64N/AN/A5935024,76628,531
2010-12-02$47.65$45.0022.5%6.5%27.6%17.1%24.2%6.5%-0.4%3.3M-57.2M-269.4K0.0047.90N/AN/A512125,22428,557
2010-12-03$47.81$45.0021.9%6.3%26.4%15.1%22.1%4.8%-0.9%3.4M-60.2M-266.1K0.1357.98N/AN/A2453225,42928,557
2010-12-06$47.79$42.0022.4%6.2%26.4%16.6%22.1%6.3%-0.4%3.5M-60.5M-257.6K0.0870.58N/AN/A1,1348825,45328,587
2010-12-07$47.57$42.0022.0%5.9%26.4%15.2%20.5%5.9%1.9%3.5M-59.5M-279.1K0.0873.11N/AN/A3542726,44228,669
2010-12-08$47.28$42.0023.0%6.3%26.2%18.7%19.7%4.3%2.3%3.8M-57.4M-256.3K0.0473.09N/AN/A9193926,57628,655
2010-12-09$47.17$42.0022.8%6.3%26.1%18.0%23.4%4.4%1.3%3.8M-55.4M-262.9K1.0073.57N/AN/A838326,15824,821
2010-12-10$47.38$42.0021.8%6.0%26.1%14.8%20.3%4.3%1.6%4.0M-58.2M-253.2K0.4972.97N/AN/A1909426,17724,802
2010-12-13$47.63$42.0019.4%5.5%24.7%6.6%18.9%5.4%1.6%3.6M-64.2M-229.2K2.9776.74N/AN/A22165626,13624,765
2010-12-14$47.68$42.0019.9%5.4%24.7%8.2%20.8%4.7%2.0%3.4M-61.8M-245.2K0.3682.44N/AN/A65923926,18425,394
2010-12-15$46.98$42.0019.8%5.7%23.2%8.1%21.1%2.8%3.6%3.6M-53.2M-254.2K0.0680.54N/AN/A5072826,38325,580
2010-12-16$47.25$43.0020.8%6.0%23.2%11.2%20.1%4.5%2.1%3.1M-56.2M-246.4K0.1979.74N/AN/A75013926,42025,573
2010-12-17$47.21$43.0018.6%5.3%21.8%3.9%16.8%4.1%3.7%3.5M-58.5M-243.1K0.1079.00N/AN/A6586626,95925,532
2010-12-20$47.07$43.0018.0%5.2%21.8%1.9%18.1%2.7%3.8%2.3M-32.6M-239.9K0.1378.12N/AN/A3,57445517,80121,746
2010-12-21$47.68$45.0015.7%4.5%22.3%0.0%15.7%2.5%2.9%2.8M-41.2M-289.1K0.6775.03N/AN/A31120820,59522,066
2010-12-22$47.05$48.0018.3%5.3%19.4%8.5%18.4%4.7%3.4%1.4M-23.8M-285.1K0.0380.77N/AN/A3,0908816,92822,223
2010-12-23$46.98$48.0019.4%5.6%17.8%11.8%20.2%3.1%2.9%1.7M-28.3M-331.0K10.3578.16N/AN/A7880719,89822,308
2010-12-27$46.89$48.0020.1%5.8%15.9%14.1%20.1%2.2%1.9%1.6M-27.0M-335.9K0.7879.35N/AN/A15712219,95223,103
2010-12-28$46.93$48.0020.0%5.7%15.8%13.7%20.3%3.1%2.0%1.6M-27.2M-333.5K0.0079.10N/AN/A116019,99723,212
2010-12-29$47.50$48.0020.8%6.0%15.9%16.2%18.2%4.5%3.2%1.7M-31.8M-336.8K0.0779.35N/AN/A6274520,10323,212
2010-12-30$47.84$48.0019.6%5.6%12.4%12.4%18.0%6.5%2.4%2.0M-35.9M-340.3K0.0886.02N/AN/A3812920,56523,230
2010-12-31$48.15$48.0019.5%5.6%11.3%12.1%19.2%4.7%2.2%2.1M-38.3M-343.5K0.1519.16N/AN/A4176120,80823,236