VWO Options History — January 2011

In January 2011, VWO traded between $46.01 and $48.88. ATM implied volatility averaged 19.8%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.3% (HV 20d: 14.5%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 11.53.

Notable Days

  • 2011-01-04: Highest Volume — 5,159 contracts
  • 2011-01-13: Largest IV spike — 44.4% change
  • 2011-01-31: Highest IV Rank — 27.9%
  • 2011-01-31: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.82$46.01$48.88$48.62$46.49
Max Pain$47.20$47.00$48.00$48.00$47.00
ATM IV19.8%14.5%23.6%18.2%23.6%
Expected Move5.9%5.1%6.8%5.2%6.8%
HV 20d14.5%11.7%18.6%11.8%18.6%
HV 60d19.5%19.1%20.4%19.8%20.0%
IV Rank15.3%0.0%27.9%8.1%27.9%
IV Percentile14.6%0.0%51.6%2.4%51.6%
Term Structure1.4%-0.8%3.0%2.1%1.1%
VWIV20.3%16.2%23.2%19.5%20.8%
Skew 25d4.8%2.9%6.4%5.1%5.3%
Skew 10d9.5%2.0%15.5%15.5%2.0%
Call IV 25d18.2%15.2%20.3%17.4%19.7%
Put IV 25d23.1%20.6%25.0%22.5%25.0%
Bid-Ask Spread %82.4769.8789.0879.7284.89
Gamma HHI0.170.130.220.170.14
Net GEX2.3M858.0K3.6M2.3M1.1M
Net DEX-34.2M-45.7M-17.4M-45.2M-18.9M
Net VEX-350.6K-368.1K-332.7K-332.7K-366.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.530.08205.360.080.13
Total Volume906.61155,159358523
Total OI43,104.236,97945,80144,33641,001

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$48.62$48.0018.2%5.2%11.8%8.1%19.5%5.1%2.1%2.3M-45.2M-332.7K0.0879.72N/AN/A3332521,07623,260
2011-01-04$48.81$48.0018.6%5.3%11.8%9.3%22.8%3.7%2.7%2.4M-45.7M-335.5K205.3670.03N/AN/A255,13421,25223,278
2011-01-05$48.63$48.0018.3%5.2%11.7%8.4%18.5%4.2%2.2%2.4M-45.2M-335.2K0.8569.87N/AN/A625321,26421,224
2011-01-06$48.20$48.0019.8%5.7%12.0%13.1%20.6%5.3%1.9%2.5M-41.3M-338.8K13.0072.59N/AN/A1652,14521,29921,276
2011-01-07$47.75$47.0018.4%5.9%12.5%8.7%23.2%3.7%2.0%2.3M-33.7M-368.1K2.1085.69N/AN/A8618121,41723,395
2011-01-10$47.26$47.0020.7%6.6%13.0%15.9%22.3%2.9%0.4%2.0M-27.1M-360.7K0.7483.11N/AN/A13610121,44623,471
2011-01-11$47.79$47.0018.1%6.1%13.5%7.8%21.1%5.4%-0.8%2.4M-32.7M-360.9K2.5983.19N/AN/A7118421,46323,514
2011-01-12$48.88$47.0014.5%5.7%15.7%0.0%18.8%4.0%-0.7%3.6M-45.5M-344.4K0.4489.08N/AN/A26411621,51023,664
2011-01-13$48.33$47.0020.9%6.0%15.2%19.6%20.7%5.7%1.6%2.9M-39.9M-360.0K0.1387.51N/AN/A1261721,73423,769
2011-01-14$48.46$47.0021.1%6.0%15.1%20.3%20.3%6.4%-0.5%3.3M-41.0M-351.8K0.3386.17N/AN/A1695621,75523,784
2011-01-18$48.45$47.0021.1%6.0%15.1%20.2%21.3%4.7%1.7%3.6M-40.7M-351.4K0.3284.67N/AN/A2658421,80623,830
2011-01-19$48.05$47.0020.5%5.9%15.5%18.6%19.4%4.7%1.3%3.2M-37.0M-349.1K0.2784.67N/AN/A1654421,89423,749
2011-01-20$47.63$47.0020.2%5.8%15.2%17.7%20.3%5.9%2.3%2.9M-30.2M-342.2K0.3884.33N/AN/A41315821,88423,770
2011-01-21$47.16$47.0022.1%6.3%14.8%23.3%22.5%4.1%0.8%858.0K-26.7M-349.1K0.8983.70N/AN/A20117821,91723,884
2011-01-24$47.48$47.0020.3%5.8%15.0%17.9%19.0%5.3%2.3%1.5M-28.7M-341.5K0.2179.56N/AN/A72815418,95818,021
2011-01-25$47.20$47.0020.8%6.0%15.1%19.3%20.4%4.5%0.9%1.7M-27.8M-345.1K0.9585.22N/AN/A1,6491,56419,66718,174
2011-01-26$47.64$47.0017.9%5.1%15.5%10.5%16.5%5.1%3.0%1.7M-30.3M-360.4K0.2188.25N/AN/A4579519,85619,437
2011-01-27$47.48$47.0019.1%5.5%14.9%14.3%16.2%6.0%2.2%1.7M-29.6M-359.2K0.0883.76N/AN/A2582020,09119,474
2011-01-28$46.01$47.0022.5%6.4%18.4%24.5%21.2%4.9%2.2%1.1M-17.4M-360.2K1.4883.40N/AN/A6961,03120,33219,488
2011-01-31$46.49$47.0023.6%6.8%18.6%27.9%20.8%5.3%1.1%1.1M-18.9M-366.5K0.1384.89N/AN/A4645920,54420,457