VWO Options History — February 2011

In February 2011, VWO traded between $45.29 and $47.49. ATM implied volatility averaged 21.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.9% (HV 20d: 19.6%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.74.

Notable Days

  • 2011-02-09: Highest Volume — 20,811 contracts
  • 2011-02-22: Largest IV spike — 23.4% change
  • 2011-02-23: Highest IV Rank — 31.6%
  • 2011-02-23: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.31$45.29$47.49$47.49$46.41
Max Pain$45.11$44.00$47.00$47.00$45.00
ATM IV21.5%19.1%24.8%21.7%20.2%
Expected Move6.3%5.7%7.1%6.2%5.8%
HV 20d19.6%17.9%22.1%20.0%19.3%
HV 60d18.9%16.8%20.0%20.0%16.8%
IV Rank21.5%14.1%31.6%22.1%17.5%
IV Percentile29.7%7.5%65.9%24.6%16.3%
Term Structure1.2%-0.4%2.8%0.3%2.5%
VWIV21.7%18.4%25.0%20.1%19.9%
Skew 25d5.6%3.7%7.7%3.7%4.9%
Skew 10d13.8%-3.7%19.1%14.2%15.1%
Call IV 25d19.5%17.4%21.9%18.6%18.1%
Put IV 25d25.0%22.3%26.9%22.3%23.0%
Bid-Ask Spread %74.6756.2686.9585.6277.54
Gamma HHI0.340.140.490.160.49
Net GEX-2.3M-5.6M1.9M1.6M-5.5M
Net DEX6.5M-28.1M38.0M-28.1M12.5M
Net VEX-432.3K-486.6K-361.8K-368.6K-436.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.740.0348.790.400.15
Total Volume1,959.89523720,811671689
Total OI58,575.84241,32269,44641,32266,962

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$47.49$47.0021.7%6.2%20.0%22.1%20.1%3.7%0.3%1.6M-28.1M-368.6K0.4085.62N/AN/A47919220,83520,487
2011-02-02$47.12$47.0020.6%5.9%20.0%18.8%19.3%4.8%2.8%1.6M-27.9M-366.3K0.1586.95N/AN/A3064621,28220,631
2011-02-03$47.08$47.0020.3%5.8%20.0%17.9%19.7%6.5%2.2%1.6M-25.6M-365.5K0.0386.05N/AN/A1,2103421,38320,665
2011-02-04$47.06$44.0020.0%6.5%19.8%16.9%23.3%6.3%0.4%1.9M-26.4M-367.4K0.8177.17N/AN/A79964422,54920,679
2011-02-07$46.93$44.0019.8%6.3%19.6%16.4%21.9%7.7%-0.4%1.9M-25.6M-361.8K3.6278.87N/AN/A6282,27422,57520,720
2011-02-08$46.80$44.0019.1%6.0%19.3%14.1%22.0%5.4%1.4%1.6M-20.7M-382.2K1.8976.35N/AN/A25548322,73422,927
2011-02-09$45.89$44.0020.5%6.6%19.9%18.5%25.0%5.8%1.1%933.1K-11.8M-377.7K48.7976.14N/AN/A41820,39322,78823,038
2011-02-10$45.43$45.0023.5%6.8%17.9%27.8%23.9%5.5%0.9%-4.2M34.1M-484.7K2.0275.07N/AN/A25852122,83943,319
2011-02-11$45.92$45.0022.3%6.4%18.3%23.9%21.4%5.8%1.0%-4.0M26.2M-486.6K0.1575.67N/AN/A2063122,94943,760
2011-02-14$45.90$45.0022.0%6.3%18.2%22.9%22.2%5.9%1.0%-4.1M23.5M-475.3K0.5376.85N/AN/A25813823,04743,767
2011-02-15$45.99$45.0022.1%6.3%18.3%23.3%22.0%6.6%0.8%-4.1M22.5M-473.5K6.6177.31N/AN/A2761,82523,11943,840
2011-02-16$46.40$45.0021.7%6.2%18.6%22.1%21.5%6.6%1.8%-4.0M18.1M-475.3K1.3477.72N/AN/A22129623,37045,574
2011-02-17$46.61$45.0020.5%5.9%18.5%18.5%21.7%4.9%2.0%-3.9M13.9M-467.9K1.8378.88N/AN/A18533923,40645,714
2011-02-18$46.90$45.0019.8%5.7%18.4%16.3%20.4%4.9%2.3%-4.0M7.4M-462.8K0.1677.39N/AN/A84913423,51345,933
2011-02-22$45.33$45.0024.4%7.0%21.7%30.5%23.9%5.2%0.7%-5.2M34.5M-471.4K1.7159.41N/AN/A29750821,65745,127
2011-02-23$45.29$45.0024.8%7.1%21.7%31.6%23.6%4.9%0.2%-5.4M38.0M-468.0K0.5160.28N/AN/A30815721,78245,287
2011-02-24$45.39$45.0024.1%6.9%21.3%29.4%22.9%4.5%1.0%-5.6M36.5M-463.7K0.3259.23N/AN/A32310421,99145,316
2011-02-25$46.01$45.0021.0%6.0%22.1%20.1%18.4%5.8%1.6%-5.4M22.7M-458.1K0.0956.26N/AN/A1,0639122,00745,369
2011-02-28$46.41$45.0020.2%5.8%19.3%17.5%19.9%4.9%2.5%-5.5M12.5M-436.5K0.1577.54N/AN/A6018821,57545,387