VWO Options History — March 2011

In March 2011, VWO traded between $44.98 and $48.95. ATM implied volatility averaged 21.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.4% (HV 20d: 21.1%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.04.

Notable Days

  • 2011-03-01: Highest Volume — 7,580 contracts
  • 2011-03-10: Largest IV spike — 14.4% change
  • 2011-03-16: Highest IV Rank — 43.4%
  • 2011-03-16: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.92$44.98$48.95$45.93$48.95
Max Pain$46.74$45.00$47.00$45.00$47.00
ATM IV21.5%17.5%28.6%22.1%18.6%
Expected Move6.2%5.0%8.2%6.3%5.3%
HV 20d21.1%18.3%24.4%19.3%20.0%
HV 60d18.5%16.6%19.6%16.6%19.6%
IV Rank21.5%9.2%43.4%23.2%12.7%
IV Percentile32.2%1.2%81.3%38.9%7.5%
Term Structure1.7%0.3%3.9%1.8%1.2%
VWIV21.4%17.1%27.9%23.8%18.4%
Skew 25d5.9%2.3%9.3%2.3%5.6%
Skew 10d15.3%8.3%22.6%11.6%16.1%
Call IV 25d19.4%15.5%24.6%21.7%16.2%
Put IV 25d25.3%21.1%33.9%24.0%21.7%
Bid-Ask Spread %66.9730.6879.3465.0973.02
Gamma HHI0.340.120.690.500.18
Net GEX-3.4M-14.2M3.2M-5.6M3.2M
Net DEX-2.5M-50.2M55.4M18.9M-50.2M
Net VEX-461.3K-489.4K-423.2K-446.0K-481.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.040.0335.4720.843.28
Total Volume1,5371877,5807,5802,315
Total OI64,754.82644,28877,43367,41654,779

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$45.93$45.0022.1%6.3%19.3%23.2%23.8%2.3%1.8%-5.6M18.9M-446.0K20.8465.09N/AN/A3477,23321,98045,436
2011-03-02$46.57$45.0019.8%5.7%18.3%16.3%20.5%4.5%2.1%-5.4M12.6M-480.5K0.5869.74N/AN/A32819022,28950,154
2011-03-03$47.44$45.0020.1%5.8%19.4%17.2%19.0%5.1%0.9%-3.1M-9.0M-464.1K0.1666.71N/AN/A1,28120322,56149,041
2011-03-04$47.39$47.0019.6%6.3%19.4%15.6%21.3%6.4%1.6%-3.0M-10.5M-464.4K0.0774.49N/AN/A3892923,68849,199
2011-03-07$46.82$47.0021.2%6.5%19.9%20.7%21.3%5.7%1.1%-4.1M7.6M-474.5K0.7173.63N/AN/A25518023,84849,211
2011-03-08$47.34$47.0021.8%6.5%20.2%22.5%23.9%6.1%1.0%-3.1M-8.3M-455.6K0.6275.65N/AN/A1519323,88949,301
2011-03-09$47.35$47.0021.9%6.5%20.2%22.6%21.0%5.2%1.3%-2.6M-14.6M-445.9K0.4075.53N/AN/A35514223,96449,331
2011-03-10$46.04$47.0025.0%7.2%21.5%32.3%24.8%6.2%0.9%-6.9M16.9M-465.3K35.4770.87N/AN/A1435,07224,16649,425
2011-03-11$46.37$47.0024.7%7.1%21.3%31.3%24.2%6.1%1.6%-6.7M14.5M-489.4K0.5874.87N/AN/A1186924,21952,371
2011-03-14$46.72$47.0022.3%6.4%21.1%24.0%22.6%5.7%1.6%-5.8M5.3M-463.0K0.2771.84N/AN/A2266224,25352,388
2011-03-15$45.98$47.0025.1%7.2%21.9%32.4%25.4%7.5%0.9%-9.6M23.5M-473.4K1.6379.34N/AN/A6781,10324,34352,382
2011-03-16$44.98$47.0028.6%8.2%23.3%43.4%27.9%9.3%0.3%-11.3M55.4M-469.6K2.6071.52N/AN/A35091024,49452,547
2011-03-17$45.60$47.0025.1%7.2%23.6%32.5%24.7%5.9%1.6%-14.2M29.6M-460.5K0.3873.84N/AN/A32312224,59952,834
2011-03-18$45.74$47.0024.1%6.9%23.6%29.6%22.6%6.4%1.0%-10.8M5.4M-431.3K0.8173.68N/AN/A30324524,80152,334
2011-03-21$46.56$47.0020.8%6.0%24.4%19.3%19.6%6.4%2.1%-226.8K-485.2K-423.2K0.0431.73N/AN/A2,81710618,38125,907
2011-03-22$46.60$47.0020.2%5.8%20.9%17.4%21.5%6.8%2.5%286.9K-4.6M-446.9K0.4335.89N/AN/A2289821,07925,979
2011-03-23$47.21$47.0020.2%5.8%21.3%17.4%18.3%6.5%3.1%562.8K-11.2M-448.9K0.0930.68N/AN/A2,66924221,27126,049
2011-03-24$47.79$47.0017.5%5.0%21.6%9.2%17.1%5.6%3.9%1.5M-21.7M-457.8K0.2269.17N/AN/A2706023,73726,253
2011-03-25$47.79$47.0018.6%5.3%21.2%12.5%17.8%6.6%2.4%1.7M-23.9M-455.8K0.2567.77N/AN/A1,19029623,99326,269
2011-03-28$47.51$47.0018.7%5.4%21.2%13.1%18.2%4.2%2.4%1.7M-23.0M-472.9K0.2770.52N/AN/A2316325,11326,551
2011-03-29$47.98$47.0019.7%5.6%20.9%15.9%18.3%6.6%1.9%2.0M-28.3M-469.5K0.2571.84N/AN/A1,02625525,33126,589
2011-03-30$48.57$47.0018.6%5.3%20.8%12.7%19.5%4.8%2.0%2.6M-41.2M-469.7K0.0372.78N/AN/A2,5018426,21926,813
2011-03-31$48.95$47.0018.6%5.3%20.0%12.7%18.4%5.6%1.2%3.2M-50.2M-481.2K3.2873.02N/AN/A5411,77427,99726,782