VWO Options History — April 2011

In April 2011, VWO traded between $48.40 and $50.71. ATM implied volatility averaged 18.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.9% (HV 20d: 17.7%). 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 20 of 20 days. Put/call ratio averaged 2.50.

Notable Days

  • 2011-04-18: Highest Volume — 4,692 contracts
  • 2011-04-25: Largest IV spike — 15.2% change
  • 2011-04-12: Highest IV Rank — 22.7%
  • 2011-04-12: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.94$48.40$50.71$49.75$50.60
Max Pain$47.95$47.00$48.00$47.00$48.00
ATM IV18.6%16.7%21.9%16.7%17.5%
Expected Move5.5%4.8%6.2%4.8%5.0%
HV 20d17.7%14.4%20.7%20.7%18.3%
HV 60d19.6%18.9%20.5%19.9%18.9%
IV Rank12.6%6.7%22.7%6.7%9.4%
IV Percentile9.5%0.8%36.9%0.8%2.4%
Term Structure2.0%0.6%3.6%1.4%2.3%
VWIV19.4%15.9%24.2%18.2%17.9%
Skew 25d5.0%3.4%6.5%3.4%4.5%
Skew 10d12.1%3.5%16.9%6.2%14.2%
Call IV 25d17.3%15.6%20.1%16.2%15.7%
Put IV 25d22.3%19.6%25.4%19.6%20.1%
Bid-Ask Spread %65.7641.0474.6969.2667.57
Gamma HHI0.190.170.220.190.18
Net GEX3.1M1.8M4.0M3.2M3.1M
Net DEX-54.9M-69.6M-26.8M-59.6M-55.1M
Net VEX-468.0K-491.5K-440.4K-455.5K-466.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.500.0122.710.090.08
Total Volume1,002.252054,692571314
Total OI54,774.7550,62258,63052,83055,150

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$49.75$47.0016.7%4.8%20.7%6.7%18.2%3.4%1.4%3.2M-59.6M-455.5K0.0969.26N/AN/A5224927,22625,604
2011-04-04$50.21$48.0017.8%5.6%20.1%10.2%18.1%5.3%1.4%3.3M-67.0M-440.4K0.1066.94N/AN/A5275127,59425,622
2011-04-05$50.07$48.0017.5%5.4%20.0%9.4%17.6%6.5%1.4%3.4M-68.2M-442.6K22.7168.12N/AN/A1743,95127,87525,615
2011-04-06$50.30$48.0017.5%5.7%19.9%9.5%19.2%5.0%0.9%3.2M-68.4M-470.5K0.0763.00N/AN/A5433927,99027,381
2011-04-07$50.29$48.0017.9%5.9%16.3%10.6%21.4%6.3%0.6%3.3M-67.9M-465.2K1.3970.43N/AN/A20228128,05927,406
2011-04-08$50.37$48.0018.4%6.0%16.3%11.9%20.6%5.8%0.7%3.5M-69.6M-465.5K0.5866.92N/AN/A18610728,18327,649
2011-04-11$49.80$48.0020.5%6.0%17.1%18.5%23.1%5.4%0.7%3.6M-61.9M-468.9K1.2169.41N/AN/A15518828,11827,707
2011-04-12$48.91$48.0021.9%6.2%17.5%22.7%24.2%5.3%2.0%3.6M-48.4M-472.5K2.1567.09N/AN/A17738028,14127,858
2011-04-13$49.23$48.0019.2%6.1%14.8%14.6%22.3%5.6%1.6%4.0M-53.8M-467.0K3.6169.87N/AN/A6722,42428,15128,187
2011-04-14$49.53$48.0019.8%5.7%14.4%16.2%23.0%5.1%2.5%4.0M-55.2M-471.0K0.5072.13N/AN/A1728628,29730,207
2011-04-15$49.55$48.0018.7%5.4%14.4%12.9%18.1%5.0%2.4%3.3M-56.9M-464.8K0.1674.69N/AN/A4176528,34730,283
2011-04-18$48.40$48.0021.2%6.1%16.5%20.7%20.5%5.3%2.0%1.8M-26.8M-465.4K14.9646.05N/AN/A2944,39824,07426,548
2011-04-19$49.05$48.0018.3%5.3%17.0%11.8%17.5%3.6%3.6%2.0M-31.5M-491.5K0.0855.06N/AN/A1901524,29028,568
2011-04-20$50.28$48.0018.1%5.2%18.4%11.2%17.8%3.8%2.2%2.4M-47.2M-476.8K0.4741.04N/AN/A71233324,44428,583
2011-04-21$50.71$48.0017.0%4.9%18.2%7.6%15.9%5.0%3.5%2.6M-52.9M-478.7K0.4870.60N/AN/A62129925,06328,875
2011-04-25$50.28$48.0019.5%5.6%18.6%15.5%20.5%5.2%2.3%2.7M-50.5M-477.7K0.3073.43N/AN/A1634925,62128,749
2011-04-26$50.67$48.0017.9%5.1%18.4%10.4%17.6%5.1%3.1%2.9M-53.7M-471.3K0.0167.67N/AN/A284225,66528,772
2011-04-27$50.66$48.0017.3%5.0%18.3%8.6%17.1%5.2%2.9%2.9M-53.4M-472.5K0.1970.13N/AN/A62711725,84428,774
2011-04-28$50.24$48.0018.8%5.4%18.3%13.4%18.0%4.1%2.1%3.0M-49.3M-474.6K0.8565.80N/AN/A14011926,14328,832
2011-04-29$50.60$48.0017.5%5.0%18.3%9.4%17.9%4.5%2.3%3.1M-55.1M-466.6K0.0867.57N/AN/A2912326,23028,920