VWO Options History — May 2011

In May 2011, VWO traded between $46.73 and $50.52. ATM implied volatility averaged 21.0%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.4% (HV 20d: 19.6%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.16.

Notable Days

  • 2011-05-13: Highest Volume — 6,099 contracts
  • 2011-05-03: Largest IV spike — 17.3% change
  • 2011-05-13: Highest IV Rank — 27.7%
  • 2011-05-13: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.25$46.73$50.52$50.52$49.11
Max Pain$45.57$45.00$48.00$48.00$45.00
ATM IV21.0%18.6%23.5%19.2%19.5%
Expected Move6.1%5.3%6.7%5.5%5.6%
HV 20d19.6%17.3%21.4%17.5%20.5%
HV 60d19.6%18.9%20.3%18.9%19.4%
IV Rank21.1%13.2%27.7%14.5%19.2%
IV Percentile33.8%11.5%62.7%13.9%17.5%
Term Structure1.1%0.2%2.1%1.5%0.2%
VWIV20.9%17.8%24.2%17.9%18.5%
Skew 25d4.6%3.2%5.8%3.7%3.2%
Skew 10d8.7%-1.9%18.3%4.9%9.3%
Call IV 25d19.2%16.9%21.2%17.6%17.2%
Put IV 25d23.8%20.4%26.3%21.4%20.5%
Bid-Ask Spread %66.6939.1382.1369.6771.52
Gamma HHI0.180.130.380.180.16
Net GEX727.4K-5.7M3.3M3.3M2.5M
Net DEX-17.3M-56.3M5.5M-56.3M-32.3M
Net VEX-463.6K-491.4K-435.3K-463.7K-435.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.0122.020.080.05
Total Volume914.095906,0991311,346
Total OI57,562.90552,34262,69555,42154,559

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$50.52$48.0019.2%5.5%17.5%14.5%17.9%3.7%1.5%3.3M-56.3M-463.7K0.0869.67N/AN/A1211026,50128,920
2011-05-03$49.49$48.0022.5%6.5%18.7%24.6%21.5%5.8%0.9%2.8M-40.4M-473.7K2.5066.33N/AN/A13934726,58228,928
2011-05-04$48.60$48.0021.6%6.2%19.7%22.0%22.4%5.3%1.1%2.3M-28.4M-474.7K0.9167.48N/AN/A60554926,66429,242
2011-05-05$48.09$48.0023.0%6.6%19.9%26.1%21.7%5.1%1.0%2.0M-20.2M-473.1K0.3467.50N/AN/A34111627,11229,743
2011-05-06$48.74$45.0020.9%6.7%20.6%19.7%24.2%5.4%0.4%2.5M-28.5M-471.9K0.9272.37N/AN/A25623527,19129,813
2011-05-09$48.87$45.0019.7%6.4%20.6%16.0%23.0%4.3%0.7%2.8M-30.4M-465.8K12.0273.29N/AN/A3203,84627,33329,954
2011-05-10$49.29$45.0018.8%6.2%20.6%13.2%19.3%4.7%0.3%3.2M-34.3M-491.4K0.9172.89N/AN/A474327,37333,763
2011-05-11$48.39$45.0021.9%6.6%20.6%22.8%22.1%4.8%1.8%2.2M-20.6M-488.3K0.3772.83N/AN/A1324927,38632,775
2011-05-12$48.39$45.0022.1%6.3%20.5%23.4%20.7%5.6%1.3%2.2M-19.0M-486.9K0.8374.09N/AN/A816727,39630,997
2011-05-13$47.42$45.0023.5%6.7%21.4%27.7%21.9%4.9%0.5%1.0M-5.8M-478.5K22.0275.19N/AN/A2655,83427,40431,011
2011-05-16$47.41$45.0023.2%6.7%21.4%26.8%22.2%3.5%1.4%-1.6M5.5M-473.5K0.2772.24N/AN/A40411127,47134,817
2011-05-17$47.63$45.0022.2%6.4%20.0%23.7%21.0%5.1%1.0%-2.3M5.5M-471.6K1.2373.61N/AN/A759227,81934,811
2011-05-18$48.32$45.0021.1%6.0%20.1%20.3%21.3%4.9%1.8%-2.2M-12.0M-469.9K0.0773.29N/AN/A3432527,84934,846
2011-05-19$48.08$45.0019.5%5.6%17.7%15.5%19.7%3.9%2.1%-4.8M-6.3M-463.9K1.6474.99N/AN/A7512327,60834,772
2011-05-20$47.70$45.0019.9%5.7%17.3%18.5%20.4%5.1%1.8%-5.7M4.3M-456.3K0.1678.73N/AN/A2834627,63234,816
2011-05-23$46.73$45.0021.6%6.2%18.3%26.4%21.4%4.8%1.3%458.4K1.3M-438.2K0.0639.13N/AN/A1,0426222,50129,841
2011-05-24$47.13$45.0021.3%6.1%18.4%25.3%21.5%4.0%0.7%873.1K-5.3M-439.8K0.3240.19N/AN/A32910523,05329,877
2011-05-25$47.24$45.0020.1%5.8%18.5%21.6%19.8%4.2%1.8%903.7K-6.2M-437.7K0.5341.87N/AN/A21611523,21029,892
2011-05-26$47.82$45.0019.7%5.6%19.2%19.8%19.5%4.8%0.9%1.2M-12.5M-439.6K0.0141.08N/AN/A765923,38330,007
2011-05-27$48.30$45.0018.6%5.3%19.4%15.9%17.8%3.6%1.4%1.8M-21.4M-441.9K0.0882.13N/AN/A2101723,96230,007
2011-05-31$49.11$45.0019.5%5.6%20.5%19.2%18.5%3.2%0.2%2.5M-32.3M-435.3K0.0571.52N/AN/A1,2846224,55330,006