VWO Options History — June 2011

In June 2011, VWO traded between $46.44 and $48.82. ATM implied volatility averaged 22.1%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.5% (HV 20d: 18.6%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-06-20: Highest Volume — 6,111 contracts
  • 2011-06-15: Largest IV spike — 17.6% change
  • 2011-06-16: Highest IV Rank — 54.6%
  • 2011-06-16: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.52$46.44$48.82$48.40$48.62
Max Pain$47.36$45.00$48.00$45.00$47.00
ATM IV22.1%16.5%26.9%22.2%16.5%
Expected Move6.4%4.7%7.7%6.4%4.7%
HV 20d18.6%17.2%19.9%19.9%17.4%
HV 60d18.7%18.3%19.5%19.5%18.5%
IV Rank33.1%9.5%54.6%29.9%9.5%
IV Percentile50.7%0.8%88.9%52.8%0.8%
Term Structure1.0%-0.8%2.7%0.4%2.7%
VWIV21.8%16.5%27.7%22.0%16.5%
Skew 25d5.9%3.5%7.5%3.5%5.0%
Skew 10d11.2%-0.3%17.7%-0.3%11.2%
Call IV 25d20.0%14.4%23.6%20.4%14.4%
Put IV 25d25.9%19.3%31.0%23.9%19.3%
Bid-Ask Spread %79.4773.7482.1175.1682.11
Gamma HHI0.150.130.170.150.16
Net GEX1.5M-719.6K3.7M2.0M3.7M
Net DEX-10.6M-29.5M12.4M-26.2M-29.5M
Net VEX-458.4K-516.8K-419.2K-439.5K-516.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.014.311.310.07
Total Volume1,297.6361136,1111131,779
Total OI55,400.40944,56361,14954,78255,941

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$48.40$45.0022.2%6.4%19.9%29.9%22.0%3.5%0.4%2.0M-26.2M-439.5K1.3175.16N/AN/A496424,75730,025
2011-06-02$48.82$45.0020.1%5.8%19.1%21.7%19.1%5.3%1.7%2.3M-28.4M-438.4K0.0273.74N/AN/A1,1722924,78330,062
2011-06-03$48.52$48.0019.7%6.1%18.8%20.2%21.9%5.8%1.1%2.6M-27.3M-440.1K0.4081.09N/AN/A953825,76830,065
2011-06-06$47.87$48.0023.0%6.7%18.8%34.1%21.3%6.0%1.2%2.0M-18.9M-427.4K0.6680.52N/AN/A1409225,68230,061
2011-06-07$48.25$48.0021.6%6.6%19.0%31.3%21.9%6.2%0.2%2.5M-24.9M-425.8K0.2380.42N/AN/A1012325,76630,122
2011-06-08$47.94$48.0021.6%6.7%18.8%31.4%23.6%5.9%0.9%2.0M-18.0M-424.9K2.3581.25N/AN/A17942125,82130,133
2011-06-09$48.21$48.0022.0%6.3%17.8%33.1%21.2%6.2%1.0%2.3M-21.6M-419.2K0.8880.68N/AN/A82972825,70330,238
2011-06-10$47.22$48.0023.8%6.8%19.3%41.0%21.7%5.1%1.1%1.1M-8.1M-427.8K1.3181.26N/AN/A65185626,51530,960
2011-06-13$47.13$48.0024.1%6.9%17.9%42.0%19.1%6.6%0.7%853.1K-6.7M-436.3K0.5479.19N/AN/A1,27068227,01731,764
2011-06-14$47.80$48.0021.6%6.2%18.6%31.2%18.7%6.7%1.5%1.7M-15.3M-449.4K0.1080.17N/AN/A4494428,19832,426
2011-06-15$46.86$48.0025.4%7.3%19.9%47.8%25.8%5.4%0.5%189.2K-1.7M-439.2K0.7178.97N/AN/A16812028,44132,430
2011-06-16$46.49$48.0026.9%7.7%19.2%54.6%27.7%7.4%0.2%-417.4K5.5M-429.9K4.3179.30N/AN/A21693128,41432,436
2011-06-17$46.57$48.0024.7%7.1%19.2%44.9%26.5%7.0%0.8%-719.6K4.6M-433.9K3.0178.58N/AN/A7582,28528,44332,706
2011-06-20$46.44$48.0025.7%7.4%19.0%49.0%24.0%7.5%-0.8%283.2K12.4M-438.6K0.5678.68N/AN/A3,9092,20221,45023,113
2011-06-21$47.25$47.0021.5%6.2%18.7%30.8%19.2%5.7%0.7%1.2M-1.5M-484.8K0.1177.61N/AN/A1,57118025,15724,611
2011-06-22$46.88$47.0020.8%6.0%18.7%27.6%24.6%4.7%0.9%1.3M-1.2M-486.1K0.5479.83N/AN/A1,69791326,57724,782
2011-06-23$46.64$47.0022.3%6.4%18.7%34.1%23.8%6.7%0.7%740.2K6.2M-503.3K1.5578.93N/AN/A12819927,86125,689
2011-06-24$46.64$47.0022.9%6.6%18.1%37.1%21.3%5.3%0.6%1.1M771.4K-503.0K0.1680.52N/AN/A2253527,82624,889
2011-06-27$47.06$47.0021.9%6.3%18.0%32.3%20.6%5.0%1.3%1.4M-2.7M-499.7K0.0879.15N/AN/A8036127,90424,915
2011-06-28$47.67$47.0020.2%5.8%17.6%25.2%19.9%5.9%1.9%2.0M-10.4M-505.2K0.0180.40N/AN/A2,1513228,67024,964
2011-06-29$48.07$47.0018.7%5.4%17.2%18.5%18.4%6.2%1.9%2.9M-20.0M-516.2K0.1780.73N/AN/A2334030,77724,947
2011-06-30$48.62$47.0016.5%4.7%17.4%9.5%16.5%5.0%2.7%3.7M-29.5M-516.8K0.0782.11N/AN/A1,65712230,97824,963