VWO Options History — July 2011

In July 2011, VWO traded between $47.18 and $49.51. ATM implied volatility averaged 21.0%, placing in the 42.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.8% (HV 20d: 18.3%). 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 16 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2011-07-21: Highest Volume — 2,720 contracts
  • 2011-07-11: Largest IV spike — 31.7% change
  • 2011-07-29: Highest IV Rank — 82.1%
  • 2011-07-29: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.29$47.18$49.51$49.18$48.32
Max Pain$47.95$47.00$48.00$47.00$48.00
ATM IV21.0%16.0%26.1%16.6%26.1%
Expected Move6.1%4.8%7.5%4.8%7.5%
HV 20d18.3%16.9%19.4%17.7%18.1%
HV 60d18.7%17.9%19.6%18.6%17.9%
IV Rank42.3%7.5%82.1%10.2%82.1%
IV Percentile44.5%0.8%94.8%1.2%94.8%
Term Structure1.1%-1.3%2.6%2.6%-1.3%
VWIV21.2%15.8%25.3%15.8%25.3%
Skew 25d4.9%3.3%6.9%5.9%6.9%
Skew 10d12.6%0.5%17.5%9.3%16.3%
Call IV 25d19.4%13.0%22.7%13.0%22.7%
Put IV 25d24.3%18.9%29.6%18.9%29.6%
Bid-Ask Spread %66.2659.8883.2183.2167.54
Gamma HHI0.150.110.200.180.15
Net GEX3.3M1.2M5.4M4.8M2.7M
Net DEX-24.0M-51.9M-1.2M-42.1M-19.0M
Net VEX-508.9K-524.0K-488.2K-524.0K-515.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.057.520.091.16
Total Volume823.71812,7205761,675
Total OI57,791.752,32761,13057,63958,652

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$49.18$47.0016.6%4.8%17.7%10.2%15.8%5.9%2.6%4.8M-42.1M-524.0K0.0983.21N/AN/A5304632,56925,070
2011-07-05$49.05$48.0017.2%5.6%17.0%13.6%19.4%6.7%1.3%5.0M-43.6M-516.0K0.0868.32N/AN/A4493432,94025,092
2011-07-06$48.92$48.0017.6%5.8%16.9%15.9%19.7%6.7%1.3%4.7M-38.2M-515.4K1.6466.33N/AN/A29548433,07625,125
2011-07-07$49.51$48.0016.0%5.2%17.1%7.5%18.4%5.5%2.2%5.4M-51.9M-513.4K0.4167.82N/AN/A57223233,19425,416
2011-07-08$49.00$48.0017.9%5.8%17.5%17.4%19.8%5.3%1.5%5.2M-40.5M-513.4K1.9069.61N/AN/A39474833,60725,534
2011-07-11$47.60$48.0023.6%6.4%19.1%45.9%23.1%5.4%1.4%3.2M-17.9M-510.7K1.5868.81N/AN/A32351133,91326,230
2011-07-12$47.18$48.0024.4%6.5%19.3%60.3%24.2%4.3%1.0%2.6M-9.0M-508.8K0.8367.03N/AN/A1048634,21626,688
2011-07-13$47.89$48.0021.4%6.4%19.4%42.5%21.8%3.5%1.7%3.6M-22.0M-514.6K0.1567.47N/AN/A2013034,18326,763
2011-07-14$47.46$48.0023.9%6.9%18.3%57.7%23.1%4.9%-0.0%3.4M-14.7M-505.7K0.9166.62N/AN/A958634,33026,775
2011-07-15$47.73$48.0021.5%6.2%18.1%42.8%21.9%4.8%2.1%3.1M-16.7M-500.6K7.5266.74N/AN/A8765434,30026,830
2011-07-18$47.19$48.0022.5%6.5%18.6%56.8%21.7%5.0%1.3%1.2M-1.2M-488.2K0.3560.71N/AN/A2819827,72724,600
2011-07-19$47.87$48.0020.5%5.9%19.2%42.3%18.8%4.8%1.2%1.7M-9.2M-489.7K0.0563.85N/AN/A1,4086627,93824,664
2011-07-20$47.97$48.0020.4%5.8%18.3%41.6%19.3%4.3%1.3%2.2M-14.2M-494.9K0.0863.90N/AN/A9867729,21524,695
2011-07-21$48.64$48.0020.9%6.0%18.5%45.3%20.4%4.8%0.8%2.9M-25.0M-511.5K0.9163.94N/AN/A1,4211,29930,00824,741
2011-07-22$48.68$48.0020.1%5.8%18.3%39.9%20.5%4.2%1.2%3.1M-24.8M-514.5K0.7365.27N/AN/A19514230,80025,908
2011-07-25$48.62$48.0020.5%5.9%18.4%42.3%20.6%3.3%1.8%3.0M-24.3M-507.3K0.1063.10N/AN/A1,28912430,92225,910
2011-07-26$48.83$48.0020.5%5.9%18.2%42.6%20.9%3.4%1.9%3.5M-29.9M-515.0K0.1560.04N/AN/A2894331,88625,925
2011-07-27$48.06$48.0024.4%7.0%18.8%70.1%24.9%3.8%-0.1%2.5M-18.4M-508.7K2.0759.88N/AN/A26955731,93125,968
2011-07-28$48.11$48.0024.4%7.0%18.5%69.9%23.7%4.9%-0.6%2.5M-18.4M-510.8K0.4364.97N/AN/A2058932,07026,423
2011-07-29$48.32$48.0026.1%7.5%18.1%82.1%25.3%6.9%-1.3%2.7M-19.0M-515.5K1.1667.54N/AN/A77789832,14126,511