VWO Options History — September 2011

In September 2011, VWO traded between $35.83 and $43.72. ATM implied volatility averaged 40.8%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 2.1% (HV 20d: 38.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2011-09-27: Highest Volume — 12,123 contracts
  • 2011-09-09: Largest IV spike — 42.2% change
  • 2011-09-30: Highest IV Rank — 79.4%
  • 2011-09-30: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.03$35.83$43.72$43.72$35.83
Max Pain$42.62$40.00$45.00$45.00$42.00
ATM IV40.8%30.2%51.4%30.2%51.4%
Expected Move11.6%8.6%14.7%8.6%14.7%
HV 20d38.7%30.1%54.4%53.9%43.2%
HV 60d38.5%36.1%42.7%36.1%42.7%
IV Rank56.6%33.7%79.4%33.7%79.4%
IV Percentile95.7%90.1%99.2%92.5%99.2%
Term Structure-0.6%-2.5%3.1%-0.8%-1.7%
VWIV38.3%28.3%50.7%28.5%46.7%
Skew 25d12.9%8.3%17.0%8.3%17.0%
Skew 10d25.4%15.4%38.5%15.4%29.9%
Call IV 25d34.7%27.4%46.1%28.0%43.9%
Put IV 25d47.6%36.4%60.8%36.4%60.8%
Bid-Ask Spread %61.1855.6567.6167.6167.41
Gamma HHI0.130.090.270.110.10
Net GEX-1.1M-3.0M-114.6K-1.2M-254.0K
Net DEX55.4M27.9M74.5M27.9M74.5M
Net VEX-390.2K-487.1K-316.2K-487.1K-316.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.0115.780.060.68
Total Volume1,960.6677412,123548544
Total OI68,381.52452,80375,07670,49075,076

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$43.72$45.0030.2%8.6%53.9%33.7%28.5%8.3%-0.8%-1.2M27.9M-487.1K0.0667.61N/AN/A5153337,09633,394
2011-09-02$42.79$45.0032.7%9.4%54.4%39.2%30.6%8.6%0.4%-1.5M43.0M-460.0K0.2558.15N/AN/A3579037,52033,418
2011-09-06$42.28$45.0040.5%10.8%45.0%56.0%33.8%15.0%-1.1%-1.7M53.3M-428.1K0.1663.54N/AN/A5128337,47033,468
2011-09-07$43.52$44.0031.1%9.2%42.3%35.8%28.3%11.2%-1.2%-1.7M36.7M-458.9K0.1759.61N/AN/A3325637,69333,525
2011-09-08$42.63$44.0033.6%9.9%38.1%41.2%35.5%13.5%-0.2%-1.8M45.2M-439.5K1.3155.91N/AN/A324237,85533,538
2011-09-09$41.15$44.0047.8%12.1%34.9%71.6%46.2%13.7%-2.5%-1.5M61.8M-394.3K5.1763.89N/AN/A14574937,86533,543
2011-09-12$41.00$44.0045.9%12.0%35.0%67.5%47.1%15.7%-1.3%-1.7M68.2M-382.0K0.6956.48N/AN/A66746137,87234,071
2011-09-13$41.06$42.0039.2%11.2%33.7%53.2%40.3%15.0%-0.3%-1.9M65.9M-389.3K8.1556.04N/AN/A1701,38638,30634,212
2011-09-14$40.89$42.0036.0%10.6%33.5%46.3%35.1%14.8%2.0%-2.1M71.8M-371.6K1.6261.87N/AN/A59796638,41134,732
2011-09-15$41.43$42.0034.8%10.0%33.8%43.6%32.5%12.7%0.0%-2.6M67.4M-391.3K2.4463.78N/AN/A9122238,92135,258
2011-09-16$41.53$42.0031.7%9.1%30.1%37.1%30.6%12.0%3.1%-3.0M71.1M-373.4K15.7861.60N/AN/A2924,60838,97335,337
2011-09-19$40.36$42.0035.9%10.3%31.4%46.2%30.1%11.4%0.4%-718.6K44.8M-387.5K0.0163.29N/AN/A5,8106125,65627,147
2011-09-20$40.21$42.0035.9%10.3%31.4%46.2%33.5%11.0%-0.7%-284.2K40.9M-407.5K0.1060.86N/AN/A2,30022431,17527,148
2011-09-21$38.68$42.0038.3%11.0%31.4%51.2%35.9%11.3%-0.4%-300.1K45.7M-382.6K0.3367.37N/AN/A2097033,30827,230
2011-09-22$36.00$42.0050.7%14.5%39.6%78.0%46.6%13.5%-1.8%-331.0K56.2M-316.3K1.3857.41N/AN/A1,0611,46933,38227,281
2011-09-23$36.79$42.0050.2%14.4%40.6%76.8%47.6%10.8%-2.3%-364.6K57.7M-334.6K0.1555.65N/AN/A1,31220133,28528,100
2011-09-26$37.15$40.0049.7%14.2%40.3%75.7%46.7%13.3%-2.2%-323.8K55.1M-346.7K1.2756.35N/AN/A9041,14934,47128,250
2011-09-27$38.32$40.0045.6%13.1%40.2%67.0%36.1%12.9%-1.0%-114.6K45.3M-383.3K0.8464.49N/AN/A6,6065,51735,08127,693
2011-09-28$37.38$42.0049.0%14.0%40.7%74.2%50.7%14.6%-1.6%-167.3K66.9M-362.2K1.7360.50N/AN/A12020841,36933,126
2011-09-29$37.82$42.0046.2%13.2%39.9%68.2%41.8%15.3%0.3%-131.4K64.4M-381.5K0.3763.03N/AN/A73027341,42933,327
2011-09-30$35.83$42.0051.4%14.7%43.2%79.4%46.7%17.0%-1.7%-254.0K74.5M-316.2K0.6867.41N/AN/A32422041,56633,510