VWO Options History — October 2011

In October 2011, VWO traded between $35.20 and $43.47. ATM implied volatility averaged 38.3%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 6.3% (HV 20d: 44.6%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2011-10-11: Highest Volume — 7,878 contracts
  • 2011-10-25: Largest IV spike — 24.5% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.32$35.20$43.47$35.20$41.53
Max Pain$39.67$38.00$42.00$42.00$40.00
ATM IV38.3%29.2%61.2%61.2%36.2%
Expected Move11.1%8.4%17.5%17.5%10.4%
HV 20d44.6%39.4%49.5%43.0%42.1%
HV 60d45.2%42.7%48.4%42.8%47.5%
IV Rank51.0%31.6%100.0%100.0%46.5%
IV Percentile88.2%76.2%100.0%100.0%86.9%
Term Structure0.0%-3.2%3.1%-2.5%-2.4%
VWIV37.0%27.2%54.2%54.2%34.1%
Skew 25d13.0%8.0%18.8%18.8%10.5%
Skew 10d30.2%8.8%42.8%42.8%16.7%
Call IV 25d32.7%26.1%47.4%47.4%29.5%
Put IV 25d45.8%34.3%66.2%66.2%40.0%
Bid-Ask Spread %68.1063.0179.5867.7574.59
Gamma HHI0.130.090.260.100.11
Net GEX792.2K-350.5K2.0M-350.5K1.5M
Net DEX38.5M-23.4M79.2M79.2M-4.4M
Net VEX-418.1K-521.3K-283.9K-283.9K-480.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.015.970.035.97
Total Volume1,640.9521757,8787,742251
Total OI80,607.23866,33289,03375,34070,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$35.20$42.0061.2%17.5%43.0%100.0%54.2%18.8%-2.5%-350.5K79.2M-283.9K0.0367.75N/AN/A7,54819441,65933,681
2011-10-04$35.65$42.0049.0%14.1%43.8%73.9%46.0%16.4%1.0%-123.2K77.3M-312.9K2.6768.21N/AN/A5501,46648,76933,821
2011-10-05$36.27$42.0044.0%12.6%42.6%63.2%44.2%13.7%3.1%-272.6K79.1M-304.2K0.1471.42N/AN/A3214648,90234,378
2011-10-06$37.48$42.0040.1%11.5%44.9%54.8%38.3%11.5%-3.2%-221.9K75.5M-323.9K0.0266.24N/AN/A3,2287045,45234,395
2011-10-07$37.01$39.0041.8%12.4%43.6%58.4%35.1%17.9%0.1%86.6K68.1M-357.1K0.3470.35N/AN/A52017648,46034,419
2011-10-10$38.68$39.0037.0%10.9%47.0%48.2%35.5%14.0%0.2%349.5K58.1M-389.4K0.0765.36N/AN/A9186648,82634,543
2011-10-11$38.79$38.0035.0%10.7%47.1%43.9%33.4%13.8%0.7%468.3K56.8M-389.0K0.0163.72N/AN/A7,7879149,48934,552
2011-10-12$39.87$39.0034.9%10.2%48.3%43.8%35.1%11.6%1.1%1.1M28.7M-488.0K0.1663.01N/AN/A1,01116153,38934,570
2011-10-13$39.58$39.0035.7%10.2%48.0%45.5%34.6%12.2%0.7%1.1M36.6M-469.0K0.3764.49N/AN/A1284754,03734,579
2011-10-14$40.22$39.0033.8%9.7%48.4%41.3%36.2%10.4%0.4%1.3M29.5M-477.6K0.2964.78N/AN/A35310354,03134,507
2011-10-17$38.99$39.0039.6%11.3%48.6%53.7%40.6%12.2%-1.5%849.5K47.3M-425.1K5.0765.98N/AN/A7538054,15734,567
2011-10-18$39.99$39.0036.3%10.4%49.5%46.6%40.8%11.6%0.0%1.3M36.2M-445.7K0.5266.59N/AN/A19910354,13334,900
2011-10-19$39.30$39.0039.4%11.3%47.9%53.4%40.8%12.4%-0.8%1.1M44.0M-433.8K1.6966.09N/AN/A10517753,95634,831
2011-10-20$38.53$39.0039.2%11.2%40.4%53.0%37.8%13.3%-0.9%452.1K56.0M-404.4K0.4264.58N/AN/A26511053,93134,990
2011-10-21$39.60$39.0035.4%10.2%40.8%44.9%33.2%12.9%0.8%2.0M47.8M-409.3K0.0363.43N/AN/A1,8166053,92234,980
2011-10-24$41.06$39.0031.4%9.0%42.4%36.3%29.4%13.5%0.3%905.6K13.5M-446.6K0.0767.09N/AN/A1,46310040,80925,523
2011-10-25$40.30$39.0039.1%11.2%42.0%52.8%35.4%13.1%-0.9%1.0M14.4M-446.0K2.1969.49N/AN/A14632042,07725,557
2011-10-26$41.02$39.0034.6%9.9%41.0%43.0%34.8%14.7%0.2%1.0M10.1M-457.5K0.1870.55N/AN/A91816642,13125,798
2011-10-27$43.47$40.0031.7%9.1%45.2%36.9%30.4%11.3%1.3%1.5M-23.4M-514.2K0.1276.85N/AN/A2,43228142,83125,923
2011-10-28$43.23$40.0029.2%8.4%39.4%31.6%27.2%8.0%2.7%1.7M-22.1M-521.3K1.1679.58N/AN/A14316644,67825,904
2011-10-31$41.53$40.0036.2%10.4%42.1%46.5%34.1%10.5%-2.4%1.5M-4.4M-480.5K5.9774.59N/AN/A3621544,69226,003