VWO Options History — November 2011

In November 2011, VWO traded between $37.01 and $42.81. ATM implied volatility averaged 38.6%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 3.3% (HV 20d: 41.9%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2011-11-08: Highest Volume — 4,664 contracts
  • 2011-11-09: Largest IV spike — 44.8% change
  • 2011-11-09: Highest IV Rank — 67.6%
  • 2011-11-17: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.21$37.01$42.81$40.61$40.82
Max Pain$43.05$40.00$44.00$40.00$42.00
ATM IV38.6%31.8%46.1%38.5%32.8%
Expected Move11.1%9.4%13.0%11.0%9.4%
HV 20d41.9%34.3%45.0%43.5%42.4%
HV 60d41.6%40.4%44.5%44.5%43.6%
IV Rank51.7%37.1%67.6%51.5%39.1%
IV Percentile87.2%72.2%95.2%88.9%72.2%
Term Structure-1.3%-5.8%1.5%-0.8%0.2%
VWIV36.4%26.7%42.4%40.8%31.2%
Skew 25d12.0%8.5%18.3%11.8%9.9%
Skew 10d25.9%17.0%34.4%24.0%17.0%
Call IV 25d32.6%28.3%36.3%35.7%28.3%
Put IV 25d44.6%38.2%49.0%47.5%38.2%
Bid-Ask Spread %74.0466.0980.4372.6776.93
Gamma HHI0.130.100.280.120.11
Net GEX1.1M81.3K1.9M1.3M516.9K
Net DEX22.4M-15.1M56.7M11.2M32.1M
Net VEX-423.0K-494.7K-313.4K-454.0K-400.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.0618.800.060.06
Total Volume1,114.0951274,6641,5672,065
Total OI72,566.14368,88875,89870,87172,111

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$40.61$40.0038.5%11.0%43.5%51.5%40.8%11.8%-0.8%1.3M11.2M-454.0K0.0672.67N/AN/A1,4779044,69626,175
2011-11-02$41.70$40.0037.2%10.7%43.9%48.7%37.4%15.1%-0.7%1.5M-3.1M-488.2K0.3780.43N/AN/A33712445,08226,232
2011-11-03$42.16$40.0036.9%10.6%42.8%48.0%42.4%11.8%1.4%1.6M-8.7M-494.7K0.2278.53N/AN/A63613945,24526,236
2011-11-04$41.98$44.0034.4%10.2%42.5%42.7%36.8%11.0%-0.0%1.6M-2.9M-474.5K1.8866.09N/AN/A6011345,63026,361
2011-11-07$42.28$44.0037.1%10.7%40.1%48.5%38.6%12.0%-1.5%1.7M-9.6M-480.3K1.6568.20N/AN/A487945,65126,375
2011-11-08$42.81$44.0031.8%9.9%40.2%37.1%32.4%10.5%-1.3%1.9M-15.1M-480.4K7.9574.66N/AN/A5214,14345,67426,376
2011-11-09$40.46$44.0046.1%12.4%44.7%67.6%41.5%11.3%-5.8%1.5M14.2M-451.5K0.2578.27N/AN/A1,92047946,12027,874
2011-11-10$40.67$44.0039.4%11.3%44.6%53.4%38.8%16.0%-2.0%1.5M13.2M-455.4K0.5173.41N/AN/A21310845,68627,748
2011-11-11$41.60$44.0036.1%10.4%45.0%46.3%37.0%14.1%-3.2%1.7M5.2M-480.2K2.5677.53N/AN/A4812345,83928,740
2011-11-14$41.11$44.0038.3%11.0%43.6%51.0%30.8%18.3%-0.4%1.7M12.9M-450.4K18.8077.16N/AN/A1051,97445,84728,760
2011-11-15$41.32$44.0038.0%10.9%42.8%50.3%34.1%14.3%0.7%1.8M11.7M-466.9K0.5076.41N/AN/A1356845,93729,876
2011-11-16$40.35$44.0040.7%11.7%43.2%56.1%26.7%13.6%-2.7%1.8M23.6M-439.7K0.1272.15N/AN/A3414045,95329,873
2011-11-17$39.35$44.0045.3%13.0%43.6%66.0%41.3%13.3%-2.9%1.1M35.4M-417.1K0.3274.51N/AN/A62719945,99429,857
2011-11-18$39.44$44.0040.0%11.5%42.5%54.7%39.8%9.8%-0.9%999.4K40.2M-403.3K0.3073.37N/AN/A1,05131146,02829,870
2011-11-21$38.22$44.0041.2%11.8%41.6%57.2%38.2%8.7%-4.0%81.3K50.0M-357.2K0.1570.05N/AN/A1,51223140,79128,097
2011-11-22$38.29$43.0038.7%11.1%41.2%51.9%36.1%9.7%1.5%226.2K48.7M-359.0K0.6771.56N/AN/A15110142,08428,236
2011-11-23$37.18$43.0040.6%11.7%41.6%56.0%39.5%8.5%0.1%165.1K54.4M-325.3K3.2971.80N/AN/A9932642,10528,243
2011-11-25$37.01$43.0042.3%12.1%34.3%59.6%37.5%11.6%-2.1%148.5K56.7M-313.4K1.1371.93N/AN/A13415142,10728,494
2011-11-28$38.64$43.0037.1%10.6%38.8%48.5%35.4%10.7%-0.2%241.4K50.0M-348.8K1.4276.33N/AN/A61186942,17528,589
2011-11-29$38.43$42.0038.3%11.0%36.6%51.0%27.5%9.4%-2.1%303.6K49.4M-342.1K0.4972.74N/AN/A1,09953842,56928,553
2011-11-30$40.82$42.0032.8%9.4%42.4%39.1%31.2%9.9%0.2%516.9K32.1M-400.1K0.0676.93N/AN/A1,94711843,31628,795