VWO Options History — December 2011

In December 2011, VWO traded between $37.41 and $41.31. ATM implied volatility averaged 31.7%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 6.9% (HV 20d: 38.6%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2011-12-01: Highest Volume — 5,540 contracts
  • 2011-12-08: Largest IV spike — 26.5% change
  • 2011-12-08: Highest IV Rank — 62.7%
  • 2011-12-08: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.05$37.41$41.31$40.74$38.21
Max Pain$40.67$40.00$42.00$42.00$40.00
ATM IV31.7%24.1%43.8%34.3%26.6%
Expected Move8.9%6.9%10.3%9.8%7.6%
HV 20d38.6%29.4%41.6%41.2%29.5%
HV 60d41.6%38.7%43.8%43.2%38.7%
IV Rank36.9%20.6%62.7%42.4%26.1%
IV Percentile68.8%54.0%93.3%73.8%59.5%
Term Structure2.6%-3.5%8.0%-3.5%3.9%
VWIV30.0%23.6%39.8%26.1%27.1%
Skew 25d8.2%4.2%12.6%8.6%5.3%
Skew 10d15.0%-3.0%29.5%13.3%12.2%
Call IV 25d27.3%22.1%32.0%29.4%24.2%
Put IV 25d35.6%28.8%42.7%38.0%29.5%
Bid-Ask Spread %63.999.1679.4877.2810.90
Gamma HHI0.140.090.180.090.18
Net GEX673.0K166.1K1.0M781.6K1.0M
Net DEX48.7M28.4M69.3M29.0M48.7M
Net VEX-356.1K-449.3K-266.3K-403.8K-315.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.0321.3421.340.22
Total Volume1,249.4761415,5405,5402,090
Total OI71,348.14359,95878,92573,69163,344

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$40.74$42.0034.3%9.8%41.2%42.4%26.1%8.6%-3.5%781.6K29.0M-403.8K21.3477.28N/AN/A2485,29244,85028,841
2011-12-02$40.64$42.0031.5%9.0%41.0%36.5%29.2%8.0%0.3%676.3K32.3M-447.2K0.3979.48N/AN/A63925045,06731,833
2011-12-05$41.31$41.0033.3%10.2%41.5%40.4%33.8%12.1%-1.8%853.9K28.4M-449.3K0.7477.25N/AN/A816045,62431,974
2011-12-06$40.70$41.0036.0%9.5%41.6%46.0%33.2%12.3%1.5%745.6K35.0M-431.3K0.3867.83N/AN/A1997645,64731,995
2011-12-07$40.93$41.0034.6%9.7%41.4%43.1%32.0%12.6%0.8%786.4K33.4M-431.3K0.6765.77N/AN/A53735945,66031,985
2011-12-08$39.54$41.0043.8%10.3%38.2%62.7%36.7%10.7%-0.4%605.3K48.4M-393.8K4.9375.68N/AN/A6130146,11132,126
2011-12-09$40.20$41.0035.2%9.8%38.7%44.4%32.9%10.5%2.9%780.0K43.8M-406.8K5.4172.53N/AN/A9551446,10132,334
2011-12-12$38.78$41.0038.8%10.1%39.6%52.1%37.6%10.8%2.3%525.8K59.3M-355.4K0.3871.21N/AN/A48718746,14332,336
2011-12-13$38.45$41.0036.7%10.0%39.5%47.6%39.8%9.5%1.2%519.2K63.1M-343.5K2.2972.55N/AN/A18642646,33632,274
2011-12-14$37.90$41.0034.4%9.8%39.6%42.7%32.7%8.5%5.1%308.7K69.2M-313.3K1.0666.01N/AN/A55258646,45232,372
2011-12-15$38.13$41.0031.5%9.0%39.0%36.5%32.3%8.2%8.0%332.5K69.3M-309.1K0.9474.83N/AN/A26725246,51732,304
2011-12-16$38.40$41.0031.1%8.9%38.3%35.6%28.7%9.9%3.5%246.1K68.1M-317.5K0.1173.00N/AN/A2,23624846,52132,404
2011-12-19$37.41$40.0031.1%8.9%39.2%35.7%29.7%7.8%1.8%166.1K62.5M-266.3K0.3170.13N/AN/A1,40243532,24427,714
2011-12-20$38.89$40.0025.5%7.3%40.3%23.5%23.6%4.6%1.7%687.6K47.8M-332.2K0.0872.86N/AN/A2,93223333,42027,945
2011-12-21$38.18$40.0028.2%8.1%40.9%29.3%26.9%6.0%4.2%633.5K50.1M-323.0K0.0374.09N/AN/A1,3193534,07128,042
2011-12-22$38.56$40.0025.0%7.2%39.5%22.5%24.6%5.2%5.5%905.3K42.9M-344.2K0.9470.01N/AN/A70266035,28727,875
2011-12-23$38.73$40.0024.1%6.9%39.4%20.6%24.3%7.1%6.0%960.0K43.2M-348.0K1.1769.36N/AN/A11913935,42428,162
2011-12-27$38.42$40.0028.4%8.2%36.5%29.9%25.0%5.9%4.9%913.2K46.5M-322.2K0.3277.69N/AN/A45614635,44828,046
2011-12-28$37.77$40.0028.6%8.2%36.9%30.3%27.6%4.2%2.6%774.6K51.8M-308.3K0.8116.18N/AN/A15912935,47528,164
2011-12-29$38.16$40.0027.5%7.9%29.4%27.8%27.0%5.2%4.1%929.4K49.6M-315.9K0.049.16N/AN/A1,0984635,59128,252
2011-12-30$38.21$40.0026.6%7.6%29.5%26.1%27.1%5.3%3.9%1.0M48.7M-315.3K0.2210.90N/AN/A1,70938135,06728,277