VWO Options History — February 2012

In February 2012, VWO traded between $43.28 and $44.71. ATM implied volatility averaged 23.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.4% (HV 20d: 17.2%). Max pain ranged from $39.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2012-02-01: Highest Volume — 10,851 contracts
  • 2012-02-27: Largest IV spike — 13.3% change
  • 2012-02-10: Highest IV Rank — 24.3%
  • 2012-02-10: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.03$43.28$44.71$43.31$44.63
Max Pain$43.60$39.00$44.00$39.00$44.00
ATM IV23.6%20.5%27.0%21.6%22.9%
Expected Move6.8%5.9%7.7%6.2%6.6%
HV 20d17.2%16.2%18.7%17.7%16.3%
HV 60d28.1%22.5%31.6%31.4%22.5%
IV Rank16.8%10.1%24.3%12.4%15.4%
IV Percentile42.8%21.4%58.3%29.8%38.5%
Term Structure1.6%0.2%3.3%2.4%0.2%
VWIV23.5%20.0%27.3%21.0%23.0%
Skew 25d5.3%3.0%6.8%3.0%4.0%
Skew 10d15.6%2.1%20.8%6.9%2.1%
Call IV 25d21.4%18.5%23.8%19.3%21.6%
Put IV 25d26.6%21.9%30.5%22.3%25.7%
Bid-Ask Spread %16.427.2826.8111.467.28
Gamma HHI0.220.120.490.300.13
Net GEX4.1M1.9M8.8M2.9M2.0M
Net DEX-50.6M-84.2M-25.2M-36.6M-34.2M
Net VEX-405.3K-483.0K-358.5K-358.5K-476.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.023.550.883.55
Total Volume3,06417710,85110,851938
Total OI67,014.7555,74777,49555,74766,602

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$43.31$39.0021.6%6.2%17.7%12.4%21.0%3.0%2.4%2.9M-36.6M-358.5K0.8811.46N/AN/A5,7865,06533,93721,810
2012-02-02$43.48$41.0021.0%6.0%17.5%11.1%22.0%3.4%2.2%4.0M-48.4M-376.0K0.1110.19N/AN/A5,07454938,32425,469
2012-02-03$44.21$44.0022.3%6.8%17.5%14.0%24.6%5.2%1.4%4.4M-68.0M-388.4K0.8215.92N/AN/A1,8371,50040,81526,003
2012-02-06$43.80$44.0023.8%7.0%17.2%17.4%22.9%5.5%1.4%4.4M-57.6M-397.6K2.3715.01N/AN/A8812,08541,48927,231
2012-02-07$43.89$44.0023.3%6.9%17.2%16.3%25.3%6.3%1.7%4.4M-58.6M-407.7K0.0211.39N/AN/A173441,99928,481
2012-02-08$44.23$44.0025.1%7.4%16.2%20.2%24.7%6.5%0.2%4.4M-70.4M-390.0K0.6318.21N/AN/A1,42389741,58927,424
2012-02-09$44.21$44.0025.1%7.2%16.2%20.3%24.6%6.0%0.5%4.9M-71.2M-375.7K0.5926.65N/AN/A38922841,81527,232
2012-02-10$43.28$44.0027.0%7.7%18.7%24.3%27.3%5.9%1.2%4.6M-45.0M-380.4K0.2926.81N/AN/A69120341,99727,406
2012-02-13$43.93$44.0025.8%7.4%18.5%21.8%26.4%5.6%0.2%5.7M-66.6M-367.5K0.3423.31N/AN/A41914342,58027,552
2012-02-14$43.61$44.0025.4%7.3%18.5%20.9%25.3%6.6%1.6%6.1M-56.3M-362.6K1.0421.88N/AN/A2,5542,65242,65527,681
2012-02-15$43.73$44.0026.4%7.6%16.9%23.0%24.8%6.8%2.5%6.2M-62.5M-384.8K0.2025.04N/AN/A1,44029044,14029,439
2012-02-16$44.17$44.0024.2%6.9%16.9%18.3%21.5%6.6%2.2%7.1M-75.5M-377.0K0.3325.01N/AN/A4,2031,39844,33329,160
2012-02-17$44.28$44.0024.6%7.0%16.9%19.0%23.6%5.8%1.5%8.8M-84.2M-415.3K0.0520.96N/AN/A1,1815846,94930,546
2012-02-21$44.10$44.0022.8%6.5%17.1%15.1%21.9%5.8%2.4%1.9M-26.7M-398.0K0.5315.70N/AN/A3,4401,83932,93524,787
2012-02-22$44.25$44.0022.3%6.4%17.1%14.1%20.0%5.5%2.9%2.0M-28.3M-434.4K0.4112.75N/AN/A2,11986834,83026,523
2012-02-23$44.15$44.0022.0%6.3%16.8%13.4%21.5%5.0%3.3%2.2M-27.8M-433.0K1.1712.06N/AN/A1,4751,72435,72126,545
2012-02-24$44.51$44.0020.5%5.9%16.8%10.1%22.9%3.8%1.8%2.3M-35.8M-444.9K3.359.22N/AN/A4961,66335,75227,150
2012-02-27$44.15$44.0023.3%6.7%17.1%16.2%23.2%4.2%0.9%2.0M-25.2M-455.6K2.979.26N/AN/A1,1483,40435,11828,983
2012-02-28$44.71$44.0022.1%6.3%16.3%13.5%22.4%3.9%1.0%1.9M-33.5M-483.0K0.4010.33N/AN/A74729635,31831,975
2012-02-29$44.63$44.0022.9%6.6%16.3%15.4%23.0%4.0%0.2%2.0M-34.2M-476.1K3.557.28N/AN/A20673235,48331,119