VWO Options History — March 2012

In March 2012, VWO traded between $42.74 and $45.09. ATM implied volatility averaged 21.8%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.6% (HV 20d: 21.2%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2012-03-06: Highest Volume — 4,274 contracts
  • 2012-03-06: Largest IV spike — 14.0% change
  • 2012-03-06: Highest IV Rank — 19.0%
  • 2012-03-06: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.89$42.74$45.09$45.09$43.47
Max Pain$43.41$43.00$44.00$44.00$43.00
ATM IV21.8%20.4%24.6%21.6%22.4%
Expected Move6.4%5.9%7.1%6.2%6.4%
HV 20d21.2%14.7%23.8%14.7%23.8%
HV 60d21.0%19.2%23.7%22.6%19.3%
IV Rank12.9%9.9%19.0%12.3%14.1%
IV Percentile29.3%18.3%50.0%26.6%35.7%
Term Structure2.1%0.4%3.8%1.7%1.6%
VWIV21.7%18.8%26.1%21.1%21.1%
Skew 25d5.4%3.7%6.9%6.9%3.7%
Skew 10d10.6%-3.6%16.7%13.0%9.9%
Call IV 25d19.8%15.9%22.4%15.9%20.3%
Put IV 25d25.2%22.8%28.6%22.8%24.1%
Bid-Ask Spread %21.879.2331.6912.0819.85
Gamma HHI0.140.120.150.140.14
Net GEX1.9M1.1M2.5M2.2M2.3M
Net DEX-19.4M-42.6M5.1M-42.6M-12.6M
Net VEX-453.1K-492.3K-433.9K-461.6K-462.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.017.650.400.25
Total Volume1,616.8181274,274356330
Total OI63,629.40951,73271,88766,47360,140

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$45.09$44.0021.6%6.2%14.7%12.3%21.1%6.9%1.7%2.2M-42.6M-461.6K0.4012.08N/AN/A25510135,25131,222
2012-03-02$44.97$44.0020.6%5.9%14.8%10.2%21.4%4.2%1.4%2.3M-40.5M-460.3K0.189.23N/AN/A96417435,39431,292
2012-03-05$44.30$44.0021.6%6.7%14.8%12.4%22.9%6.3%2.2%2.2M-25.6M-447.5K0.1329.74N/AN/A2,47032836,18831,054
2012-03-06$42.74$44.0024.6%7.1%19.4%19.0%26.1%6.2%1.4%1.2M5.1M-440.2K0.5231.69N/AN/A2,8061,46836,72231,173
2012-03-07$43.25$44.0023.4%7.1%19.9%16.3%21.9%6.6%1.9%1.1M-843.9K-448.1K0.2426.46N/AN/A56913736,09132,013
2012-03-08$44.20$44.0021.5%6.7%21.2%12.2%22.3%6.5%1.7%1.6M-22.5M-457.5K0.0824.15N/AN/A7926136,36831,974
2012-03-09$44.16$44.0020.9%6.7%21.3%10.9%22.7%5.5%3.1%1.6M-24.9M-453.9K0.4822.15N/AN/A1,92092736,73031,921
2012-03-12$43.75$44.0021.3%6.5%20.1%11.9%21.9%6.6%3.1%1.4M-13.5M-449.4K0.2726.37N/AN/A59316337,92132,667
2012-03-13$44.87$43.0021.1%6.3%21.3%11.4%21.0%5.0%3.2%2.2M-41.3M-449.7K0.3022.77N/AN/A1,42643537,90132,721
2012-03-14$44.11$44.0020.8%6.7%22.1%10.7%24.4%5.4%2.9%1.4M-24.0M-444.7K1.0127.70N/AN/A54655038,35632,832
2012-03-15$44.47$43.0022.9%6.6%22.3%15.3%22.4%5.2%3.4%1.7M-31.0M-443.8K0.1724.75N/AN/A4127038,55033,119
2012-03-16$44.45$43.0021.4%6.1%22.0%12.0%18.8%4.7%3.8%1.4M-30.4M-433.9K0.0116.98N/AN/A3,3084638,73833,149
2012-03-19$44.20$43.0020.9%6.0%22.1%11.0%19.9%4.5%2.7%2.3M-23.4M-438.3K0.3419.78N/AN/A84328828,66423,068
2012-03-20$43.58$43.0020.4%5.9%22.6%9.9%20.6%5.5%2.9%1.9M-14.6M-437.6K0.5524.11N/AN/A1,52583229,40823,258
2012-03-21$43.68$43.0020.7%5.9%22.6%10.4%22.0%5.4%1.9%2.1M-16.6M-444.8K0.2325.53N/AN/A1,43833630,42824,066
2012-03-22$43.00$43.0022.9%6.6%23.2%15.3%22.0%5.4%0.9%1.8M-9.1M-447.1K0.9422.47N/AN/A2,0881,95731,72524,378
2012-03-23$43.31$43.0022.0%6.3%23.2%13.3%20.8%5.7%1.4%1.8M-9.2M-469.7K0.1721.58N/AN/A1091831,74326,254
2012-03-26$43.98$43.0020.8%6.0%23.7%10.7%20.9%5.3%1.3%2.5M-19.6M-469.6K7.6519.16N/AN/A3322,54131,67326,270
2012-03-27$43.78$43.0021.2%6.1%23.3%11.5%21.2%4.1%1.1%2.2M-15.9M-492.3K0.1016.23N/AN/A5846131,94328,790
2012-03-28$43.16$43.0023.5%6.7%23.8%16.6%19.9%5.4%0.4%1.9M-7.7M-457.6K0.1718.38N/AN/A1,17319932,42826,325
2012-03-29$43.02$43.0023.2%6.6%23.3%16.0%22.6%4.3%1.1%1.9M-5.7M-459.0K0.6819.88N/AN/A23516033,46226,477
2012-03-30$43.47$43.0022.4%6.4%23.8%14.1%21.1%3.7%1.6%2.3M-12.6M-462.4K0.2519.85N/AN/A2646633,52926,611