VWO Options History — April 2012

In April 2012, VWO traded between $41.72 and $43.96. ATM implied volatility averaged 23.2%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.0% (HV 20d: 20.1%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2012-04-25: Highest Volume — 3,107 contracts
  • 2012-04-20: Largest IV drop — 12.7% change
  • 2012-04-16: Highest IV Rank — 23.2%
  • 2012-04-10: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.67$41.72$43.96$43.96$42.56
Max Pain$43.50$43.00$44.00$43.00$43.00
ATM IV23.2%19.4%26.5%20.9%20.1%
Expected Move6.7%5.6%7.7%6.0%5.7%
HV 20d20.1%18.4%23.7%23.7%19.1%
HV 60d19.8%19.1%20.2%19.3%19.4%
IV Rank15.9%7.6%23.2%10.8%9.0%
IV Percentile36.4%4.8%57.5%19.4%7.1%
Term Structure1.2%0.1%2.6%1.1%1.6%
VWIV23.0%18.5%27.9%20.9%19.4%
Skew 25d5.1%3.2%6.1%3.9%4.9%
Skew 10d10.8%4.4%17.0%12.8%9.8%
Call IV 25d20.9%18.2%24.3%19.3%18.6%
Put IV 25d26.0%21.7%30.4%23.2%23.5%
Bid-Ask Spread %26.148.9378.6315.9276.74
Gamma HHI0.140.130.150.150.13
Net GEX1.3M-146.5K3.1M3.1M1.8M
Net DEX2.8M-21.6M15.5M-21.6M3.0M
Net VEX-419.7K-471.7K-392.3K-458.4K-392.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.052.380.270.18
Total Volume978.32193,1072,525934
Total OI61,407.4554,88666,22160,24158,601

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$43.96$43.0020.9%6.0%23.7%10.8%20.9%3.9%1.1%3.1M-21.6M-458.4K0.2715.92N/AN/A1,98454133,60826,633
2012-04-03$43.79$43.0021.0%6.0%19.7%11.2%23.2%5.1%1.9%2.9M-18.8M-471.7K0.659.68N/AN/A18912334,74127,347
2012-04-04$42.92$43.0022.9%6.6%20.6%15.4%23.0%3.4%1.6%1.9M-3.1M-455.8K2.388.93N/AN/A15436634,84527,439
2012-04-05$43.17$43.0021.4%6.1%19.1%12.0%20.7%3.7%2.6%2.2M-6.9M-452.1K1.4612.06N/AN/A8913034,88827,434
2012-04-09$42.55$44.0023.9%7.0%19.7%17.6%27.2%5.2%0.5%1.4M4.5M-428.3K0.3334.37N/AN/A35311834,93627,481
2012-04-10$41.72$44.0026.4%7.7%20.5%23.1%26.9%6.1%0.2%493.6K15.5M-412.1K1.8229.94N/AN/A35764834,79827,592
2012-04-11$42.14$44.0025.9%7.7%18.4%22.1%26.2%6.0%0.5%750.7K10.5M-421.8K1.0627.99N/AN/A44046834,88427,972
2012-04-12$43.21$44.0025.1%7.2%20.2%20.1%24.2%6.0%0.3%2.0M-4.1M-433.5K0.2024.61N/AN/A90118234,80828,206
2012-04-13$42.57$44.0025.5%7.3%20.4%21.0%27.9%6.0%0.5%1.3M4.1M-425.8K0.7527.83N/AN/A33625235,49728,333
2012-04-16$42.37$44.0026.5%7.6%20.4%23.2%24.4%6.0%0.1%919.4K8.4M-412.6K0.6329.93N/AN/A47630235,58428,493
2012-04-17$42.81$44.0024.3%7.0%20.9%18.5%22.7%5.2%0.6%1.3M2.9M-418.6K0.4322.31N/AN/A75132435,74428,678
2012-04-18$42.62$44.0023.9%6.8%20.4%17.5%23.4%5.0%1.0%697.3K8.1M-411.3K0.6620.28N/AN/A23615636,30828,884
2012-04-19$42.48$44.0024.8%7.1%20.4%19.5%24.0%5.7%1.2%150.0K11.5M-400.6K0.2118.02N/AN/A81316836,28928,964
2012-04-20$42.75$44.0021.6%6.2%19.8%12.5%21.4%4.7%2.2%-146.5K6.7M-412.4K0.0519.74N/AN/A2,39912237,18329,038
2012-04-23$41.97$43.0023.5%6.7%20.6%16.6%23.2%5.1%1.3%592.1K12.6M-392.4K1.0920.08N/AN/A43847928,59426,292
2012-04-24$42.04$43.0023.4%6.7%19.6%16.3%22.9%5.6%0.8%651.7K11.4M-392.3K0.3517.86N/AN/A35312228,79826,643
2012-04-25$42.40$43.0022.6%6.5%20.0%14.6%18.5%5.7%1.7%823.9K8.0M-392.7K0.0513.42N/AN/A2,96114629,01526,717
2012-04-26$42.66$43.0020.1%5.8%19.6%9.2%20.8%4.5%2.1%1.8M1.7M-406.4K0.6314.48N/AN/A27517431,63226,826
2012-04-27$42.68$43.0019.4%5.6%19.6%7.6%19.3%3.2%2.6%1.9M1.1M-402.4K0.7478.63N/AN/A17613031,68126,743
2012-04-30$42.56$43.0020.1%5.7%19.1%9.0%19.4%4.9%1.6%1.8M3.0M-392.4K0.1876.74N/AN/A79414031,78026,821