VWO Options History — May 2012

In May 2012, VWO traded between $37.57 and $42.85. ATM implied volatility averaged 26.2%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 9.0% (HV 20d: 17.2%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2012-05-11: Highest Volume — 4,169 contracts
  • 2012-05-21: Largest IV drop — 14.5% change
  • 2012-05-16: Highest IV Rank — 33.6%
  • 2012-05-16: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.62$37.57$42.85$42.85$38.02
Max Pain$42.14$40.00$43.00$43.00$40.00
ATM IV26.2%19.1%31.1%19.6%29.1%
Expected Move7.5%5.5%8.9%5.6%8.3%
HV 20d17.2%14.3%20.4%18.8%20.4%
HV 60d19.7%19.0%21.0%19.1%19.9%
IV Rank22.5%7.0%33.6%8.1%29.1%
IV Percentile47.5%3.6%64.3%5.2%60.7%
Term Structure0.9%-0.2%2.7%2.1%0.8%
VWIV25.2%13.9%34.8%18.3%27.8%
Skew 25d7.2%3.4%9.3%4.6%7.0%
Skew 10d13.7%7.1%18.2%13.9%13.2%
Call IV 25d23.1%17.0%28.0%17.4%25.9%
Put IV 25d30.3%21.9%36.0%22.0%32.9%
Bid-Ask Spread %76.0765.9392.3384.1473.75
Gamma HHI0.170.130.220.140.19
Net GEX-382.6K-1.6M2.2M2.2M-950.8K
Net DEX37.2M-2.3M57.0M-2.3M50.9M
Net VEX-334.6K-397.8K-287.7K-397.4K-287.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.037.780.302.12
Total Volume1,423.5912514,1691,258824
Total OI62,629.09158,91465,33659,19764,666

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$42.85$43.0019.6%5.6%18.8%8.1%18.3%4.6%2.1%2.2M-2.3M-397.4K0.3084.14N/AN/A97128732,29326,904
2012-05-02$42.81$43.0019.1%5.5%18.8%7.0%20.0%4.9%2.7%2.2M215.8K-397.8K0.0386.70N/AN/A243833,04527,159
2012-05-03$42.40$43.0020.8%6.0%17.7%10.6%19.0%3.4%2.1%1.7M5.6M-386.4K4.0492.33N/AN/A3351,35532,92627,145
2012-05-04$41.70$43.0021.9%6.6%18.4%13.0%22.8%6.9%0.8%800.8K16.9M-377.4K0.7277.25N/AN/A23216633,04327,671
2012-05-07$41.79$43.0022.0%6.6%17.9%13.4%13.9%6.9%1.1%802.0K18.1M-368.9K0.3873.82N/AN/A1,80268733,06927,634
2012-05-08$41.19$43.0024.4%7.0%17.2%18.7%16.6%6.7%-0.1%149.9K25.3M-368.1K0.1475.22N/AN/A3,50749734,78927,876
2012-05-09$40.63$43.0024.5%7.2%17.3%18.8%25.3%7.6%-0.1%-309.5K29.2M-380.0K3.0274.80N/AN/A3611,09035,95128,016
2012-05-10$40.84$43.0024.2%6.9%14.4%18.2%23.3%6.9%0.6%-346.0K28.7M-380.3K0.1570.68N/AN/A2363635,21128,501
2012-05-11$40.28$43.0025.7%7.4%14.3%21.5%22.0%6.9%0.3%-794.2K34.9M-362.0K0.0773.42N/AN/A3,88928035,24428,516
2012-05-14$39.37$43.0028.8%8.2%16.0%28.3%27.2%7.4%-0.2%-1.1M45.1M-335.1K1.0069.85N/AN/A44644634,89528,706
2012-05-15$39.07$43.0029.0%8.3%15.1%28.8%28.2%6.9%0.1%-1.3M46.6M-330.9K0.8776.36N/AN/A43137634,81128,490
2012-05-16$38.45$43.0031.1%8.9%15.7%33.6%30.5%7.2%0.8%-1.3M50.7M-312.2K1.5872.84N/AN/A38060234,94928,357
2012-05-17$37.95$43.0031.1%8.9%15.9%33.4%30.8%7.9%-0.0%-1.3M55.4M-303.2K7.7881.03N/AN/A2061,60235,09728,871
2012-05-18$37.71$43.0030.4%8.7%15.3%31.9%31.9%9.3%0.5%-1.4M57.0M-301.0K0.8665.93N/AN/A51744335,16130,175
2012-05-21$38.58$43.0026.0%7.5%17.7%22.2%25.5%9.0%2.5%-1.6M49.7M-306.8K0.1667.50N/AN/A1,52624929,59829,316
2012-05-22$38.27$42.0028.5%8.2%17.6%27.6%24.0%8.9%0.7%-1.3M51.2M-298.2K0.0974.61N/AN/A3,36331731,02029,411
2012-05-23$37.96$40.0028.3%8.1%17.0%27.2%31.6%7.8%1.7%-908.4K51.9M-293.4K0.8570.69N/AN/A58249533,90029,396
2012-05-24$37.73$40.0028.5%8.2%16.4%27.8%27.3%8.7%0.9%-934.3K53.2M-292.1K0.4272.33N/AN/A27311634,04729,649
2012-05-25$37.57$40.0028.0%8.0%16.2%26.5%34.8%9.0%0.6%-1.0M54.3M-291.5K6.8178.94N/AN/A10370134,29129,714
2012-05-29$38.61$40.0025.7%7.4%20.1%21.6%23.6%7.8%1.8%-748.4K44.7M-302.3K2.6279.65N/AN/A25867734,37029,560
2012-05-30$37.90$40.0029.0%8.3%20.2%28.8%29.6%7.2%0.5%-1.0M52.1M-288.7K0.1981.68N/AN/A3406434,57029,827
2012-05-31$38.02$40.0029.1%8.3%20.4%29.1%27.8%7.0%0.8%-950.8K50.9M-287.7K2.1273.75N/AN/A26456034,80629,860