VWO Options History — June 2012

In June 2012, VWO traded between $37.08 and $39.99. ATM implied volatility averaged 26.1%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.1% (HV 20d: 24.0%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2012-06-21: Highest Volume — 15,055 contracts
  • 2012-06-13: Largest IV spike — 19.9% change
  • 2012-06-01: Highest IV Rank — 34.6%
  • 2012-06-04: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.52$37.08$39.99$37.08$39.93
Max Pain$39.86$39.00$40.00$40.00$40.00
ATM IV26.1%21.7%31.6%31.6%21.7%
Expected Move7.8%6.2%9.2%9.1%6.2%
HV 20d24.0%21.4%26.9%21.5%26.5%
HV 60d20.6%19.6%22.9%20.2%22.9%
IV Rank22.5%12.6%34.6%34.6%12.6%
IV Percentile44.9%16.7%66.3%66.3%16.7%
Term Structure0.8%-0.1%2.2%1.0%2.2%
VWIV27.1%19.9%32.7%30.8%19.9%
Skew 25d7.8%5.3%10.3%9.3%5.3%
Skew 10d15.9%2.6%24.9%16.4%6.8%
Call IV 25d23.5%19.2%27.4%27.4%19.2%
Put IV 25d31.2%24.4%37.6%36.7%24.4%
Bid-Ask Spread %82.0870.7690.9085.7290.11
Gamma HHI0.210.150.460.190.17
Net GEX-1.1M-2.8M864.1K-1.2M864.1K
Net DEX41.1M12.3M61.2M59.9M12.3M
Net VEX-322.3K-443.2K-262.1K-266.4K-443.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.078.630.540.13
Total Volume2,126.42916815,0557571,994
Total OI63,878.28642,76169,71265,22269,712

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$37.08$40.0031.6%9.1%21.5%34.6%30.8%9.3%1.0%-1.2M59.9M-266.4K0.5485.72N/AN/A49026734,92230,300
2012-06-04$37.22$40.0031.5%9.2%21.4%34.3%29.2%10.3%-0.0%-1.3M61.2M-262.1K0.5876.73N/AN/A54731734,59230,521
2012-06-05$37.36$40.0029.6%8.8%21.5%30.1%32.7%9.5%0.3%-1.5M61.2M-265.4K4.7074.75N/AN/A4722135,12130,778
2012-06-06$38.41$40.0026.4%8.0%24.3%23.1%24.8%8.6%1.9%-1.2M48.0M-287.1K3.2479.04N/AN/A3091,00135,14230,298
2012-06-07$38.59$40.0023.7%8.1%24.1%17.2%31.7%8.0%0.1%-1.0M44.4M-295.4K4.6078.49N/AN/A4652,13735,34730,673
2012-06-08$38.27$40.0023.8%8.3%24.0%17.4%27.6%8.1%0.7%-1.8M52.6M-283.1K0.0779.74N/AN/A3922735,60431,839
2012-06-11$37.80$40.0027.9%8.6%23.9%26.3%30.7%6.6%0.1%-2.1M56.6M-274.3K1.1170.76N/AN/A25127935,99431,862
2012-06-12$38.59$40.0023.0%8.3%24.2%15.5%28.7%8.5%0.4%-1.9M48.0M-283.5K0.2479.13N/AN/A2866935,87131,871
2012-06-13$38.40$40.0027.6%8.8%24.1%25.6%32.3%8.8%-0.1%-2.4M50.1M-283.5K2.4879.25N/AN/A22956936,06831,898
2012-06-14$38.62$39.0028.2%8.1%23.5%27.0%31.2%8.4%0.5%-2.8M47.6M-284.1K1.0077.67N/AN/A70670336,24332,303
2012-06-15$39.24$39.0027.7%7.9%23.6%26.0%27.6%8.7%0.7%-2.1M34.9M-290.2K0.4780.64N/AN/A32215136,25232,688
2012-06-18$39.39$39.0026.1%7.5%23.4%22.4%25.5%8.3%-0.1%-562.9K25.0M-282.2K0.5984.39N/AN/A2,2621,32819,18423,577
2012-06-19$39.99$40.0023.3%6.7%22.7%16.2%22.4%6.8%1.1%-407.0K17.5M-325.0K0.5977.59N/AN/A1,9401,13921,90824,795
2012-06-20$39.93$40.0022.8%6.5%22.4%15.1%21.5%7.5%1.3%-346.5K18.2M-334.7K1.5887.73N/AN/A2,7194,28523,38825,638
2012-06-21$38.48$40.0026.2%7.5%26.2%22.5%25.5%6.6%1.5%-824.1K38.3M-332.2K0.2682.25N/AN/A11,9633,09225,38529,395
2012-06-22$38.63$40.0023.5%6.7%26.1%16.7%24.0%7.6%1.9%-68.7K31.8M-416.4K1.0287.87N/AN/A838536,10332,175
2012-06-25$37.93$40.0026.3%7.5%26.9%22.7%26.8%7.4%0.4%-630.8K43.3M-370.9K0.1183.40N/AN/A1,82920234,97132,233
2012-06-26$38.27$40.0026.2%7.5%25.2%22.6%25.8%6.9%1.2%-379.5K37.1M-397.0K2.4588.35N/AN/A27567335,87632,363
2012-06-27$38.48$40.0025.8%7.4%24.4%21.7%23.8%6.1%1.5%-373.1K35.7M-400.2K0.6989.15N/AN/A34823936,02933,015
2012-06-28$38.32$40.0025.9%7.4%24.4%22.1%27.0%5.8%0.2%-552.1K39.9M-392.3K8.6390.90N/AN/A4337136,35033,160
2012-06-29$39.93$40.0021.7%6.2%26.5%12.6%19.9%5.3%2.2%864.1K12.3M-443.2K0.1390.11N/AN/A1,77222236,36633,346