VWO Options History — July 2012

In July 2012, VWO traded between $38.26 and $40.70. ATM implied volatility averaged 23.0%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.7% (HV 20d: 25.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.20.

Notable Days

  • 2012-07-31: Highest Volume — 11,615 contracts
  • 2012-07-23: Largest IV spike — 16.4% change
  • 2012-07-24: Highest IV Rank — 16.1%
  • 2012-07-24: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.48$38.26$40.70$39.97$40.01
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV23.0%20.2%25.9%21.9%22.6%
Expected Move6.7%5.8%7.4%6.3%6.5%
HV 20d25.6%22.8%27.0%26.5%22.8%
HV 60d22.9%22.1%24.3%22.8%24.1%
IV Rank10.5%2.5%16.1%13.2%8.2%
IV Percentile24.5%2.4%46.0%17.5%19.4%
Term Structure1.0%-0.1%2.1%1.3%0.9%
VWIV22.7%19.5%26.7%21.6%23.0%
Skew 25d5.4%4.1%6.8%5.1%5.1%
Skew 10d10.2%-1.9%18.2%9.7%-1.9%
Call IV 25d20.6%18.6%23.3%19.7%20.7%
Put IV 25d26.0%22.8%28.7%24.7%25.9%
Bid-Ask Spread %89.1480.2897.9290.9697.92
Gamma HHI0.180.160.250.170.20
Net GEX-195.4K-1.6M2.0M1.2M-210.7K
Net DEX27.8M-7.3M57.5M8.4M30.6M
Net VEX-411.2K-467.6K-355.4K-452.6K-442.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.018.100.410.01
Total Volume2,064.85733211,6152,10211,615
Total OI74,486.57164,33380,05171,40577,582

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$39.97$40.0021.9%6.3%26.5%13.2%21.6%5.1%1.3%1.2M8.4M-452.6K0.4190.96N/AN/A1,48761537,92533,480
2012-07-03$40.70$40.0020.6%5.9%27.0%10.3%19.5%4.1%1.9%2.0M-7.3M-467.6K1.1597.26N/AN/A24027538,83533,929
2012-07-05$40.35$40.0022.0%6.3%25.9%13.3%22.0%4.4%1.4%1.7M-41.3K-463.0K1.5896.63N/AN/A21433839,03434,104
2012-07-06$39.62$40.0020.8%6.7%26.9%10.7%26.7%6.8%1.4%793.7K15.4M-438.2K5.2080.28N/AN/A3191,66039,17134,295
2012-07-09$39.44$40.0024.2%7.2%26.7%14.5%21.1%6.6%0.6%287.9K23.3M-420.9K0.9280.62N/AN/A26624639,36235,905
2012-07-10$39.05$40.0024.0%7.2%26.6%11.5%26.3%5.9%0.7%-270.6K30.3M-409.0K4.3585.04N/AN/A6227039,49136,087
2012-07-11$39.23$40.0023.4%7.0%25.6%10.2%22.2%6.5%1.9%-169.7K28.3M-411.1K0.5087.56N/AN/A25012439,50536,259
2012-07-12$38.61$40.0024.9%7.1%26.3%13.7%23.1%6.0%-0.1%-1.0M41.1M-384.6K0.7282.72N/AN/A26519239,61936,337
2012-07-13$39.33$40.0023.8%6.8%27.0%11.1%22.4%6.0%0.4%-398.9K28.9M-400.9K0.6590.92N/AN/A36423639,70736,493
2012-07-16$39.25$40.0024.7%7.1%26.4%13.2%22.2%5.6%0.2%-853.7K32.0M-388.9K0.3387.91N/AN/A2648639,78736,610
2012-07-17$39.72$40.0021.6%6.2%26.7%6.0%23.4%4.9%1.3%-52.5K21.1M-395.3K0.7491.16N/AN/A22516639,89936,675
2012-07-18$39.58$40.0021.1%6.0%26.2%4.6%22.5%4.8%1.4%-721.4K25.1M-382.2K8.1088.31N/AN/A2121,71739,98136,800
2012-07-19$39.98$40.0020.2%5.8%26.4%2.5%20.2%4.4%2.1%-588.7K15.1M-404.7K3.4090.43N/AN/A6522,21939,30338,217
2012-07-20$39.39$40.0021.8%6.3%23.3%6.4%21.7%4.1%1.9%-1.6M36.0M-390.1K3.9882.79N/AN/A18272439,84940,202
2012-07-23$38.42$40.0025.4%7.3%25.0%14.9%25.4%5.2%-0.0%-903.7K42.4M-355.4K2.2597.22N/AN/A2,7196,11233,42030,913
2012-07-24$38.26$40.0025.9%7.4%24.2%16.1%26.5%6.1%-0.1%-1.3M57.5M-365.8K3.0385.76N/AN/A4481,35834,64135,657
2012-07-25$38.42$40.0025.9%7.4%24.0%16.0%23.9%5.3%0.9%-1.3M56.4M-383.3K6.0584.46N/AN/A2811,69934,96336,752
2012-07-26$39.24$40.0023.5%6.7%25.1%10.4%21.6%5.9%0.5%-1.0M46.4M-410.2K0.6192.50N/AN/A62638235,14438,381
2012-07-27$40.39$40.0021.9%6.3%26.9%6.6%21.3%5.8%0.8%123.3K23.9M-437.7K0.4491.13N/AN/A1,00744335,69538,701
2012-07-30$40.15$40.0022.5%6.5%22.8%8.1%20.7%5.5%1.0%134.1K28.2M-431.7K1.7590.39N/AN/A1,0181,78436,54438,964
2012-07-31$40.01$40.0022.6%6.5%22.8%8.2%23.0%5.1%0.9%-210.7K30.6M-442.5K0.0197.92N/AN/A11,50011537,09940,483