VWO Options History — September 2012

In September 2012, VWO traded between $39.71 and $43.22. ATM implied volatility averaged 19.3%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.6% (HV 20d: 16.8%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.31.

Notable Days

  • 2012-09-21: Highest Volume — 23,796 contracts
  • 2012-09-21: Largest IV drop — 20.0% change
  • 2012-09-04: Highest IV Rank — 14.1%
  • 2012-09-04: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.79$39.71$43.22$39.92$41.72
Max Pain$42.68$41.00$43.00$41.00$43.00
ATM IV19.3%16.2%22.2%22.2%17.8%
Expected Move5.6%4.6%6.4%6.4%5.1%
HV 20d16.8%9.5%19.9%9.5%19.4%
HV 60d20.5%18.7%21.9%21.1%18.7%
IV Rank7.8%0.9%14.1%14.1%4.3%
IV Percentile7.9%0.4%26.2%26.2%2.4%
Term Structure1.4%-0.3%2.5%1.3%2.5%
VWIV20.2%16.6%21.8%21.8%21.0%
Skew 25d4.7%1.2%13.3%3.6%3.5%
Skew 10d8.2%-0.2%21.0%1.9%7.5%
Call IV 25d17.7%10.1%21.1%21.1%17.3%
Put IV 25d22.4%17.9%25.7%24.7%20.7%
Bid-Ask Spread %83.3838.2494.2594.2585.65
Gamma HHI0.320.200.490.230.23
Net GEX4.8M-1.5M9.8M-483.3K3.0M
Net DEX-6.0M-77.9M60.6M52.0M21.7M
Net VEX-392.8K-497.7K-320.2K-339.8K-484.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.054.550.753.01
Total Volume3,894.57928323,7963282,682
Total OI94,798.21180,009114,41389,37985,660

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$39.92$41.0022.2%6.4%9.5%14.1%21.8%3.6%1.3%-483.3K52.0M-339.8K0.7594.25N/AN/A18714145,51543,864
2012-09-05$39.71$41.0021.5%6.2%9.5%12.6%21.1%4.3%0.9%-1.5M60.6M-320.2K1.4889.89N/AN/A23034145,61443,933
2012-09-06$40.56$41.0018.7%5.4%12.5%6.5%19.7%2.5%0.9%1.3M33.6M-336.3K0.1291.44N/AN/A6988745,63244,228
2012-09-07$41.51$43.0017.0%5.3%15.0%2.6%21.1%7.6%1.1%5.8M1.6M-355.6K1.3581.93N/AN/A47163646,12344,260
2012-09-10$41.01$43.0019.8%5.8%15.5%8.8%21.5%4.5%1.0%3.6M17.4M-330.1K0.6181.71N/AN/A1,15570346,50944,611
2012-09-11$41.46$43.0020.3%6.1%15.8%10.1%21.4%4.1%-0.3%6.1M264.0K-338.0K3.6638.24N/AN/A8343,05547,09044,379
2012-09-12$41.64$43.0020.2%5.7%15.8%9.6%21.5%6.2%1.7%6.4M-2.1M-364.5K2.1479.07N/AN/A8691,86047,74547,242
2012-09-13$42.70$43.0020.0%5.7%18.0%9.3%20.2%13.3%-0.1%7.9M-48.2M-365.7K0.2485.92N/AN/A3,04472248,36148,651
2012-09-14$43.22$43.0020.4%5.9%18.2%10.2%21.0%4.5%1.4%7.7M-77.9M-355.1K1.8479.41N/AN/A3,0105,55350,80549,180
2012-09-17$42.84$43.0020.2%5.8%18.4%9.8%21.1%4.9%1.2%8.3M-55.3M-383.8K1.0688.75N/AN/A93699053,01354,115
2012-09-18$42.81$43.0019.1%5.5%18.4%7.4%21.5%5.1%2.1%8.6M-53.3M-377.4K0.1989.17N/AN/A78914752,85854,596
2012-09-19$42.80$43.0018.3%5.3%18.3%5.6%19.2%4.6%2.0%8.0M-57.6M-365.1K4.5590.86N/AN/A2,28910,41352,87954,691
2012-09-20$42.59$43.0020.2%5.8%18.5%9.8%19.0%3.9%2.1%9.8M-37.5M-430.9K0.1689.06N/AN/A1,18719353,94460,469
2012-09-21$42.66$43.0016.2%4.6%18.1%0.9%16.6%1.2%1.5%4.6M-52.6M-409.5K0.1182.70N/AN/A21,4482,34853,69458,098
2012-09-24$42.11$43.0017.5%5.0%18.9%3.9%17.3%3.3%2.2%3.7M12.2M-465.2K0.0581.65N/AN/A2,84615140,78639,223
2012-09-25$41.50$43.0019.4%5.6%19.3%8.0%20.5%3.8%1.7%2.8M22.8M-469.4K2.9584.83N/AN/A7452,19943,57339,237
2012-09-26$41.31$43.0020.5%5.9%19.4%10.5%21.2%4.4%0.9%2.1M32.7M-474.4K0.4683.84N/AN/A51623944,11541,005
2012-09-27$41.97$43.0018.1%5.2%19.9%5.1%17.8%4.2%2.4%3.6M14.9M-497.7K0.2385.76N/AN/A2305344,27541,193
2012-09-28$41.72$43.0017.8%5.1%19.4%4.3%21.0%3.5%2.5%3.0M21.7M-484.4K3.0185.65N/AN/A6692,01344,44941,211