VWO Options History — October 2012

In October 2012, VWO traded between $41.33 and $42.59. ATM implied volatility averaged 18.8%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.3% (HV 20d: 15.5%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2012-10-03: Highest Volume — 10,255 contracts
  • 2012-10-23: Largest IV spike — 14.7% change
  • 2012-10-24: Highest IV Rank — 18.0%
  • 2012-10-24: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.89$41.33$42.59$42.16$41.50
Max Pain$42.19$42.00$43.00$43.00$42.00
ATM IV18.8%16.6%21.2%18.9%20.7%
Expected Move5.5%4.9%6.1%5.4%5.9%
HV 20d15.5%12.7%19.5%19.5%14.2%
HV 60d17.2%15.0%18.4%18.4%15.0%
IV Rank9.5%2.6%18.0%6.8%16.4%
IV Percentile9.5%1.2%30.2%5.6%25.0%
Term Structure1.8%0.5%2.6%2.2%2.2%
VWIV18.8%16.4%21.5%18.5%19.6%
Skew 25d4.2%3.2%5.4%3.6%4.6%
Skew 10d11.2%-1.4%17.9%8.1%10.3%
Call IV 25d17.3%14.1%18.6%17.7%18.0%
Put IV 25d21.5%19.4%23.5%21.4%22.6%
Bid-Ask Spread %52.756.70105.7287.17105.72
Gamma HHI0.220.170.380.250.19
Net GEX6.5M1.9M15.4M3.7M7.5M
Net DEX-4.6M-44.6M21.4M8.8M-20.9M
Net VEX-534.7K-618.5K-483.0K-499.0K-489.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.006.480.520.61
Total Volume2,215.71419710,255355601
Total OI101,007.76287,356112,31787,35693,119

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$42.16$43.0018.9%5.4%19.5%6.8%18.5%3.6%2.2%3.7M8.8M-499.0K0.5287.17N/AN/A23312244,62942,727
2012-10-02$42.13$43.0019.1%5.5%19.4%7.2%18.2%3.2%2.1%3.9M9.9M-493.3K0.5386.85N/AN/A38020144,80442,833
2012-10-03$41.91$43.0017.6%5.0%19.4%5.5%18.5%3.2%2.6%3.5M17.8M-483.0K0.0184.79N/AN/A10,15410145,08543,020
2012-10-04$42.30$43.0018.1%5.2%18.3%7.8%16.4%5.4%2.5%6.3M-4.2M-552.0K0.0085.71N/AN/A8,9933255,14243,108
2012-10-05$42.27$42.0016.6%5.6%16.6%2.6%19.2%4.7%1.1%7.9M-15.7M-618.5K0.3383.05N/AN/A31310364,05743,132
2012-10-08$41.88$42.0016.8%5.5%16.3%3.4%18.2%3.9%1.7%6.3M5.0M-571.6K0.0883.05N/AN/A1,67313964,34943,205
2012-10-09$41.54$42.0018.1%5.6%16.2%7.5%19.4%3.8%1.3%5.4M8.8M-573.1K0.0184.75N/AN/A1,8932665,89243,241
2012-10-10$41.33$42.0019.1%5.9%16.2%11.1%20.4%4.8%2.3%3.9M21.4M-535.5K0.7185.61N/AN/A1,7091,22066,02043,251
2012-10-11$41.72$42.0019.2%5.5%13.7%11.2%20.0%4.1%1.7%5.5M9.0M-563.9K0.1081.99N/AN/A7067365,54244,421
2012-10-12$41.60$42.0019.1%5.5%12.7%10.8%19.2%4.6%1.7%4.0M18.7M-540.3K0.1287.10N/AN/A2522966,13044,455
2012-10-15$41.88$42.0018.8%5.4%12.8%10.0%18.1%4.3%2.2%4.7M11.3M-535.7K0.0317.26N/AN/A2,3706166,02944,454
2012-10-16$42.25$42.0018.7%5.4%13.3%9.6%17.2%3.5%1.8%9.8M-8.5M-552.7K0.8716.13N/AN/A1149967,88444,425
2012-10-17$42.59$42.0017.0%4.9%13.6%4.1%17.2%3.3%2.0%15.4M-28.2M-560.1K0.3216.92N/AN/A1494867,88244,435
2012-10-18$42.47$42.0018.5%5.3%13.6%9.0%16.8%3.3%2.1%9.9M-12.7M-538.1K0.596.70N/AN/A1589466,51544,352
2012-10-19$41.81$42.0019.0%5.5%14.6%10.7%19.0%3.8%1.7%1.9M14.0M-502.7K0.0610.75N/AN/A8,10246366,55044,376
2012-10-22$42.24$42.0018.2%5.2%14.4%8.1%18.7%5.1%1.7%8.5M-44.6M-533.3K0.9210.87N/AN/A91083860,18628,300
2012-10-23$41.36$42.0020.9%6.0%15.4%17.0%21.5%5.3%0.5%7.0M-18.0M-513.2K6.4814.87N/AN/A3382,18960,84228,967
2012-10-24$41.43$42.0021.2%6.1%15.3%18.0%20.0%3.9%2.2%6.6M-17.2M-517.0K0.2820.13N/AN/A59316460,97031,073
2012-10-25$41.84$42.0019.6%5.6%14.7%12.5%20.6%5.0%1.2%7.6M-31.0M-539.4K0.5220.04N/AN/A39520761,53431,166
2012-10-26$41.55$42.0019.1%5.5%14.7%10.9%19.0%4.9%1.3%7.3M-20.4M-516.5K0.5218.22N/AN/A1879861,75431,307
2012-10-31$41.50$42.0020.7%5.9%14.2%16.4%19.6%4.6%2.2%7.5M-20.9M-489.0K0.61105.72N/AN/A37422761,73431,385