VWO Options History — November 2012

In November 2012, VWO traded between $40.44 and $42.31. ATM implied volatility averaged 19.4%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.8% (HV 20d: 15.6%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2012-11-16: Highest Volume — 8,661 contracts
  • 2012-11-14: Largest IV spike — 21.8% change
  • 2012-11-14: Highest IV Rank — 33.5%
  • 2012-11-08: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.52$40.44$42.31$42.10$42.02
Max Pain$41.62$41.00$43.00$42.00$41.00
ATM IV19.4%16.6%25.7%19.1%18.6%
Expected Move5.5%4.8%6.2%5.5%5.3%
HV 20d15.6%14.2%17.3%15.2%14.2%
HV 60d16.0%15.2%16.5%15.2%16.3%
IV Rank12.3%3.0%33.5%11.1%9.9%
IV Percentile17.2%1.6%71.4%11.9%11.1%
Term Structure-0.2%-2.1%1.8%1.7%-0.1%
VWIV19.0%15.3%23.4%18.9%18.8%
Skew 25d4.6%2.1%6.5%5.4%6.5%
Skew 10d8.9%-1.0%16.6%16.6%4.0%
Call IV 25d17.1%14.1%19.5%15.9%14.1%
Put IV 25d21.6%18.7%23.7%21.3%20.7%
Bid-Ask Spread %35.2413.48104.78104.7889.63
Gamma HHI0.180.150.260.190.18
Net GEX6.8M44.1K10.8M9.4M8.5M
Net DEX-17.8M-50.8M26.2M-38.1M-42.8M
Net VEX-426.1K-513.0K-361.4K-506.9K-407.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.026.480.076.48
Total Volume1,529.191528,6616081,504
Total OI92,906.23887,08298,20493,46691,949

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$42.10$42.0019.1%5.5%15.2%11.1%18.9%5.4%1.7%9.4M-38.1M-506.9K0.07104.78N/AN/A5684061,97531,491
2012-11-02$41.84$42.0018.3%5.3%15.2%8.5%18.2%4.5%1.8%9.1M-34.6M-502.2K1.13103.69N/AN/A10511962,26131,471
2012-11-05$42.04$43.0020.5%6.1%14.9%15.7%18.8%4.2%-0.9%9.3M-33.1M-480.9K0.0422.73N/AN/A4,20315862,25731,532
2012-11-06$42.31$42.0020.0%5.9%15.1%13.9%23.4%2.8%-1.0%10.8M-50.8M-513.0K5.3421.24N/AN/A2391,27664,69831,611
2012-11-07$41.67$42.0019.8%5.9%15.7%13.3%22.7%4.8%-0.8%9.3M-26.3M-484.8K1.1524.85N/AN/A24828564,85731,729
2012-11-08$41.16$42.0021.6%6.2%16.1%19.3%23.3%4.4%-1.2%7.2M-8.3M-454.6K0.1422.40N/AN/A1,74924864,46630,851
2012-11-09$41.31$42.0020.3%6.0%16.0%15.1%21.4%4.4%0.3%8.1M-10.0M-448.4K0.3724.00N/AN/A39414664,11330,850
2012-11-12$41.43$42.0020.7%6.0%15.7%16.4%18.8%5.1%-0.0%9.3M-9.7M-425.5K0.3228.39N/AN/A1153764,13330,930
2012-11-13$41.04$42.0021.1%5.8%16.0%18.0%20.1%5.8%0.2%5.7M3.3M-411.3K1.6921.48N/AN/A23239264,12130,963
2012-11-14$40.44$42.0025.7%6.1%16.5%33.5%19.7%3.7%-1.3%1.3M26.2M-361.4K0.7715.94N/AN/A88868464,09231,221
2012-11-15$40.58$42.0020.4%5.8%16.1%15.7%18.6%4.7%0.4%679.0K25.8M-363.8K0.0616.64N/AN/A2,95817963,95131,731
2012-11-16$40.68$42.0019.3%5.5%15.8%12.0%19.2%4.9%0.1%44.1K24.7M-363.2K0.0221.15N/AN/A8,45920266,38531,819
2012-11-19$41.40$41.0018.1%5.2%17.3%7.8%16.8%4.7%-0.4%5.9M-16.7M-404.9K0.3115.46N/AN/A1,69452259,29727,785
2012-11-20$41.30$41.0018.0%5.2%16.5%7.6%16.4%5.5%-0.2%5.6M-12.8M-403.8K0.9915.11N/AN/A20920760,72328,156
2012-11-21$41.24$41.0018.5%5.3%15.9%9.6%16.4%2.1%-2.1%5.6M-11.7M-403.8K1.0713.48N/AN/A9610360,81128,358
2012-11-23$41.88$41.0016.6%4.8%15.2%3.0%17.0%4.4%0.2%6.9M-29.7M-406.0K0.9113.80N/AN/A26123860,88828,399
2012-11-26$41.94$41.0017.7%5.1%15.2%7.0%17.7%3.8%-0.6%7.0M-32.3M-408.1K0.0419.39N/AN/A8193561,06028,484
2012-11-27$41.59$41.0017.5%5.0%15.1%6.0%20.1%4.8%-0.2%7.2M-27.4M-398.1K3.4123.44N/AN/A4916761,72228,458
2012-11-28$41.79$41.0017.5%5.0%15.0%6.2%17.2%4.5%-0.8%7.3M-27.6M-392.4K0.1327.34N/AN/A94812161,75428,592
2012-11-29$42.08$41.0018.3%5.2%15.1%9.0%15.3%4.3%-0.3%8.5M-41.0M-407.4K1.6795.11N/AN/A45576162,42228,665
2012-11-30$42.02$41.0018.6%5.3%14.2%9.9%18.8%6.5%-0.1%8.5M-42.8M-407.4K6.4889.63N/AN/A2011,30362,85429,095