VWO Options History — December 2012

In December 2012, VWO traded between $42.03 and $44.53. ATM implied volatility averaged 16.4%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.9% (HV 20d: 10.5%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.44.

Notable Days

  • 2012-12-19: Highest Volume — 108,853 contracts
  • 2012-12-13: Largest IV spike — 47.7% change
  • 2012-12-26: Highest IV Rank — 32.0%
  • 2012-12-04: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.44$42.03$44.53$42.03$44.53
Max Pain$42.50$41.00$44.00$41.00$44.00
ATM IV16.4%11.4%19.2%18.3%16.9%
Expected Move4.9%4.6%5.5%5.2%4.8%
HV 20d10.5%8.0%14.4%14.1%9.1%
HV 60d14.0%12.8%16.2%16.2%13.1%
IV Rank17.0%0.0%32.0%8.9%27.0%
IV Percentile5.0%0.0%17.9%9.1%6.7%
Term Structure1.2%-0.2%2.3%0.0%1.3%
VWIV17.6%14.8%20.3%17.1%18.0%
Skew 25d3.8%1.8%5.8%5.7%3.5%
Skew 10d10.7%3.5%15.7%7.7%12.7%
Call IV 25d15.8%13.3%16.6%15.3%16.2%
Put IV 25d19.6%17.4%21.5%21.0%19.7%
Bid-Ask Spread %22.258.5547.5047.509.81
Gamma HHI0.370.180.670.180.35
Net GEX12.0M6.5M23.4M8.6M7.9M
Net DEX-65.5M-103.1M-23.9M-41.5M-70.5M
Net VEX-399.7K-437.5K-346.4K-397.8K-404.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.007.210.462.86
Total Volume7,510.65177108,8533532,460
Total OI88,534.565,99698,96892,67767,459

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$42.03$41.0018.3%5.2%14.1%8.9%17.1%5.7%0.0%8.6M-41.5M-397.8K0.4647.50N/AN/A24211162,93929,738
2012-12-04$42.14$41.0019.2%5.5%14.0%12.1%20.3%5.8%-0.2%8.7M-45.0M-384.3K0.5136.06N/AN/A72637163,11429,735
2012-12-05$42.62$41.0016.6%4.8%14.4%3.0%18.4%3.6%0.6%10.2M-60.8M-397.0K0.0316.90N/AN/A6,22719063,37029,830
2012-12-06$42.89$41.0016.8%4.8%13.3%3.6%19.3%4.2%1.2%10.5M-65.6M-402.8K0.1917.38N/AN/A1,23923263,20129,924
2012-12-07$43.04$42.0015.3%5.0%12.3%0.0%18.5%3.7%2.3%11.3M-71.1M-384.8K0.5934.68N/AN/A1116663,35530,081
2012-12-10$43.33$42.0017.3%5.2%12.3%7.0%18.1%3.3%1.7%12.3M-80.8M-376.0K4.1228.40N/AN/A1,5746,48463,37730,109
2012-12-11$43.55$42.0011.7%4.9%12.4%0.0%19.2%4.4%2.2%12.8M-85.7M-411.9K0.9429.45N/AN/A1,7701,66463,73835,147
2012-12-12$43.72$42.0011.4%4.8%11.6%0.0%18.4%3.0%1.3%14.3M-93.8M-415.7K1.9028.51N/AN/A25848963,72833,591
2012-12-13$43.51$42.0016.9%4.8%9.9%19.9%17.2%3.3%1.4%12.2M-74.2M-401.6K0.4823.52N/AN/A32715663,33533,786
2012-12-14$43.73$42.0017.5%5.0%10.0%24.2%16.0%2.9%0.5%14.1M-91.0M-408.3K7.2128.86N/AN/A2021,45763,49133,685
2012-12-17$43.84$42.0016.8%4.8%9.9%23.3%17.2%3.7%1.0%14.7M-89.5M-396.0K3.0920.41N/AN/A5121,58463,35234,941
2012-12-18$44.11$42.0016.8%4.8%8.6%26.8%18.4%3.3%1.2%19.1M-103.1M-379.8K0.7227.05N/AN/A5,1323,71963,35935,609
2012-12-19$44.05$42.0016.1%4.6%8.5%23.1%16.1%1.8%0.9%22.6M-93.1M-346.4K0.0019.90N/AN/A108,60924461,54237,218
2012-12-20$43.90$44.0016.1%4.6%8.7%23.2%16.8%4.6%1.9%23.4M-52.1M-437.5K0.3021.05N/AN/A78223659,13937,373
2012-12-21$43.42$44.0016.9%4.8%8.8%27.1%17.0%3.8%1.0%8.6M-23.9M-418.5K1.4415.66N/AN/A16924459,56736,181
2012-12-24$43.33$44.0016.9%4.8%8.9%27.0%14.8%3.6%1.0%6.5M-33.3M-407.7K0.088.55N/AN/A3742938,95227,044
2012-12-26$43.44$44.0017.9%5.1%8.1%32.0%16.6%3.0%1.0%7.2M-37.7M-404.5K0.639.88N/AN/A30819539,23727,035
2012-12-27$43.75$44.0016.0%4.6%8.2%22.8%16.7%3.9%2.0%7.4M-45.4M-405.8K1.0110.26N/AN/A48849539,39627,093
2012-12-28$43.88$44.0017.4%5.0%8.0%29.4%17.5%4.9%1.5%7.4M-52.1M-413.3K2.2211.20N/AN/A22950839,78027,139
2012-12-31$44.53$44.0016.9%4.8%9.1%27.0%18.0%3.5%1.3%7.9M-70.5M-404.5K2.869.81N/AN/A6381,82239,88427,575