New options for the Vanguard FTSE Emerging Markets Exchange Traded Fund (VWO) began trading today, with contracts expiring on July 17. The $57.00 put contract currently has a bid of 35 cents and offers a potential cost basis for shares at $56.65, indicating a 2% discount from the current trading price of $57.88. Investors face a 58% chance that this put contract will expire worthless, potentially yielding a 0.61% return on cash commitment, or 2.38% annualized.
On the call side, the $59.00 strike call contract has a current bid of 40 cents, providing a potential 2.63% total return if shares are called away at expiration. There’s a 54% chance the call contract will expire worthless, allowing the investor to keep both the shares and the premium, which could yield a 0.69% boost or 2.68% annualized. Both put and call contracts have an implied volatility of approximately 23%.
