VAW Options History — January 2007

In January 2007, VAW traded between $69.31 and $74.38. ATM implied volatility averaged 16.1%. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.3% (HV 20d: 12.8%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.16.

Notable Days

  • 2007-01-18: Highest Volume — 332 contracts
  • 2007-01-25: Largest IV spike — 8.5% change
  • 2007-01-08: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.67$69.31$74.38$70.36$74.38
Max Pain$70.10$70.00$71.00$70.00$70.00
ATM IV16.1%14.6%17.2%17.2%15.0%
Expected Move4.7%4.2%5.4%4.9%4.3%
HV 20d12.8%12.3%13.4%13.4%12.5%
Term Structure0.9%-1.0%2.5%1.2%0.9%
VWIV16.6%14.6%18.2%18.2%17.7%
Skew 25d2.0%1.4%2.8%2.8%1.9%
Skew 10d2.9%0.7%6.5%6.4%2.9%
Call IV 25d15.5%14.1%17.2%15.6%14.1%
Put IV 25d17.6%15.9%18.8%18.4%16.0%
Bid-Ask Spread %34.7422.7051.5351.5346.12
Gamma HHI0.300.260.500.300.26
Net GEX209.2K130.6K330.9K192.6K130.6K
Net DEX-1.7M-2.5M-809.5K-1.2M-2.5M
Net VEX-3.3K-4.2K-2.6K-3.4K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.001.670.000.00
Total Volume25.3033204
Total OI461.45432530432470

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$70.36$70.0017.2%4.9%0.0%0.0%0.0%2.8%1.2%192.6K-1.2M-3.4K0.0051.53N/AN/A0036963
2007-01-04$70.00$70.0016.1%4.6%0.0%0.0%0.0%1.8%2.5%191.5K-1.0M-3.3K0.0050.28N/AN/A6036963
2007-01-05$69.38$71.0017.1%5.3%0.0%0.0%0.0%1.4%-1.0%182.9K-834.8K-3.2K0.0030.02N/AN/A5037563
2007-01-08$69.48$71.0017.0%5.4%0.0%0.0%18.2%1.6%1.0%191.9K-809.5K-2.9K0.0030.51N/AN/A10037063
2007-01-09$69.31$70.0016.2%5.3%0.0%0.0%0.0%1.5%2.1%209.4K-834.1K-2.9K0.0031.12N/AN/A0038063
2007-01-10$69.75$70.0015.8%5.2%0.0%0.0%0.0%1.6%0.4%227.5K-926.2K-2.9K0.2631.11N/AN/A391038063
2007-01-11$70.65$70.0016.9%4.8%0.0%0.0%0.0%1.8%0.9%279.2K-1.4M-3.5K0.0025.47N/AN/A0040973
2007-01-12$71.59$70.0016.3%4.7%0.0%0.0%16.9%2.3%0.9%274.7K-1.8M-3.3K0.0022.70N/AN/A2040973
2007-01-16$71.62$70.0017.0%4.9%0.0%0.0%0.0%2.3%0.4%293.6K-1.9M-2.9K0.0023.27N/AN/A0041173
2007-01-17$71.82$70.0017.0%4.9%0.0%0.0%0.0%2.5%0.6%308.1K-2.1M-2.7K0.0024.73N/AN/A0041173
2007-01-18$71.48$70.0017.1%4.9%0.0%0.0%0.0%2.4%0.5%330.9K-2.0M-2.6K0.0025.37N/AN/A332041173
2007-01-19$72.40$70.0016.2%4.6%0.0%0.0%16.1%2.1%1.0%245.9K-2.3M-4.0K0.0025.50N/AN/A64045773
2007-01-22$71.74$70.0016.1%4.6%0.0%0.0%0.0%2.1%0.9%177.6K-1.8M-4.2K0.0028.48N/AN/A0040041
2007-01-23$72.64$70.0014.9%4.3%0.0%0.0%0.0%2.0%1.0%167.7K-2.0M-3.8K0.0033.10N/AN/A6040041
2007-01-24$73.56$70.0014.6%4.2%0.0%0.0%14.6%1.6%1.3%152.0K-2.3M-3.5K1.6746.76N/AN/A61040641
2007-01-25$73.20$70.0015.8%4.5%13.4%0.0%15.9%1.8%0.7%154.1K-2.2M-3.8K0.0035.27N/AN/A2041251
2007-01-26$73.32$70.0015.4%4.4%13.0%0.0%0.0%2.4%0.9%156.8K-2.2M-3.7K0.0041.90N/AN/A0041451
2007-01-29$73.19$70.0015.8%4.5%12.7%0.0%17.7%2.4%1.0%159.9K-2.2M-3.6K0.0043.99N/AN/A10041451
2007-01-30$73.51$70.0015.2%4.4%12.3%0.0%0.0%2.2%0.9%156.4K-2.3M-3.4K0.0047.53N/AN/A0041951
2007-01-31$74.38$70.0015.0%4.3%12.5%0.0%0.0%1.9%0.9%130.6K-2.5M-3.0K0.0046.12N/AN/A4041951