VAW Options History — February 2007

Name: VAW Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, VAW traded between $74.54 and $79.14. ATM implied volatility averaged 19.8%. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.6% (HV 20d: 12.2%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.05.

Notable Days

2007-02-22: Highest Volume — 70 contracts
2007-02-05: Largest IV spike — 234.8% change
2007-02-27: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.42	$74.54	$79.14	$75.00	$76.28
Max Pain	$65.26	$65.00	$70.00	$70.00	$65.00
ATM IV	19.8%	13.5%	46.2%	14.3%	16.2%
Expected Move	5.4%	4.1%	10.7%	4.1%	4.6%
HV 20d	12.2%	10.0%	20.1%	12.3%	20.1%
Term Structure	-1.9%	-16.5%	2.0%	1.4%	-0.2%
VWIV	18.1%	13.0%	25.7%	13.0%	15.7%
Skew 25d	3.4%	0.4%	15.1%	1.4%	3.8%
Skew 10d	6.8%	-3.2%	27.8%	0.9%	0.8%
Call IV 25d	19.2%	12.5%	51.3%	14.4%	12.5%
Put IV 25d	22.6%	15.7%	52.6%	15.7%	16.3%
Bid-Ask Spread %	76.68	35.13	149.72	48.01	99.30
Gamma HHI	0.26	0.20	0.43	0.25	0.22
Net GEX	68.6K	20.0K	106.0K	103.7K	101.6K
Net DEX	-2.6M	-3.1M	-1.8M	-2.6M	-2.3M
Net VEX	-2.0K	-3.3K	-792	-2.7K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.50	0.00	0.00
Total Volume	9.158	0	70	3	1
Total OI	445.368	300	484	470	440

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-02-01	$75.00	$70.00	14.3%	4.1%	12.3%	0.0%	13.0%	1.4%	1.4%	103.7K	-2.6M	-2.7K	0.00	48.01	N/A	N/A	3	0	419	51
2007-02-02	$74.91	$65.00	13.8%	4.5%	12.0%	0.0%	0.0%	1.8%	1.5%	106.0K	-2.6M	-2.7K	0.00	52.93	N/A	N/A	0	10	419	51
2007-02-05	$74.54	$65.00	46.2%	7.3%	11.5%	0.0%	25.7%	10.6%	-8.4%	100.2K	-2.2M	-3.3K	0.50	144.29	N/A	N/A	2	1	419	61
2007-02-06	$75.00	$65.00	13.8%	4.5%	11.5%	0.0%	0.0%	1.5%	1.5%	84.1K	-2.7M	-2.2K	0.00	47.92	N/A	N/A	0	0	419	61
2007-02-07	$75.07	$65.00	13.5%	4.5%	11.4%	0.0%	0.0%	1.0%	1.4%	79.6K	-2.7M	-2.2K	0.00	50.60	N/A	N/A	0	0	419	61
2007-02-08	$75.00	$65.00	15.6%	4.5%	11.5%	0.0%	15.7%	2.5%	1.2%	75.4K	-2.8M	-2.1K	0.00	41.15	N/A	N/A	3	0	419	61
2007-02-09	$74.79	$65.00	15.9%	4.6%	11.1%	0.0%	0.0%	2.3%	1.4%	82.9K	-2.7M	-2.2K	0.00	44.59	N/A	N/A	0	1	422	61
2007-02-12	$74.84	$65.00	16.0%	4.6%	10.4%	0.0%	0.0%	2.3%	1.1%	67.3K	-2.8M	-2.0K	0.00	41.11	N/A	N/A	0	0	422	62
2007-02-13	$76.45	$65.00	15.8%	4.5%	12.4%	0.0%	0.0%	2.0%	1.2%	40.7K	-3.0M	-1.4K	0.00	42.07	N/A	N/A	2	0	422	62
2007-02-14	$76.80	$65.00	15.3%	4.4%	12.4%	0.0%	0.0%	1.7%	2.0%	37.5K	-3.1M	-1.3K	0.00	43.80	N/A	N/A	0	0	422	62
2007-02-15	$77.27	$65.00	15.3%	4.4%	12.1%	0.0%	0.0%	1.5%	1.8%	33.6K	-3.1M	-1.2K	0.00	35.13	N/A	N/A	0	0	422	62
2007-02-16	$77.45	$65.00	15.0%	4.3%	11.6%	0.0%	0.0%	1.2%	1.9%	29.7K	-3.1M	-1.1K	0.00	45.49	N/A	N/A	1	0	422	62
2007-02-20	$77.95	$65.00	30.7%	8.8%	10.7%	0.0%	0.0%	13.2%	-11.4%	41.6K	-1.8M	-1.5K	0.00	139.03	N/A	N/A	5	0	258	42
2007-02-21	$78.82	$65.00	15.6%	4.5%	10.5%	0.0%	0.0%	0.4%	-0.0%	20.0K	-2.0M	-792	0.00	99.69	N/A	N/A	63	0	263	42
2007-02-22	$78.45	$65.00	15.4%	4.4%	10.5%	0.0%	0.0%	0.8%	-0.9%	47.9K	-2.3M	-1.5K	0.00	96.97	N/A	N/A	70	0	326	42
2007-02-23	$78.60	$65.00	15.4%	4.4%	10.0%	0.0%	0.0%	0.6%	-0.1%	78.0K	-2.5M	-2.2K	0.00	97.64	N/A	N/A	1	0	386	42
2007-02-26	$79.14	$65.00	34.7%	10.0%	10.1%	0.0%	0.0%	15.1%	-14.4%	76.7K	-2.5M	-2.7K	0.00	137.38	N/A	N/A	0	0	387	42
2007-02-27	$75.67	$65.00	37.2%	10.7%	20.0%	0.0%	0.0%	1.4%	-16.5%	97.6K	-1.9M	-3.2K	0.00	149.72	N/A	N/A	11	0	387	42
2007-02-28	$76.28	$65.00	16.2%	4.6%	20.1%	0.0%	0.0%	3.8%	-0.2%	101.6K	-2.3M	-2.5K	0.00	99.30	N/A	N/A	1	0	398	42