VAW Options History — March 2007

In March 2007, VAW traded between $73.39 and $78.89. ATM implied volatility averaged 38.5%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 15.5% (HV 20d: 22.9%). Max pain ranged from $65.00 to $77.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.01.

Notable Days

  • 2007-03-21: Highest Volume — 71 contracts
  • 2007-03-14: Largest IV drop — 75.1% change
  • 2007-03-02: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.49$73.39$78.89$75.70$77.76
Max Pain$72.73$65.00$77.00$65.00$73.00
ATM IV38.5%19.9%79.9%39.5%32.8%
Expected Move8.0%5.5%11.9%11.3%9.4%
HV 20d22.9%18.4%25.5%20.0%18.4%
HV 60d17.8%17.2%18.3%17.4%17.4%
Term Structure-7.3%-18.4%2.1%-18.4%-11.7%
VWIV29.1%22.8%44.7%34.8%22.8%
Skew 25d0.1%-10.3%4.7%1.4%2.2%
Skew 10d1.9%-14.9%11.7%11.7%5.4%
Call IV 25d37.5%16.7%57.0%54.2%43.6%
Put IV 25d37.6%20.6%58.2%55.6%45.8%
Bid-Ask Spread %167.2757.93180.98150.38180.98
Gamma HHI0.200.150.250.190.24
Net GEX117.6K86.8K151.4K103.6K147.8K
Net DEX-2.0M-2.4M-1.3M-2.0M-2.1M
Net VEX-3.3K-4.4K-2.5K-3.1K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.070.000.00
Total Volume13.727071210
Total OI438.864296502439472

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$75.70$65.0039.5%11.3%20.0%0.0%34.8%1.4%-18.4%103.6K-2.0M-3.1K0.00150.38N/AN/A2039742
2007-03-02$74.45$65.0041.6%11.9%20.7%0.0%44.7%1.2%-16.3%103.6K-1.8M-3.2K0.00151.36N/AN/A0139742
2007-03-05$73.39$77.0047.2%6.8%21.3%0.0%24.1%-10.3%-3.9%103.8K-1.6M-3.2K0.07156.31N/AN/A15139743
2007-03-06$74.94$74.0048.2%6.8%22.6%0.0%0.0%-3.7%-2.7%108.1K-1.9M-3.2K0.00167.56N/AN/A0041244
2007-03-07$74.73$74.0050.6%6.8%22.5%0.0%0.0%-4.3%-3.0%108.8K-1.9M-3.1K0.00167.22N/AN/A0041243
2007-03-08$75.69$74.0052.6%6.8%23.0%0.0%0.0%-2.0%-4.6%107.5K-2.1M-3.0K0.00172.18N/AN/A0041243
2007-03-09$76.05$74.0055.7%6.9%23.0%0.0%0.0%-1.0%-5.5%107.1K-2.1M-2.8K0.00174.08N/AN/A1041243
2007-03-12$76.61$74.0069.7%7.1%23.1%0.0%0.0%0.3%-7.8%105.5K-2.2M-2.6K0.00175.62N/AN/A10041343
2007-03-13$74.71$74.0079.9%7.3%24.9%0.0%24.6%-4.6%-7.7%114.3K-1.9M-2.9K0.00170.37N/AN/A15042343
2007-03-14$75.22$73.0019.9%5.5%23.8%0.0%0.0%3.9%-0.2%107.2K-2.3M-2.5K0.0057.93N/AN/A0043843
2007-03-15$76.38$73.0025.8%7.4%24.4%0.0%26.3%-0.4%-6.5%112.1K-2.3M-2.7K0.00175.16N/AN/A36043343
2007-03-16$75.61$73.0026.3%7.5%24.5%0.0%26.4%-2.4%-7.2%124.3K-2.2M-2.9K0.00174.09N/AN/A35045943
2007-03-19$76.99$73.0027.1%7.8%25.4%0.0%0.0%0.8%-7.1%86.8K-1.3M-2.7K0.00175.64N/AN/A0028412
2007-03-20$77.29$73.0027.4%7.9%25.4%0.0%0.0%0.8%-6.3%91.7K-1.3M-2.6K0.00177.97N/AN/A33028412
2007-03-21$78.33$73.0027.5%7.9%25.5%0.0%22.8%3.4%-7.3%97.4K-1.6M-3.0K0.03177.82N/AN/A69231712
2007-03-22$78.18$73.0028.0%8.0%25.5%0.0%0.0%3.0%-8.1%120.3K-1.9M-3.8K0.00178.54N/AN/A61038614
2007-03-23$78.37$73.0028.4%8.1%25.5%0.0%0.0%3.1%-8.2%151.4K-2.2M-4.4K0.00178.52N/AN/A5044714
2007-03-26$78.89$73.0029.8%8.5%25.5%0.0%0.0%4.7%-9.5%141.2K-2.4M-4.3K0.00177.92N/AN/A5045214
2007-03-27$78.20$73.0030.6%8.8%19.6%0.0%0.0%3.2%-9.8%146.6K-2.2M-4.4K0.00179.44N/AN/A1045714
2007-03-28$77.50$73.0025.5%7.3%19.8%0.0%0.0%1.3%2.1%150.9K-2.1M-4.4K0.00180.28N/AN/A0045814
2007-03-29$77.71$73.0032.1%9.2%19.6%0.0%0.0%2.1%-11.2%147.7K-2.1M-4.4K0.00180.55N/AN/A0045814
2007-03-30$77.76$73.0032.8%9.4%18.4%0.0%0.0%2.2%-11.7%147.8K-2.1M-4.3K0.00180.98N/AN/A10045814