VAW Options History — April 2007

In April 2007, VAW traded between $78.14 and $81.68. ATM implied volatility averaged 29.8%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 16.9% (HV 20d: 12.9%). Max pain ranged from $73.00 to $77.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.09.

Notable Days

  • 2007-04-17: Highest Volume — 112 contracts
  • 2007-04-27: Largest IV spike — 91.3% change
  • 2007-04-05: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.09$78.14$81.68$78.14$80.20
Max Pain$75.90$73.00$77.00$73.00$77.00
ATM IV29.8%16.4%45.2%35.2%34.3%
Expected Move8.0%4.7%10.9%10.1%9.8%
HV 20d12.9%10.3%17.3%17.3%12.4%
HV 60d17.2%16.9%17.3%17.3%17.3%
Term Structure-5.6%-15.3%2.2%-13.0%-12.6%
VWIV23.8%17.2%28.5%25.5%28.5%
Skew 25d8.2%1.4%15.0%3.3%8.8%
Skew 10d15.3%-2.4%25.9%7.8%19.6%
Call IV 25d30.0%16.4%46.7%45.8%39.1%
Put IV 25d38.2%17.8%52.4%49.1%47.9%
Bid-Ask Spread %153.3347.90180.72180.72174.04
Gamma HHI0.240.170.270.240.17
Net GEX161.8K117.9K285.5K149.9K150.7K
Net DEX-2.7M-3.3M-2.1M-2.3M-2.6M
Net VEX-3.6K-4.6K-2.7K-4.3K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.001.000.000.17
Total Volume18.450112217
Total OI501.9402552482537

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$78.14$73.0035.2%10.1%17.3%0.0%0.0%3.3%-13.0%149.9K-2.3M-4.3K0.00180.72N/AN/A21046814
2007-04-03$79.05$73.0035.7%10.2%16.4%0.0%0.0%5.7%-13.7%160.9K-2.5M-4.3K0.00179.37N/AN/A0048914
2007-04-04$79.09$73.0036.8%10.5%16.2%0.0%0.0%5.5%-14.4%157.9K-2.6M-4.2K0.00178.93N/AN/A0048914
2007-04-05$79.08$73.0037.9%10.9%15.8%0.0%0.0%5.7%-15.3%157.8K-2.6M-4.2K0.00179.64N/AN/A0048914
2007-04-09$79.89$75.0043.3%6.8%16.1%0.0%0.0%10.7%-5.2%151.6K-2.7M-3.7K0.00163.52N/AN/A0048914
2007-04-10$79.57$75.0045.2%6.9%16.1%0.0%25.5%7.8%-6.2%155.8K-2.7M-3.7K0.00170.21N/AN/A16048914
2007-04-11$79.04$75.0017.7%5.0%13.1%0.0%17.2%2.8%0.2%285.5K-2.8M-3.6K1.0047.90N/AN/A6650514
2007-04-12$79.72$77.0024.6%7.1%13.2%0.0%0.0%8.2%1.8%163.5K-2.8M-3.6K0.00170.07N/AN/A0051120
2007-04-13$80.01$77.0024.9%7.2%12.3%0.0%24.0%8.9%2.2%163.1K-2.9M-3.5K0.00168.30N/AN/A7051120
2007-04-16$80.90$77.0025.8%7.4%11.8%0.0%0.0%11.4%1.7%156.3K-3.1M-3.1K0.00161.30N/AN/A5051820
2007-04-17$80.56$77.0026.2%7.5%10.7%0.0%0.0%10.7%-7.7%159.6K-3.0M-3.2K0.00164.68N/AN/A112051320
2007-04-18$80.01$77.0026.9%7.7%11.1%0.0%28.5%9.4%-7.3%162.8K-2.9M-3.8K0.00168.30N/AN/A24051820
2007-04-19$79.84$77.0017.4%5.0%10.3%0.0%0.0%2.8%0.5%192.7K-3.3M-3.4K0.0061.55N/AN/A0053220
2007-04-20$80.78$77.0027.5%7.9%10.9%0.0%0.0%11.6%-8.4%158.6K-3.1M-3.6K0.00163.44N/AN/A5053220
2007-04-23$80.77$77.0029.0%8.3%10.9%0.0%0.0%12.1%-3.1%126.4K-2.2M-2.9K0.00163.44N/AN/A0038220
2007-04-24$80.43$77.0029.8%8.5%10.9%0.0%0.0%11.3%-3.2%117.9K-2.1M-2.9K0.00167.16N/AN/A5038220
2007-04-25$81.61$77.0030.0%8.6%11.3%0.0%0.0%15.0%-1.5%123.2K-2.4M-2.7K0.00158.40N/AN/A100038720
2007-04-26$81.68$77.0016.4%4.7%10.5%0.0%0.0%1.4%-0.2%189.3K-3.0M-3.6K0.0080.83N/AN/A15048220
2007-04-27$81.40$77.0031.4%9.0%10.8%0.0%0.0%11.7%-6.6%152.6K-2.6M-3.7K0.00164.74N/AN/A40047720
2007-04-30$80.20$77.0034.3%9.8%12.4%0.0%0.0%8.8%-12.6%150.7K-2.6M-4.6K0.17174.04N/AN/A6151720