VAW Options History — May 2007

In May 2007, VAW traded between $79.53 and $84.75. ATM implied volatility averaged 29.7%. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 16.2% (HV 20d: 13.5%). Max pain ranged from $66.00 to $77.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.01.

Notable Days

  • 2007-05-23: Highest Volume — 144 contracts
  • 2007-05-07: Largest IV spike — 180.9% change
  • 2007-05-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.59$79.53$84.75$79.53$84.75
Max Pain$67.50$66.00$77.00$77.00$66.00
ATM IV29.7%14.5%45.8%35.4%14.5%
Expected Move7.6%4.2%10.6%10.1%4.2%
HV 20d13.5%12.5%14.7%12.8%12.5%
HV 60d16.8%13.9%17.7%17.4%13.9%
Term Structure-7.0%-14.8%8.7%-14.3%1.8%
VWIV25.1%8.2%34.5%21.9%31.9%
Skew 25d11.2%2.5%28.6%7.1%3.5%
Skew 10d19.7%-1.6%41.5%16.1%-1.6%
Call IV 25d27.1%8.2%42.5%42.5%14.1%
Put IV 25d38.3%17.6%63.5%49.6%17.6%
Bid-Ask Spread %136.6984.20177.06177.0697.32
Gamma HHI0.230.170.350.180.32
Net GEX177.2K113.9K302.5K168.5K302.5K
Net DEX-3.1M-3.9M-2.2M-2.4M-3.9M
Net VEX-3.8K-5.3K-2.6K-4.5K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.080.000.00
Total Volume15.909014408
Total OI562390622544622

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$79.53$77.0035.4%10.1%12.8%0.0%0.0%7.1%-14.3%168.5K-2.4M-4.5K0.00177.06N/AN/A0052321
2007-05-02$80.60$77.0035.9%10.3%13.0%0.0%0.0%10.3%-14.8%166.9K-2.7M-4.4K0.00171.60N/AN/A16052321
2007-05-03$81.30$77.0036.9%10.6%13.3%0.0%0.0%12.9%-14.6%168.0K-2.9M-4.4K0.00167.11N/AN/A0153921
2007-05-04$81.70$66.0014.9%4.5%13.3%0.0%0.0%2.6%2.2%212.8K-3.4M-3.4K0.0084.20N/AN/A0053921
2007-05-07$82.52$66.0041.9%6.6%13.3%0.0%21.9%12.4%-3.5%157.1K-3.2M-3.8K0.08134.04N/AN/A12153921
2007-05-08$82.55$66.0043.8%6.6%13.1%0.0%0.0%10.1%-5.8%161.7K-3.3M-3.8K0.00137.07N/AN/A12054721
2007-05-09$82.87$66.0045.8%4.6%12.8%0.0%8.2%25.0%8.7%160.1K-3.3M-3.5K0.00135.53N/AN/A20053921
2007-05-10$81.50$66.0024.1%6.9%14.2%0.0%0.0%8.0%-4.8%177.0K-3.1M-4.0K0.00141.53N/AN/A0055921
2007-05-11$82.48$66.0024.2%6.9%14.7%0.0%0.0%10.3%-5.9%168.1K-3.3M-3.7K0.00137.78N/AN/A1055921
2007-05-14$82.16$66.0025.4%7.3%14.4%0.0%0.0%9.8%-6.8%173.1K-3.2M-3.5K0.00139.26N/AN/A0056021
2007-05-15$82.57$66.0016.3%4.7%14.3%0.0%16.2%2.5%2.7%186.2K-3.8M-2.6K0.0088.09N/AN/A30056021
2007-05-16$82.81$66.0025.9%7.4%14.0%0.0%25.6%9.0%-7.1%180.0K-3.5M-3.4K0.00139.63N/AN/A10059021
2007-05-17$82.90$66.0026.4%7.6%13.9%0.0%28.2%9.3%-7.2%183.9K-3.6M-3.4K0.00139.70N/AN/A1060021
2007-05-18$83.40$66.0026.7%7.6%13.5%0.0%0.0%28.6%-5.6%185.1K-3.8M-3.1K0.00137.69N/AN/A6060121
2007-05-21$83.58$66.0028.0%8.0%13.5%0.0%0.0%11.6%-10.2%113.9K-2.3M-2.7K0.00137.27N/AN/A0037713
2007-05-22$83.42$66.0028.7%8.2%13.4%0.0%29.5%11.4%-8.7%115.0K-2.2M-2.7K0.00137.95N/AN/A53037713
2007-05-23$83.47$66.0029.3%8.4%12.5%0.0%30.0%11.6%-9.4%136.9K-2.5M-3.3K0.00137.92N/AN/A144043013
2007-05-24$82.19$66.0030.4%8.7%13.9%0.0%34.5%5.8%-10.3%201.8K-2.7M-5.1K0.07144.55N/AN/A27257413
2007-05-25$83.16$66.0030.7%8.8%14.3%0.0%31.9%8.4%-11.5%210.4K-3.1M-5.3K0.00141.37N/AN/A0660115
2007-05-29$83.21$66.0033.9%9.7%13.1%0.0%0.0%8.9%-14.3%211.9K-3.1M-5.0K0.00142.42N/AN/A0060121
2007-05-30$84.29$66.0034.5%9.9%13.0%0.0%0.0%27.4%-14.8%157.6K-3.2M-5.1K0.00138.12N/AN/A0060121
2007-05-31$84.75$66.0014.5%4.2%12.5%0.0%0.0%3.5%1.8%302.5K-3.9M-3.9K0.0097.32N/AN/A8060121