VAW Options History — June 2007

In June 2007, VAW traded between $82.18 and $85.89. ATM implied volatility averaged 16.7%. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.0% (HV 20d: 16.7%). Max pain ranged from $66.00 to $84.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.01.

Notable Days

  • 2007-06-14: Highest Volume — 285 contracts
  • 2007-06-29: Largest IV spike — 89.3% change
  • 2007-06-29: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.40$82.18$85.89$85.62$84.41
Max Pain$81.00$66.00$84.00$66.00$84.00
ATM IV16.7%12.0%30.3%14.8%30.3%
Expected Move5.1%4.2%8.7%4.2%8.7%
HV 20d16.7%12.3%18.9%12.6%17.8%
HV 60d14.3%13.8%14.8%13.9%14.7%
Term Structure1.1%-9.4%4.6%1.6%-9.4%
VWIV17.2%11.2%31.3%14.5%31.3%
Skew 25d4.2%0.3%23.7%1.8%8.5%
Skew 10d4.8%-1.1%26.7%-1.1%10.0%
Call IV 25d16.6%7.3%34.0%14.5%34.0%
Put IV 25d20.8%16.3%42.4%16.3%42.4%
Bid-Ask Spread %60.6331.49185.26101.30185.26
Gamma HHI0.370.250.450.340.45
Net GEX348.2K147.0K594.0K236.8K274.9K
Net DEX-3.0M-4.6M-1.4M-4.3M-2.6M
Net VEX-4.1K-6.4K-2.9K-3.4K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.100.100.00
Total Volume36.6670285221
Total OI589.81302695630639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$85.62$66.0014.8%4.2%12.6%0.0%14.5%1.8%1.6%236.8K-4.3M-3.4K0.10101.30N/AN/A20260921
2007-06-04$85.60$81.0013.7%4.9%12.6%0.0%18.1%0.6%1.1%236.2K-4.6M-2.9K0.0037.56N/AN/A61062923
2007-06-05$85.51$81.0013.9%4.9%12.3%0.0%0.0%0.7%0.9%264.6K-4.6M-3.5K0.0036.50N/AN/A0065823
2007-06-06$84.18$81.0015.8%4.6%13.8%0.0%18.3%1.5%4.4%434.2K-4.0M-3.8K0.0031.49N/AN/A5065823
2007-06-07$82.26$81.0017.9%5.6%16.2%0.0%13.5%4.7%0.1%488.5K-2.7M-4.0K0.0038.51N/AN/A9066323
2007-06-08$83.62$81.0014.8%4.6%16.0%0.0%0.0%1.4%4.0%467.5K-3.8M-4.0K0.0034.00N/AN/A0067223
2007-06-11$83.10$81.0013.8%5.2%15.7%0.0%0.0%1.5%1.6%594.0K-3.5M-3.5K0.0034.45N/AN/A0067223
2007-06-12$82.18$81.0014.8%5.7%16.2%0.0%0.0%5.8%-1.1%553.6K-2.9M-3.4K0.0043.01N/AN/A0067223
2007-06-13$83.76$81.0012.0%4.4%17.4%0.0%0.0%1.1%4.6%473.2K-4.1M-3.1K0.0037.53N/AN/A0067223
2007-06-14$84.46$81.0017.2%4.9%17.6%0.0%18.4%1.4%2.4%358.0K-4.5M-2.9K0.0036.50N/AN/A285067223
2007-06-15$85.42$81.0017.1%4.9%18.0%0.0%0.0%0.6%1.9%234.4K-4.0M-3.3K0.0040.90N/AN/A0058223
2007-06-18$85.45$81.0015.9%4.6%17.9%0.0%17.1%1.1%1.9%175.2K-1.6M-3.0K0.0047.94N/AN/A602984
2007-06-19$85.89$81.0017.6%5.1%18.0%0.0%18.4%0.9%0.1%165.0K-1.7M-3.0K0.0050.60N/AN/A1603044
2007-06-20$84.75$81.0025.3%7.3%18.7%0.0%11.2%23.7%-6.7%147.0K-1.6M-3.4K0.00180.29N/AN/A9203304
2007-06-21$85.47$81.0016.4%4.7%18.9%0.0%0.0%0.3%2.4%260.2K-2.1M-4.0K0.0852.18N/AN/A6254124
2007-06-22$85.31$81.0015.4%4.4%17.9%0.0%14.2%3.5%1.6%294.4K-2.1M-4.8K0.0153.71N/AN/A19314449
2007-06-25$84.20$84.0016.3%4.7%18.3%0.0%14.3%4.4%3.0%404.0K-2.3M-6.4K0.0052.41N/AN/A2061710
2007-06-26$83.27$84.0016.8%4.8%18.7%0.0%0.0%6.6%3.2%375.8K-1.4M-5.4K0.0059.08N/AN/A0061910
2007-06-27$83.74$84.0016.0%4.6%18.2%0.0%0.0%11.9%2.8%418.2K-2.0M-6.0K0.0059.71N/AN/A10061910
2007-06-28$84.13$84.0016.0%4.6%18.2%0.0%0.0%6.3%3.1%456.3K-2.0M-6.0K0.0060.26N/AN/A0062910
2007-06-29$84.41$84.0030.3%8.7%17.8%0.0%31.3%8.5%-9.4%274.9K-2.6M-6.4K0.00185.26N/AN/A1062910