VAW Options History — July 2007

In July 2007, VAW traded between $80.57 and $90.05. ATM implied volatility averaged 18.2%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.3% (HV 20d: 18.5%). Max pain ranged from $84.00 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 0.08.

Notable Days

  • 2007-07-19: Highest Volume — 370 contracts
  • 2007-07-30: Largest IV spike — 32.1% change
  • 2007-07-31: Highest IV Rank — 33.0%
  • 2007-07-31: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.72$80.57$90.05$85.81$82.09
Max Pain$84.00$84.00$84.00$84.00$84.00
ATM IV18.2%13.8%34.4%14.7%34.4%
Expected Move5.4%3.9%9.9%4.2%9.9%
HV 20d18.5%14.7%26.7%18.9%26.0%
HV 60d16.3%14.7%19.8%15.0%19.8%
IV Rank9.7%2.6%33.0%2.6%33.0%
IV Percentile42.5%2.4%82.6%2.4%82.6%
Term Structure1.1%-6.6%4.6%2.7%-6.6%
VWIV16.5%14.4%17.5%16.2%17.4%
Skew 25d3.2%-5.1%9.4%3.5%-5.1%
Skew 10d4.6%-17.8%13.2%6.5%-17.8%
Call IV 25d17.8%13.3%44.0%14.6%44.0%
Put IV 25d21.0%15.5%38.9%18.1%38.9%
Bid-Ask Spread %60.7332.96162.4841.19162.48
Gamma HHI0.540.370.730.480.37
Net GEX336.2K122.9K697.1K479.6K208.2K
Net DEX-3.7M-5.7M-844.8K-3.1M-1.9M
Net VEX-5.1K-7.3K-2.7K-6.0K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.330.000.18
Total Volume37.42903702777
Total OI671.143487784639710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$85.81$84.0014.7%4.2%18.9%0.0%16.2%3.5%2.7%479.6K-3.1M-6.0K0.0041.19N/AN/A27062910
2007-07-03$85.97$84.0014.7%4.2%18.9%0.0%0.0%3.9%3.1%501.0K-3.3M-6.1K0.0074.23N/AN/A0065510
2007-07-05$86.44$84.0013.8%3.9%18.0%2.6%14.4%1.8%4.6%630.8K-3.6M-5.6K0.0084.13N/AN/A21065510
2007-07-06$87.00$84.0015.6%5.5%15.5%5.3%0.0%0.1%-0.1%492.4K-4.0M-5.7K0.0034.32N/AN/A0067610
2007-07-09$87.18$84.0014.6%5.0%14.7%3.9%17.5%2.7%1.2%564.1K-4.3M-4.7K0.0035.79N/AN/A26067610
2007-07-10$85.77$84.0014.2%5.1%15.8%3.2%17.1%4.6%1.2%697.1K-3.3M-5.7K0.3332.96N/AN/A3169110
2007-07-11$86.58$84.0015.2%4.9%15.3%4.7%0.0%3.8%1.5%559.4K-4.1M-5.3K0.0035.60N/AN/A0068911
2007-07-12$88.82$84.0017.7%5.1%16.4%8.3%0.0%0.8%0.5%289.5K-5.2M-3.8K0.0048.31N/AN/A0068911
2007-07-13$89.99$84.0019.0%5.4%16.7%10.3%0.0%-1.1%0.9%269.0K-5.1M-3.9K0.0050.11N/AN/A0068911
2007-07-16$89.05$84.0017.1%4.9%17.0%7.5%0.0%2.9%1.3%247.0K-5.3M-3.3K0.0048.73N/AN/A0068911
2007-07-17$89.72$84.0016.4%4.7%17.1%6.6%0.0%2.6%1.4%195.4K-5.5M-2.9K0.0055.18N/AN/A0668911
2007-07-18$89.99$84.0017.5%5.0%17.1%8.1%0.0%2.6%1.7%138.4K-5.6M-2.8K0.0055.35N/AN/A1068915
2007-07-19$90.05$84.0017.7%5.1%16.1%8.4%0.0%2.3%1.5%122.9K-5.7M-2.7K0.0055.35N/AN/A370069015
2007-07-20$88.71$84.0018.3%5.2%17.2%9.2%17.4%5.3%1.4%223.8K-5.6M-5.4K0.0945.42N/AN/A11176915
2007-07-23$88.81$84.0017.6%5.1%17.1%8.3%0.0%4.6%1.4%206.8K-2.9M-5.3K0.0052.74N/AN/A0047314
2007-07-24$87.03$84.0018.4%5.3%18.1%9.4%0.0%6.2%1.8%240.2K-2.4M-5.7K0.0055.22N/AN/A129047314
2007-07-25$85.92$84.0019.0%5.5%18.3%10.4%0.0%9.4%1.9%300.3K-2.5M-7.3K0.1860.68N/AN/A28560214
2007-07-26$82.84$84.0020.1%5.8%22.6%12.0%0.0%5.7%0.9%247.8K-1.2M-5.6K0.1683.25N/AN/A61106309
2007-07-27$80.57$84.0019.8%5.7%24.5%11.5%0.0%2.7%0.8%187.0K-844.8K-5.0K0.0094.36N/AN/A9069119
2007-07-30$82.84$84.0026.1%7.5%26.7%20.8%0.0%7.1%-0.6%258.9K-1.7M-6.9K0.0069.90N/AN/A0069119
2007-07-31$82.09$84.0034.4%9.9%26.0%33.0%0.0%-5.1%-6.6%208.2K-1.9M-7.2K0.18162.48N/AN/A651269119