VAW Options History — August 2007

In August 2007, VAW traded between $75.69 and $82.94. ATM implied volatility averaged 30.0%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.6% (HV 20d: 29.4%). Max pain ranged from $80.00 to $84.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.02.

Notable Days

  • 2007-08-22: Highest Volume — 130 contracts
  • 2007-08-06: Largest IV spike — 52.7% change
  • 2007-08-06: Highest IV Rank — 45.3%
  • 2007-08-01: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.14$75.69$82.94$82.50$82.14
Max Pain$80.52$80.00$84.00$84.00$80.00
ATM IV30.0%23.6%42.8%35.2%31.2%
Expected Move8.3%6.8%10.1%10.1%8.9%
HV 20d29.4%25.9%33.7%26.1%30.4%
HV 60d22.8%19.7%25.6%19.7%25.2%
IV Rank26.5%17.1%45.3%34.2%28.2%
IV Percentile70.8%49.1%91.9%84.8%78.4%
Term Structure-1.8%-7.2%1.0%-7.2%0.4%
VWIV25.8%17.0%29.9%27.0%20.4%
Skew 25d7.6%1.2%21.7%2.9%1.6%
Skew 10d14.3%-15.9%24.7%-15.9%14.2%
Call IV 25d26.7%16.5%48.5%38.4%48.5%
Put IV 25d34.3%25.5%50.1%41.3%50.1%
Bid-Ask Spread %82.3346.72164.65164.65144.53
Gamma HHI0.360.260.430.400.37
Net GEX173.5K66.6K301.3K235.5K167.0K
Net DEX-1.1M-2.0M-262.6K-2.0M-2.0M
Net VEX-5.2K-8.0K-2.7K-8.0K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.150.000.00
Total Volume9.652013000
Total OI741.087575813786717

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$82.50$84.0035.2%10.1%26.1%34.2%0.0%2.9%-7.2%235.5K-2.0M-8.0K0.00164.65N/AN/A0075531
2007-08-02$82.49$84.0026.6%7.6%25.9%21.5%0.0%10.7%0.1%270.8K-1.8M-7.5K0.0075.43N/AN/A0275531
2007-08-03$80.22$84.0028.0%8.0%27.2%23.6%0.0%3.1%-1.6%194.8K-1.0M-5.5K0.0084.50N/AN/A1075529
2007-08-06$80.55$80.0042.8%7.6%27.3%45.3%0.0%1.2%-3.7%182.4K-1.5M-6.5K0.00136.23N/AN/A0075429
2007-08-07$80.86$80.0027.4%8.0%27.0%22.6%0.0%10.3%-1.8%214.9K-1.2M-5.8K0.0046.72N/AN/A0075429
2007-08-08$82.94$80.0041.1%7.5%28.6%42.9%27.0%10.1%-2.2%301.3K-1.7M-6.7K0.0078.61N/AN/A5075428
2007-08-09$80.30$80.0027.9%8.2%28.5%23.4%28.4%7.3%-1.5%167.7K-933.8K-5.1K0.1548.89N/AN/A20375928
2007-08-10$80.24$80.0027.2%7.9%27.7%22.4%27.8%6.1%-0.5%172.6K-882.0K-5.1K0.0051.35N/AN/A0177931
2007-08-13$80.66$80.0028.2%8.1%28.0%23.8%0.0%8.2%-0.7%174.1K-940.9K-5.0K0.0050.17N/AN/A0077931
2007-08-14$78.64$80.0026.0%8.9%28.4%20.6%29.7%8.3%-3.7%122.0K-731.6K-4.4K0.0048.74N/AN/A0177931
2007-08-15$76.11$80.0030.6%9.0%29.6%27.4%0.0%8.0%-3.7%71.3K-281.0K-2.8K0.0055.31N/AN/A3077931
2007-08-16$75.69$80.0031.0%8.9%29.5%27.9%0.0%7.5%-2.7%66.6K-262.6K-2.7K0.0054.65N/AN/A0078231
2007-08-17$77.18$80.0033.7%9.7%31.0%31.9%17.0%8.5%-3.9%92.5K-501.2K-3.6K0.0049.36N/AN/A23078231
2007-08-20$78.29$80.0034.4%9.9%31.8%33.0%29.9%7.5%-4.2%103.8K-575.6K-3.7K0.0046.76N/AN/A2054431
2007-08-21$78.65$80.0029.4%8.4%31.6%25.6%0.0%7.8%0.5%112.7K-567.5K-3.5K0.0049.59N/AN/A0054631
2007-08-22$80.99$80.0027.3%7.8%33.7%22.6%25.9%7.4%1.0%170.0K-986.1K-4.3K0.0257.37N/AN/A127354631
2007-08-23$80.51$80.0027.1%7.8%31.3%22.2%25.7%15.3%-2.8%182.0K-1.2M-5.8K0.00148.00N/AN/A1067334
2007-08-24$82.03$80.0023.7%6.8%30.4%17.3%0.0%5.8%0.4%241.4K-1.4M-5.8K0.0069.15N/AN/A0067334
2007-08-27$81.32$80.0023.6%6.8%28.9%17.1%0.0%5.4%0.9%223.7K-1.2M-5.2K0.0073.03N/AN/A0067334
2007-08-28$79.07$80.0030.3%8.7%30.3%27.0%0.0%21.7%-2.7%150.9K-868.0K-4.6K0.00146.99N/AN/A0067334
2007-08-29$80.92$80.0027.0%7.7%31.5%22.1%20.4%8.1%0.6%201.2K-1.1M-4.8K0.0067.12N/AN/A20067334
2007-08-30$80.88$80.0030.9%8.9%31.5%27.9%0.0%1.9%-2.9%170.9K-1.5M-5.8K0.00146.33N/AN/A10067334
2007-08-31$82.14$80.0031.2%8.9%30.4%28.2%0.0%1.6%0.4%167.0K-2.0M-6.4K0.00144.53N/AN/A0068334