VAW Options History — September 2007 In September 2007, VAW traded between $80.03 and $88.53. ATM implied volatility averaged 25.6%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.0% (HV 20d: 25.6%). Max pain ranged from $80.00 to $82.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-09-20 : Highest Volume — 413 contracts2007-09-28 : Largest IV spike — 56.9% change2007-09-07 : Highest IV Rank — 38.5%2007-09-28 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $84.19 $80.03 $88.53 $82.91 $87.94 Max Pain $81.68 $80.00 $82.00 $80.00 $82.00 ATM IV 25.6% 18.4% 38.2% 25.5% 29.0% Expected Move 7.2% 5.3% 8.3% 7.3% 8.3% HV 20d 25.6% 19.9% 30.8% 30.5% 20.2% HV 60d 25.7% 25.1% 26.3% 25.1% 26.2% IV Rank 20.0% 9.5% 38.5% 19.9% 25.1% IV Percentile 57.3% 40.8% 90.1% 52.4% 72.0% Term Structure -0.2% -7.3% 4.0% 1.2% -7.3% VWIV 24.6% 19.8% 28.3% 24.6% 19.8% Skew 25d 6.9% 0.3% 12.7% 7.3% 7.4% Skew 10d 11.1% -4.2% 22.5% 16.7% 18.5% Call IV 25d 22.8% 18.6% 33.8% 21.4% 33.8% Put IV 25d 29.7% 19.1% 41.3% 28.7% 41.3% Bid-Ask Spread % 74.76 25.43 151.25 77.04 151.25 Gamma HHI 0.42 0.29 0.70 0.40 0.54 Net GEX 278.0K 163.4K 751.3K 276.0K 178.9K Net DEX -2.1M -3.6M -745.9K -1.6M -2.7M Net VEX -4.8K -6.4K -3.4K -5.2K -6.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 33.316 0 413 39 0 Total OI 688.368 488 781 717 506
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-09-04 $82.91 $80.00 25.5% 7.3% 30.5% 19.9% 24.6% 7.3% 1.2% 276.0K -1.6M -5.2K 0.00 77.04 N/A N/A 39 0 683 34 2007-09-05 $82.05 $80.00 26.4% 7.6% 30.8% 21.3% 0.0% 7.9% 1.6% 260.7K -1.4M -5.1K 0.00 76.99 N/A N/A 0 0 722 34 2007-09-06 $82.80 $80.00 25.2% 7.2% 29.5% 19.4% 21.1% 7.6% 1.8% 293.1K -1.6M -5.3K 0.00 79.87 N/A N/A 34 0 722 34 2007-09-07 $81.05 $82.00 38.2% 8.1% 28.2% 38.5% 0.0% 3.1% -0.1% 211.6K -1.5M -5.2K 0.00 148.36 N/A N/A 3 0 722 34 2007-09-10 $80.03 $82.00 28.8% 8.3% 28.6% 24.7% 25.3% 9.4% -1.5% 169.9K -745.9K -3.5K 0.00 27.86 N/A N/A 2 0 725 34 2007-09-11 $81.14 $82.00 26.9% 8.2% 28.9% 22.0% 0.0% 11.2% -1.0% 215.0K -998.2K -3.9K 0.00 27.22 N/A N/A 0 0 727 34 2007-09-12 $80.89 $82.00 27.2% 8.3% 27.4% 22.4% 25.6% 11.1% -0.8% 198.8K -878.5K -3.6K 0.00 25.43 N/A N/A 24 0 727 34 2007-09-13 $81.87 $82.00 27.8% 8.0% 24.4% 23.3% 0.0% 10.7% -0.5% 243.2K -1.1M -3.9K 0.00 28.08 N/A N/A 2 0 727 34 2007-09-14 $82.37 $82.00 28.8% 8.3% 24.2% 24.8% 0.0% 11.1% -1.7% 282.6K -1.4M -4.2K 0.00 27.45 N/A N/A 0 0 725 34 2007-09-17 $82.24 $82.00 28.2% 8.1% 23.6% 23.9% 28.3% 10.5% -0.8% 249.9K -1.1M -3.4K 0.00 27.75 N/A N/A 50 0 725 34 2007-09-18 $85.30 $82.00 26.2% 7.5% 26.1% 20.8% 27.9% 5.1% -0.9% 548.3K -2.8M -4.3K 0.00 45.30 N/A N/A 12 0 725 34 2007-09-19 $86.57 $82.00 24.9% 7.1% 26.4% 18.9% 0.0% 12.7% -2.0% 298.8K -3.5M -4.5K 0.00 143.05 N/A N/A 10 0 725 34 2007-09-20 $86.44 $82.00 19.8% 5.7% 24.8% 11.4% 0.0% 2.1% 3.7% 751.3K -3.5M -3.6K 0.00 69.02 N/A N/A 413 0 725 34 2007-09-21 $86.99 $82.00 20.5% 5.9% 24.6% 12.5% 0.0% 2.2% 2.7% 340.1K -3.6M -6.4K 0.00 71.16 N/A N/A 0 0 747 34 2007-09-24 $86.54 $82.00 27.0% 7.8% 24.1% 22.2% 0.0% 8.8% -6.8% 163.4K -2.3M -6.3K 0.00 149.04 N/A N/A 0 0 470 18 2007-09-25 $86.63 $82.00 18.7% 5.4% 23.8% 9.9% 0.0% 1.6% 3.8% 207.8K -2.4M -6.1K 0.00 74.60 N/A N/A 28 0 470 18 2007-09-26 $87.41 $82.00 18.4% 5.3% 20.8% 9.5% 19.8% 1.1% 4.0% 204.7K -2.7M -5.9K 0.00 82.22 N/A N/A 11 0 475 18 2007-09-27 $88.53 $82.00 18.5% 5.3% 19.9% 9.6% 0.0% 0.3% 0.9% 187.8K -3.1M -5.5K 0.00 88.76 N/A N/A 5 0 483 18 2007-09-28 $87.94 $82.00 29.0% 8.3% 20.2% 25.1% 0.0% 7.4% -7.3% 178.9K -2.7M -6.1K 0.00 151.25 N/A N/A 0 0 488 18
« Aug 2007 | All History | Oct 2007 » Home VAW History September 2007