VAW Options History — October 2007

In October 2007, VAW traded between $87.61 and $91.87. ATM implied volatility averaged 19.7%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.2% (HV 20d: 18.5%). Max pain ranged from $82.00 to $87.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 3.15.

Notable Days

  • 2007-10-25: Highest Volume — 102 contracts
  • 2007-10-09: Largest IV spike — 140.4% change
  • 2007-10-09: Highest IV Rank — 40.9%
  • 2007-10-22: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.61$87.61$91.87$89.31$91.87
Max Pain$86.13$82.00$87.00$82.00$87.00
ATM IV19.7%13.1%39.8%17.3%15.4%
Expected Move5.6%4.4%6.8%5.0%4.4%
HV 20d18.5%15.3%20.5%20.2%19.7%
HV 60d25.2%23.2%26.4%26.4%23.8%
IV Rank11.3%1.7%40.9%7.9%5.0%
IV Percentile39.2%0.5%91.7%34.8%13.9%
Term Structure1.9%-5.1%4.7%1.5%4.7%
VWIV16.7%10.8%21.6%16.9%10.9%
Skew 25d3.1%1.3%10.1%1.3%1.7%
Skew 10d2.2%-4.2%13.4%-3.9%0.9%
Call IV 25d18.2%15.4%20.8%16.6%15.5%
Put IV 25d21.3%17.2%30.3%18.0%17.2%
Bid-Ask Spread %54.9228.43157.4089.0878.29
Gamma HHI0.420.210.590.590.22
Net GEX109.6K-207.7K213.6K171.5K199.3K
Net DEX-3.1M-3.9M-1.6M-3.4M-3.4M
Net VEX-5.2K-7.1K-3.6K-4.9K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.0043.000.000.00
Total Volume18.6090102326
Total OI538.87346677506563

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$89.31$82.0017.3%5.0%20.2%7.9%0.0%1.3%1.5%171.5K-3.4M-4.9K0.0089.08N/AN/A3048818
2007-10-02$89.01$82.0016.8%4.8%20.3%7.1%16.9%2.0%3.5%198.8K-3.3M-5.0K1.0090.23N/AN/A191949118
2007-10-03$87.93$82.0019.6%5.6%20.5%11.2%0.0%2.7%2.7%210.6K-2.9M-5.8K0.0082.88N/AN/A14051037
2007-10-04$88.08$82.0020.9%6.0%20.4%13.1%0.0%2.8%2.0%209.6K-3.0M-5.8K0.0081.08N/AN/A0051837
2007-10-05$89.65$87.0016.6%5.5%18.8%6.8%0.0%2.7%2.7%165.1K-3.6M-4.8K0.0029.43N/AN/A0051837
2007-10-08$89.24$87.0016.6%5.8%18.0%6.7%0.0%1.8%0.9%187.0K-3.5M-4.7K0.0028.76N/AN/A0051837
2007-10-09$90.83$87.0039.8%6.3%18.3%40.9%0.0%10.1%-5.1%160.2K-3.5M-4.8K0.00157.40N/AN/A0051837
2007-10-10$90.47$87.0013.1%5.2%18.3%1.7%0.0%2.0%1.8%131.1K-3.9M-3.9K0.0036.04N/AN/A03351837
2007-10-11$89.97$87.0017.8%5.1%18.6%8.5%0.0%1.7%2.1%80.7K-3.7M-4.1K0.0037.65N/AN/A19051870
2007-10-12$90.86$87.0017.4%5.0%18.7%7.9%0.0%2.1%2.4%26.6K-3.8M-3.6K0.0040.81N/AN/A0049970
2007-10-15$90.37$87.0019.4%5.5%18.9%10.8%0.0%2.6%1.3%-41.3K-3.7M-3.7K43.0041.78N/AN/A14349970
2007-10-16$88.99$87.0021.0%6.0%16.1%13.2%0.0%3.9%1.0%-69.7K-3.0M-3.9K0.0029.99N/AN/A30498113
2007-10-17$89.00$87.0022.1%6.3%15.3%14.9%20.3%3.3%0.7%-63.9K-3.0M-3.9K0.0028.43N/AN/A650499113
2007-10-18$90.00$87.0021.9%6.3%15.7%14.6%0.0%2.6%0.9%-207.7K-3.7M-5.2K0.0030.91N/AN/A00564113
2007-10-19$87.78$87.0021.5%6.2%18.3%13.9%0.0%3.2%0.9%109.0K-2.9M-5.3K0.0034.50N/AN/A00564113
2007-10-22$87.61$87.0023.8%6.8%18.2%17.3%0.0%5.1%1.1%101.4K-1.6M-5.1K0.0433.03N/AN/A28132818
2007-10-23$88.80$87.0021.5%6.2%18.7%14.0%21.6%4.0%2.5%109.5K-1.9M-5.8K0.0036.61N/AN/A15035619
2007-10-24$89.12$87.0020.1%5.7%18.5%11.9%0.0%4.1%2.1%123.9K-2.0M-5.9K0.0040.10N/AN/A0037119
2007-10-25$89.58$87.0019.1%5.5%18.1%10.4%18.5%3.7%2.7%122.2K-2.1M-5.8K0.0045.75N/AN/A102037119
2007-10-26$90.93$87.0017.8%5.1%18.6%8.6%17.7%2.5%4.3%179.2K-3.0M-7.1K0.0056.28N/AN/A31050349
2007-10-29$91.57$87.0015.7%4.5%18.0%5.4%10.8%1.7%4.3%204.3K-3.4M-6.9K0.0073.43N/AN/A5052749
2007-10-30$90.00$87.0017.3%5.0%19.1%7.8%0.0%3.5%3.2%213.6K-2.8M-7.1K0.0060.75N/AN/A1051349
2007-10-31$91.87$87.0015.4%4.4%19.7%5.0%10.9%1.7%4.7%199.3K-3.4M-6.3K0.0078.29N/AN/A26051449