VAW Options History — November 2007

In November 2007, VAW traded between $81.50 and $90.67. ATM implied volatility averaged 29.7%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 0.6% (HV 20d: 29.1%). Max pain ranged from $83.00 to $87.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-11-06: Highest Volume — 77 contracts
  • 2007-11-12: Largest IV spike — 159.4% change
  • 2007-11-12: Highest IV Rank — 75.3%
  • 2007-11-02: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.72$81.50$90.67$88.93$87.61
Max Pain$83.38$83.00$87.00$87.00$83.00
ATM IV29.7%19.3%63.1%19.3%26.5%
Expected Move8.1%5.5%9.9%5.5%7.6%
HV 20d29.1%22.4%35.5%23.3%33.2%
HV 60d24.5%23.0%25.9%24.4%25.9%
IV Rank26.1%10.7%75.3%10.7%21.3%
IV Percentile70.0%43.8%99.1%43.8%58.7%
Term Structure-0.5%-11.2%2.3%1.7%-1.5%
VWIV29.9%26.1%37.6%26.4%29.4%
Skew 25d6.6%0.8%27.2%2.7%3.4%
Skew 10d12.0%1.9%28.7%3.5%7.8%
Call IV 25d25.8%18.8%36.5%18.8%24.4%
Put IV 25d32.3%21.5%48.2%21.5%27.8%
Bid-Ask Spread %64.6330.49182.7351.1668.19
Gamma HHI0.350.210.450.210.42
Net GEX159.9K90.4K217.2K208.7K182.7K
Net DEX-1.6M-3.0M-633.9K-2.5M-1.9M
Net VEX-5.5K-7.3K-3.9K-7.3K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume9.33307760
Total OI508.81411576574463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$88.93$87.0019.3%5.5%23.3%10.7%0.0%2.7%1.7%208.7K-2.5M-7.3K0.0051.16N/AN/A6052549
2007-11-02$89.36$87.0034.6%9.9%22.4%33.3%0.0%27.2%-11.2%182.4K-2.6M-7.1K0.00182.73N/AN/A0051949
2007-11-05$88.64$83.0038.9%6.4%22.6%39.6%0.0%3.5%1.9%178.9K-2.4M-7.0K0.00137.27N/AN/A0051949
2007-11-06$90.67$83.0022.5%7.1%23.1%15.5%26.4%3.4%1.3%201.7K-3.0M-6.5K0.0051.03N/AN/A77051949
2007-11-07$87.94$83.0024.1%7.4%25.5%17.8%26.1%5.1%0.9%205.6K-2.3M-6.7K0.0040.29N/AN/A1052749
2007-11-08$88.80$83.0021.9%7.1%25.8%14.6%0.0%5.4%2.3%217.2K-2.4M-6.6K0.0041.58N/AN/A0052749
2007-11-09$87.37$83.0024.3%7.7%26.0%18.2%0.0%6.0%0.5%196.9K-1.9M-6.4K0.0035.35N/AN/A03052749
2007-11-12$84.04$83.0063.1%7.7%29.1%75.3%0.0%0.8%0.3%160.0K-1.5M-5.7K0.00140.64N/AN/A0052719
2007-11-13$85.83$83.0028.4%8.8%30.1%24.1%0.0%7.4%-0.8%184.5K-1.7M-5.7K0.0030.49N/AN/A0052719
2007-11-14$86.35$83.0020.2%7.9%30.2%12.1%0.0%7.1%0.3%208.3K-1.8M-5.5K0.0035.53N/AN/A0052719
2007-11-15$84.51$83.0027.9%8.0%30.6%23.5%0.0%7.9%0.0%155.2K-1.2M-5.1K0.0035.35N/AN/A30052719
2007-11-16$84.52$83.0029.0%8.3%29.5%25.1%0.0%8.2%0.7%144.6K-1.2M-5.0K0.0033.56N/AN/A0052519
2007-11-19$81.81$83.0028.8%8.3%31.4%24.8%31.0%1.0%-3.0%97.2K-824.4K-4.2K0.00142.39N/AN/A4039219
2007-11-20$82.78$83.0030.2%8.7%31.3%26.8%37.6%7.9%0.6%116.9K-971.5K-4.4K0.0040.00N/AN/A02039619
2007-11-21$81.50$83.0031.1%8.9%31.5%28.2%29.0%7.9%-1.2%90.4K-633.9K-4.0K0.0044.68N/AN/A4039639
2007-11-23$82.79$83.0029.4%8.4%32.1%25.6%0.0%7.8%-0.0%116.1K-879.0K-4.5K0.0048.14N/AN/A0040039
2007-11-26$81.75$83.0031.5%9.0%31.5%28.7%0.0%7.9%-1.4%99.0K-641.2K-3.9K0.0048.86N/AN/A0040039
2007-11-27$82.36$83.0030.8%8.8%31.5%27.7%0.0%6.6%-0.5%104.5K-713.5K-4.0K0.0052.99N/AN/A15040039
2007-11-28$86.00$83.0030.4%8.7%35.5%27.1%29.4%6.2%-0.1%153.7K-1.6M-5.0K0.0046.94N/AN/A2041539
2007-11-29$86.59$83.0030.6%8.8%34.7%27.3%0.0%4.9%-0.5%153.4K-1.6M-5.0K0.0050.06N/AN/A7041739
2007-11-30$87.61$83.0026.5%7.6%33.2%21.3%0.0%3.4%-1.5%182.7K-1.9M-5.0K0.0068.19N/AN/A0042439