VAW Options History — December 2007

In December 2007, VAW traded between $84.54 and $91.90. ATM implied volatility averaged 26.1%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 5.0% (HV 20d: 31.0%). Max pain ranged from $82.00 to $86.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.40.

Notable Days

2007-12-17: Highest Volume — 62 contracts
2007-12-11: Largest IV spike — 367.8% change
2007-12-11: Highest IV Rank — 66.5%
2007-12-11: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.23	$84.54	$91.90	$87.24	$87.94
Max Pain	$83.80	$82.00	$86.00	$83.00	$82.00
ATM IV	26.1%	12.2%	57.2%	27.5%	24.4%
Expected Move	7.2%	5.6%	9.2%	7.9%	7.0%
HV 20d	31.0%	27.9%	33.5%	33.1%	27.9%
HV 60d	26.8%	25.3%	28.0%	25.5%	27.9%
IV Rank	20.7%	0.3%	66.5%	22.8%	18.2%
IV Percentile	55.3%	0.4%	98.7%	65.4%	49.6%
Term Structure	0.9%	-17.0%	5.4%	-0.7%	1.7%
VWIV	24.2%	19.7%	31.6%	20.7%	23.3%
Skew 25d	4.5%	2.5%	11.0%	3.9%	4.6%
Skew 10d	5.5%	-3.6%	15.2%	1.1%	8.8%
Call IV 25d	23.3%	18.1%	31.7%	24.0%	21.5%
Put IV 25d	27.8%	21.3%	37.5%	27.9%	26.1%
Bid-Ask Spread %	61.59	25.74	159.86	69.53	42.25
Gamma HHI	0.36	0.24	0.65	0.43	0.24
Net GEX	163.9K	57.5K	300.7K	193.7K	113.2K
Net DEX	-1.7M	-3.4M	-574.3K	-1.8M	-1.4M
Net VEX	-3.8K	-4.8K	-2.5K	-4.8K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	4.00	0.00	4.00
Total Volume	14.35	0	62	0	5
Total OI	403.3	233	506	463	330

Daily Data (20 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
2007-12-03	$87.24	$83.00	27.5%	7.9%	33.1%	22.8%	0.0%	3.9%	-0.7%	193.7K	-1.8M	-4.8K	0.00	69.53	N/A	N/A	0	0	424	39
2007-12-04	$86.69	$83.00	27.7%	7.9%	33.1%	23.1%	0.0%	5.4%	-1.9%	194.7K	-1.7M	-4.6K	0.00	66.34	N/A	N/A	0	0	424	39
2007-12-05	$88.22	$83.00	27.8%	8.0%	32.6%	23.3%	0.0%	3.8%	-1.9%	203.4K	-2.0M	-4.6K	0.00	74.20	N/A	N/A	1	0	424	39
2007-12-06	$89.96	$83.00	25.6%	7.3%	31.5%	20.0%	0.0%	3.5%	-1.5%	201.8K	-2.5M	-4.2K	0.00	84.12	N/A	N/A	0	0	425	39
2007-12-07	$90.75	$86.00	33.7%	7.0%	31.5%	32.0%	0.0%	11.0%	-6.8%	154.9K	-2.5M	-4.4K	0.00	151.06	N/A	N/A	40	0	425	39
2007-12-10	$91.90	$86.00	12.2%	5.9%	31.0%	0.3%	0.0%	2.5%	3.8%	176.4K	-3.4M	-3.1K	0.00	41.17	N/A	N/A	3	0	455	39
2007-12-11	$88.47	$86.00	57.2%	9.2%	30.9%	66.5%	0.0%	3.5%	-17.0%	104.4K	-2.1M	-4.5K	0.00	151.43	N/A	N/A	0	0	461	45
2007-12-12	$89.45	$86.00	17.5%	6.3%	30.3%	8.1%	20.7%	4.5%	2.7%	300.7K	-2.5M	-3.7K	0.00	32.28	N/A	N/A	2	0	458	39
2007-12-13	$89.92	$86.00	20.9%	6.0%	30.3%	13.2%	0.0%	3.8%	4.6%	268.8K	-2.4M	-3.3K	0.00	34.40	N/A	N/A	0	0	413	39
2007-12-14	$87.00	$86.00	25.3%	7.3%	31.7%	19.6%	0.0%	3.4%	2.7%	174.8K	-1.1M	-3.0K	0.00	27.62	N/A	N/A	1	0	308	39
2007-12-17	$84.54	$86.00	26.5%	7.6%	33.5%	21.3%	25.9%	4.1%	3.5%	121.4K	-574.3K	-2.5K	0.19	34.10	N/A	N/A	52	10	308	39
2007-12-18	$85.32	$86.00	29.6%	8.5%	31.3%	26.0%	31.6%	4.4%	2.7%	153.0K	-937.6K	-3.6K	0.00	27.26	N/A	N/A	0	28	356	49
2007-12-19	$84.98	$82.00	30.4%	8.7%	31.1%	27.2%	0.0%	5.4%	3.2%	131.3K	-768.4K	-3.5K	0.00	29.84	N/A	N/A	0	0	356	66
2007-12-20	$86.52	$82.00	27.9%	8.0%	31.0%	23.4%	28.4%	5.5%	3.3%	160.2K	-1.2M	-3.5K	0.20	25.74	N/A	N/A	40	8	356	65
2007-12-21	$88.68	$82.00	25.4%	7.3%	31.7%	19.7%	0.0%	3.9%	4.4%	299.1K	-2.0M	-3.7K	0.00	29.10	N/A	N/A	0	0	396	57
2007-12-24	$89.42	$82.00	22.1%	6.3%	31.1%	14.8%	0.0%	5.8%	0.4%	57.5K	-1.1M	-3.5K	0.00	159.86	N/A	N/A	0	0	211	24
2007-12-26	$90.03	$82.00	19.5%	5.6%	31.1%	11.0%	19.7%	3.2%	5.4%	63.5K	-1.2M	-3.3K	0.00	58.56	N/A	N/A	57	0	209	24
2007-12-27	$88.83	$82.00	20.2%	5.8%	28.1%	12.1%	0.0%	3.5%	4.6%	96.7K	-1.4M	-4.1K	0.00	46.66	N/A	N/A	27	0	266	24
2007-12-28	$88.65	$82.00	20.2%	5.8%	28.0%	12.1%	20.1%	4.8%	5.0%	107.9K	-1.4M	-4.4K	0.00	46.19	N/A	N/A	13	0	293	24
2007-12-31	$87.94	$82.00	24.4%	7.0%	27.9%	18.2%	23.3%	4.6%	1.7%	113.2K	-1.4M	-4.4K	4.00	42.25	N/A	N/A	1	4	306	24