VAW Options History — January 2008

In January 2008, VAW traded between $76.88 and $87.97. ATM implied volatility averaged 36.0%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 4.7% (HV 20d: 31.3%). Max pain ranged from $82.00 to $89.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.10.

Notable Days

  • 2008-01-04: Highest Volume — 160 contracts
  • 2008-01-07: Largest IV spike — 55.7% change
  • 2008-01-08: Highest IV Rank — 55.1%
  • 2008-01-22: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.43$76.88$87.97$87.18$83.78
Max Pain$84.19$82.00$89.00$86.00$82.00
ATM IV36.0%24.9%49.4%25.3%34.2%
Expected Move10.0%7.1%11.9%7.3%9.8%
HV 20d31.3%26.1%36.6%28.1%36.6%
HV 60d30.5%27.7%32.8%27.7%32.3%
IV Rank35.4%19.0%55.1%19.6%32.7%
IV Percentile83.4%50.4%97.2%51.8%79.8%
Term Structure-0.8%-6.1%3.8%1.2%0.2%
VWIV34.2%29.0%38.0%38.0%34.3%
Skew 25d3.7%-14.5%9.8%5.8%7.6%
Skew 10d6.9%-21.2%20.4%15.9%10.6%
Call IV 25d33.7%22.0%47.9%22.0%33.1%
Put IV 25d37.4%27.4%49.8%27.8%40.8%
Bid-Ask Spread %73.3222.37146.5247.5377.46
Gamma HHI0.230.180.330.240.21
Net GEX72.6K25.9K126.3K114.1K92.9K
Net DEX-751.1K-1.4M-276.6K-1.3M-984.9K
Net VEX-3.6K-4.4K-2.5K-4.4K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.001.000.000.00
Total Volume15.6190160030
Total OI328.952263416335346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$87.18$86.0025.3%7.3%28.1%19.6%0.0%5.8%1.2%114.1K-1.3M-4.4K0.0047.53N/AN/A0030728
2008-01-03$87.97$86.0024.9%7.1%28.1%19.0%0.0%5.2%1.8%114.9K-1.4M-4.3K0.0048.43N/AN/A1030728
2008-01-04$85.43$89.0026.4%8.2%29.3%21.2%0.0%4.4%0.9%108.7K-990.0K-4.1K1.0022.37N/AN/A808030828
2008-01-07$84.26$89.0041.1%10.6%28.5%42.8%38.0%5.0%-3.3%78.5K-835.7K-4.4K0.20137.96N/AN/A10234868
2008-01-08$82.64$84.0049.4%8.4%28.7%55.1%0.0%-6.5%1.7%69.8K-763.9K-3.7K0.00144.76N/AN/A0029928
2008-01-09$82.95$84.0033.9%9.7%28.1%32.2%0.0%5.2%0.6%78.7K-657.6K-3.5K0.0023.57N/AN/A26029928
2008-01-10$84.51$84.0036.2%10.4%26.5%35.7%0.0%5.8%-1.2%91.1K-975.3K-4.3K0.0025.27N/AN/A6032528
2008-01-11$83.76$84.0036.5%10.5%26.1%36.1%0.0%4.9%-6.1%92.5K-858.7K-4.1K0.0032.98N/AN/A0032628
2008-01-14$86.43$84.0032.7%9.4%28.8%30.5%29.4%5.9%1.0%126.3K-1.2M-4.2K0.0023.12N/AN/A1032628
2008-01-15$83.85$84.0033.7%9.7%28.4%31.9%0.0%6.4%0.4%100.9K-825.0K-3.8K0.0025.73N/AN/A0032728
2008-01-16$81.26$84.0035.7%10.2%28.7%35.0%0.0%3.0%0.2%50.7K-527.7K-3.3K0.0033.15N/AN/A0032725
2008-01-17$76.88$84.0035.5%10.2%34.1%34.6%0.0%-14.5%0.3%36.8K-395.7K-3.0K0.00114.34N/AN/A0032725
2008-01-18$77.82$84.0038.7%11.1%34.6%39.3%0.0%1.1%3.8%31.0K-362.0K-2.9K0.00135.24N/AN/A0032725
2008-01-22$76.90$84.0041.7%11.9%33.7%43.7%29.0%4.5%-3.8%25.9K-276.6K-2.5K0.0076.63N/AN/A9023924
2008-01-23$78.01$84.0039.5%11.3%32.6%40.4%0.0%4.1%-2.1%30.1K-312.1K-2.6K0.0075.26N/AN/A0024124
2008-01-24$80.36$84.0037.9%10.9%34.7%38.2%35.9%2.0%-1.5%38.4K-456.0K-3.0K0.00144.70N/AN/A4024124
2008-01-25$80.35$82.0037.3%10.7%34.5%37.3%0.0%9.8%-1.3%41.2K-462.4K-2.9K0.0063.81N/AN/A0024524
2008-01-28$81.86$82.0038.5%11.0%35.4%39.1%34.6%7.3%-3.1%44.2K-507.7K-3.0K0.0068.49N/AN/A72024524
2008-01-29$82.69$82.0038.0%10.9%35.7%38.3%37.8%2.2%-3.4%79.4K-888.4K-3.7K0.00146.52N/AN/A1031724
2008-01-30$82.12$82.0038.9%11.2%35.7%39.7%0.0%8.8%-2.3%77.9K-791.4K-3.5K0.0072.45N/AN/A6031824
2008-01-31$83.78$82.0034.2%9.8%36.6%32.7%34.3%7.6%0.2%92.9K-984.9K-3.7K0.0077.46N/AN/A30032224