VAW Options History — February 2008

In February 2008, VAW traded between $81.43 and $89.70. ATM implied volatility averaged 38.0%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 7.3% (HV 20d: 30.7%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.15.

Notable Days

2008-02-11: Highest Volume — 80 contracts
2008-02-12: Largest IV spike — 81.7% change
2008-02-13: Highest IV Rank — 100.0%
2008-02-06: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.87	$81.43	$89.70	$85.82	$86.61
Max Pain	$84.20	$82.00	$85.00	$82.00	$84.00
ATM IV	38.0%	27.1%	80.4%	36.0%	29.7%
Expected Move	9.3%	7.8%	10.4%	10.3%	8.5%
HV 20d	30.7%	23.6%	38.0%	37.6%	26.4%
HV 60d	31.1%	29.6%	32.6%	32.6%	30.3%
IV Rank	38.1%	22.1%	100.0%	35.3%	25.9%
IV Percentile	77.8%	49.6%	100.0%	84.9%	63.1%
Term Structure	-1.0%	-5.3%	2.7%	-5.3%	-0.1%
VWIV	31.0%	26.8%	36.7%	34.0%	32.9%
Skew 25d	7.8%	0.3%	15.8%	7.0%	1.3%
Skew 10d	11.7%	-3.0%	27.6%	27.6%	12.6%
Call IV 25d	30.6%	24.4%	55.3%	55.3%	41.5%
Put IV 25d	38.4%	30.9%	62.2%	62.2%	42.7%
Bid-Ask Spread %	70.79	22.58	148.48	148.48	145.80
Gamma HHI	0.22	0.16	0.30	0.17	0.20
Net GEX	102.7K	60.0K	144.4K	80.8K	108.1K
Net DEX	-1.2M	-1.7M	-652.9K	-1.4M	-1.3M
Net VEX	-3.4K	-4.1K	-3.0K	-4.1K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	2.00	0.00	0.00
Total Volume	10.55	0	80	5	2
Total OI	349.9	243	378	372	353

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
2008-02-01	$85.82	$82.00	36.0%	10.3%	37.6%	35.3%	0.0%	7.0%	-5.3%	80.8K	-1.4M	-4.1K	0.00	148.48	N/A	N/A	5	0	348	24
2008-02-04	$84.88	$85.00	36.9%	9.7%	36.3%	36.7%	0.0%	9.1%	-2.1%	117.0K	-1.2M	-3.8K	0.00	24.91	N/A	N/A	0	0	353	24
2008-02-05	$82.01	$85.00	39.0%	9.7%	38.0%	39.7%	0.0%	10.4%	-2.0%	100.2K	-828.3K	-3.3K	0.00	25.74	N/A	N/A	1	0	353	24
2008-02-06	$81.43	$85.00	39.3%	10.4%	37.5%	40.2%	0.0%	9.5%	-3.2%	91.3K	-652.9K	-3.1K	0.00	22.58	N/A	N/A	0	0	354	24
2008-02-07	$81.56	$85.00	37.6%	9.9%	37.5%	37.7%	0.0%	10.4%	-2.4%	99.3K	-816.0K	-3.2K	0.00	25.96	N/A	N/A	0	0	354	24
2008-02-08	$83.05	$85.00	36.6%	9.6%	37.4%	36.2%	0.0%	9.9%	-1.7%	119.0K	-901.1K	-3.2K	0.00	25.79	N/A	N/A	0	0	354	24
2008-02-11	$84.67	$85.00	38.8%	9.7%	38.0%	39.5%	34.0%	9.1%	-2.0%	144.4K	-1.2M	-3.2K	0.00	25.79	N/A	N/A	80	0	354	24
2008-02-12	$84.60	$84.00	70.5%	9.0%	36.2%	86.1%	0.0%	0.3%	1.1%	81.4K	-1.3M	-3.5K	0.00	136.02	N/A	N/A	1	0	353	24
2008-02-13	$85.79	$84.00	80.4%	9.5%	34.8%	100.0%	0.0%	4.3%	-0.9%	85.3K	-1.5M	-3.6K	0.00	103.29	N/A	N/A	0	0	354	24
2008-02-14	$85.32	$84.00	34.1%	9.8%	32.7%	32.4%	36.7%	8.4%	-1.2%	133.4K	-1.2M	-3.2K	0.00	26.69	N/A	N/A	0	2	354	24
2008-02-15	$85.23	$84.00	32.8%	9.4%	24.7%	30.5%	0.0%	8.0%	-1.2%	141.6K	-1.2M	-3.1K	0.00	28.27	N/A	N/A	1	0	354	24
2008-02-19	$86.90	$84.00	32.7%	9.4%	25.1%	30.2%	29.9%	10.4%	-0.3%	60.0K	-954.5K	-3.0K	0.00	58.92	N/A	N/A	59	0	219	24
2008-02-20	$87.82	$84.00	31.8%	9.1%	24.3%	29.0%	30.5%	15.8%	-0.9%	89.7K	-1.3M	-3.5K	2.00	100.12	N/A	N/A	2	4	278	24
2008-02-21	$86.52	$84.00	33.4%	9.6%	25.3%	31.3%	0.0%	7.4%	-1.4%	80.4K	-1.1M	-3.5K	0.00	65.56	N/A	N/A	0	0	280	28
2008-02-22	$87.12	$84.00	32.7%	9.4%	23.6%	30.3%	29.7%	11.8%	-1.0%	86.8K	-1.2M	-3.5K	0.00	122.68	N/A	N/A	15	0	280	28
2008-02-25	$89.52	$84.00	32.8%	9.4%	24.9%	30.3%	32.8%	5.1%	0.3%	93.3K	-1.6M	-3.5K	0.00	77.34	N/A	N/A	6	0	295	28
2008-02-26	$89.61	$84.00	29.3%	8.4%	24.4%	25.2%	29.9%	8.9%	1.0%	104.5K	-1.6M	-3.4K	0.00	77.90	N/A	N/A	10	0	299	28
2008-02-27	$89.70	$84.00	28.0%	8.0%	24.4%	23.4%	26.8%	4.6%	1.0%	114.7K	-1.7M	-3.4K	0.00	88.66	N/A	N/A	15	0	309	28
2008-02-28	$89.32	$84.00	27.1%	7.8%	24.2%	22.1%	27.0%	5.3%	2.7%	122.5K	-1.7M	-3.6K	0.00	85.40	N/A	N/A	8	0	320	28
2008-02-29	$86.61	$84.00	29.7%	8.5%	26.4%	25.9%	32.9%	1.3%	-0.1%	108.1K	-1.3M	-3.6K	0.00	145.80	N/A	N/A	2	0	325	28