VAW Options History — March 2008

In March 2008, VAW traded between $80.59 and $87.76. ATM implied volatility averaged 36.0%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.4% (HV 20d: 36.4%). Max pain ranged from $83.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.17.

Notable Days

2008-03-24: Highest Volume — 125 contracts
2008-03-10: Largest IV spike — 25.0% change
2008-03-10: Highest IV Rank — 47.3%
2008-03-17: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.99	$80.59	$87.76	$87.25	$84.94
Max Pain	$83.85	$83.00	$90.00	$84.00	$83.00
ATM IV	36.0%	27.3%	44.4%	28.4%	35.8%
Expected Move	10.2%	7.8%	12.3%	8.1%	10.3%
HV 20d	36.4%	23.5%	44.9%	25.2%	43.4%
HV 60d	33.2%	30.3%	35.7%	30.3%	35.6%
IV Rank	35.2%	22.4%	47.3%	24.0%	34.8%
IV Percentile	81.4%	50.8%	96.0%	57.5%	81.7%
Term Structure	-0.2%	-5.1%	5.9%	3.1%	-0.5%
VWIV	37.1%	32.8%	42.0%	36.1%	32.9%
Skew 25d	5.5%	-0.5%	11.8%	5.9%	6.0%
Skew 10d	5.8%	-0.5%	19.3%	0.8%	19.3%
Call IV 25d	31.9%	22.3%	39.8%	24.8%	32.7%
Put IV 25d	37.4%	30.0%	44.3%	30.7%	38.8%
Bid-Ask Spread %	55.24	19.22	132.12	87.89	58.44
Gamma HHI	0.25	0.16	0.39	0.23	0.35
Net GEX	86.0K	9.7K	142.1K	134.8K	46.3K
Net DEX	-818.8K	-1.4M	-115.9K	-1.3M	-713.0K
Net VEX	-2.8K	-3.4K	-1.7K	-3.3K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	1.00	0.00	0.00
Total Volume	9.05	0	125	0	4
Total OI	332.05	128	387	352	265

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
2008-03-03	$87.25	$84.00	28.4%	8.1%	25.2%	24.0%	0.0%	5.9%	3.1%	134.8K	-1.3M	-3.3K	0.00	87.89	N/A	N/A	0	0	324	28
2008-03-04	$85.68	$84.00	30.5%	8.7%	25.8%	27.0%	0.0%	8.1%	4.8%	119.0K	-1.1M	-3.1K	0.00	88.33	N/A	N/A	0	0	324	28
2008-03-05	$87.76	$84.00	27.3%	7.8%	23.5%	22.4%	0.0%	7.7%	5.9%	142.1K	-1.4M	-3.2K	0.00	93.93	N/A	N/A	0	0	324	28
2008-03-06	$86.35	$84.00	31.1%	8.9%	24.3%	28.0%	0.0%	6.6%	3.3%	131.1K	-1.2M	-3.1K	0.00	90.53	N/A	N/A	0	0	324	28
2008-03-07	$83.44	$90.00	35.5%	10.5%	27.7%	34.3%	36.1%	3.1%	-2.8%	93.7K	-752.1K	-2.7K	0.00	19.22	N/A	N/A	1	0	324	28
2008-03-10	$80.59	$85.00	44.4%	11.9%	29.6%	47.3%	41.4%	3.4%	-3.3%	61.4K	-481.5K	-2.2K	0.00	23.06	N/A	N/A	0	31	325	28
2008-03-11	$85.23	$83.00	42.4%	10.6%	35.4%	44.5%	37.6%	-0.5%	-2.0%	129.4K	-749.2K	-2.7K	0.00	123.77	N/A	N/A	0	1	325	59
2008-03-12	$84.95	$84.00	34.3%	9.7%	35.4%	32.6%	0.0%	5.3%	-1.1%	112.8K	-800.5K	-2.8K	0.00	24.37	N/A	N/A	0	0	325	60
2008-03-13	$86.72	$84.00	34.0%	9.7%	35.8%	32.1%	0.0%	4.8%	-0.3%	139.4K	-1.1M	-2.9K	0.00	26.42	N/A	N/A	0	0	325	60
2008-03-14	$85.68	$84.00	35.7%	10.2%	36.0%	34.7%	0.0%	5.0%	-2.1%	130.8K	-931.6K	-2.8K	0.00	24.44	N/A	N/A	2	0	325	60
2008-03-17	$83.68	$84.00	43.0%	12.3%	37.0%	45.3%	42.0%	4.5%	-5.1%	97.4K	-603.3K	-2.4K	1.00	20.88	N/A	N/A	1	1	327	60
2008-03-18	$86.69	$83.00	38.9%	11.2%	38.6%	39.4%	0.0%	5.1%	-2.8%	108.6K	-1.2M	-2.6K	0.00	132.12	N/A	N/A	0	0	328	59
2008-03-19	$81.79	$83.00	39.9%	11.4%	43.5%	40.8%	0.0%	4.2%	-2.9%	49.7K	-211.8K	-1.8K	0.00	21.83	N/A	N/A	0	0	328	59
2008-03-20	$81.55	$83.00	41.0%	11.8%	43.2%	42.5%	0.0%	2.8%	-4.2%	24.3K	-115.9K	-1.7K	0.00	23.41	N/A	N/A	0	3	328	59
2008-03-24	$84.19	$83.00	36.2%	10.4%	44.9%	35.5%	0.0%	6.6%	5.4%	9.7K	-271.6K	-1.7K	0.00	43.05	N/A	N/A	125	0	97	31
2008-03-25	$86.25	$83.00	34.4%	9.9%	44.6%	32.7%	32.8%	6.7%	1.2%	44.2K	-857.7K	-3.3K	0.00	52.36	N/A	N/A	12	0	222	31
2008-03-26	$86.36	$83.00	35.7%	10.2%	44.6%	34.7%	0.0%	6.3%	-0.6%	49.1K	-895.5K	-3.4K	0.00	52.35	N/A	N/A	0	0	234	31
2008-03-27	$85.49	$83.00	36.7%	10.5%	44.7%	36.1%	0.0%	7.1%	-0.8%	48.2K	-833.8K	-3.3K	0.00	49.50	N/A	N/A	0	0	234	31
2008-03-28	$85.28	$83.00	35.9%	10.3%	44.7%	34.9%	0.0%	11.8%	0.2%	48.4K	-799.4K	-3.3K	0.00	48.87	N/A	N/A	0	0	234	31
2008-03-31	$84.94	$83.00	35.8%	10.3%	43.4%	34.8%	32.9%	6.0%	-0.5%	46.3K	-713.0K	-3.1K	0.00	58.44	N/A	N/A	4	0	234	31