VAW Options History — April 2008

In April 2008, VAW traded between $87.30 and $94.71. ATM implied volatility averaged 31.9%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 0.1% (HV 20d: 31.8%). Max pain ranged from $83.00 to $88.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.02.

Notable Days

  • 2008-04-16: Highest Volume — 38 contracts
  • 2008-04-23: Largest IV spike — 10.8% change
  • 2008-04-14: Highest IV Rank — 34.1%
  • 2008-04-14: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.03$87.30$94.71$87.30$89.98
Max Pain$87.32$83.00$88.00$83.00$88.00
ATM IV31.9%28.7%35.3%34.6%28.7%
Expected Move9.2%8.2%10.1%9.9%8.2%
HV 20d31.8%22.2%44.5%44.5%26.5%
HV 60d33.6%31.4%36.0%36.0%32.6%
IV Rank29.1%24.4%34.1%33.0%24.4%
IV Percentile67.3%52.0%80.6%77.4%52.0%
Term Structure-0.3%-1.9%1.5%-0.0%1.5%
VWIV31.0%28.1%33.9%33.9%31.0%
Skew 25d4.8%2.3%6.2%6.2%5.9%
Skew 10d3.5%-6.9%9.2%6.2%5.3%
Call IV 25d30.5%24.9%33.1%31.4%24.9%
Put IV 25d35.3%30.9%39.2%37.6%30.9%
Bid-Ask Spread %47.8921.1182.8957.1882.89
Gamma HHI0.370.270.500.330.50
Net GEX78.6K55.8K104.5K55.8K104.5K
Net DEX-1.5M-2.0M-1.0M-1.0M-1.4M
Net VEX-2.7K-3.2K-2.3K-3.2K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.250.000.00
Total Volume5.31803810
Total OI276.136243303269267

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$87.30$83.0034.6%9.9%44.5%33.0%33.9%6.2%-0.0%55.8K-1.0M-3.2K0.0057.18N/AN/A1023831
2008-04-02$87.98$83.0032.6%9.3%44.1%30.1%31.3%5.7%-1.2%61.1K-1.1M-3.2K0.0046.48N/AN/A10023931
2008-04-03$89.41$83.0032.8%9.4%43.6%30.4%28.1%2.5%0.6%68.0K-1.3M-3.2K0.0076.33N/AN/A1024931
2008-04-04$90.80$88.0031.1%9.3%43.4%28.0%0.0%2.7%-1.1%71.5K-1.4M-3.0K0.0024.93N/AN/A0025031
2008-04-07$90.49$88.0033.1%9.5%41.3%30.9%0.0%4.8%-0.7%72.6K-1.4M-3.0K0.0022.93N/AN/A6025031
2008-04-08$91.08$88.0031.6%9.0%38.6%28.7%0.0%4.5%-1.0%79.3K-1.5M-2.9K0.0024.18N/AN/A0025631
2008-04-09$90.19$88.0031.8%9.6%34.2%29.0%0.0%5.5%-0.4%79.3K-1.4M-3.0K0.0023.09N/AN/A0025631
2008-04-10$90.52$88.0032.9%9.4%34.1%30.6%0.0%5.2%-0.9%80.7K-1.5M-2.9K0.0022.71N/AN/A4025631
2008-04-11$89.30$88.0033.9%9.7%33.9%32.1%0.0%6.1%-0.5%86.7K-1.3M-2.9K0.0023.95N/AN/A0026031
2008-04-14$89.07$88.0035.3%10.1%33.6%34.1%0.0%6.2%-1.9%89.6K-1.3M-2.8K0.0021.11N/AN/A0026031
2008-04-15$89.62$88.0035.1%10.1%32.2%33.7%0.0%6.0%-1.8%96.7K-1.3M-2.7K0.0021.40N/AN/A0026031
2008-04-16$93.52$88.0032.8%9.4%33.3%30.5%0.0%5.0%0.8%79.5K-1.9M-2.3K0.0028.21N/AN/A38026031
2008-04-17$93.30$88.0029.8%8.5%24.1%26.0%0.0%3.7%0.3%80.4K-1.9M-2.5K0.0033.96N/AN/A15026831
2008-04-18$94.57$88.0030.2%8.7%24.0%26.6%0.0%2.3%0.2%69.1K-2.0M-2.5K0.0044.08N/AN/A0027231
2008-04-21$94.71$88.0030.2%8.6%22.2%26.6%0.0%4.0%-0.0%62.2K-1.8M-2.3K0.0073.83N/AN/A002430
2008-04-22$93.31$88.0029.3%8.4%22.3%25.3%30.3%3.5%0.6%66.9K-1.7M-2.4K0.0071.10N/AN/A1302430
2008-04-23$91.98$88.0032.4%9.3%23.2%29.9%31.4%5.0%-0.0%80.5K-1.6M-2.6K0.2566.05N/AN/A2052560
2008-04-24$90.65$88.0031.3%9.0%23.6%28.2%31.0%6.0%0.4%84.5K-1.4M-2.8K0.0064.46N/AN/A202585
2008-04-25$93.15$88.0029.0%8.3%25.0%24.8%0.0%3.8%1.4%78.5K-1.7M-2.4K0.0078.12N/AN/A002605
2008-04-28$92.30$88.0032.0%9.2%25.3%29.3%0.0%4.3%-1.0%83.3K-1.7M-2.4K0.0075.09N/AN/A002605
2008-04-29$89.53$88.0030.9%8.8%26.6%27.6%0.0%6.0%-0.7%97.2K-1.3M-2.5K0.0071.44N/AN/A202605
2008-04-30$89.98$88.0028.7%8.2%26.5%24.4%0.0%5.9%1.5%104.5K-1.4M-2.5K0.0082.89N/AN/A002625