VAW Options History — May 2008

In May 2008, VAW traded between $89.57 and $97.41. ATM implied volatility averaged 27.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.5% (HV 20d: 24.6%). Max pain ranged from $82.00 to $88.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.09.

Notable Days

2008-05-08: Highest Volume — 60 contracts
2008-05-15: Largest IV spike — 21.8% change
2008-05-29: Highest IV Rank — 29.7%
2008-05-29: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$93.95	$89.57	$97.41	$89.57	$95.20
Max Pain	$82.57	$82.00	$88.00	$88.00	$82.00
ATM IV	27.2%	21.7%	32.3%	28.4%	27.8%
Expected Move	8.1%	7.2%	9.3%	8.1%	8.0%
HV 20d	24.6%	21.5%	27.7%	25.9%	21.9%
HV 60d	31.9%	31.4%	32.1%	31.8%	31.4%
IV Rank	22.2%	14.2%	29.7%	23.9%	23.2%
IV Percentile	46.5%	28.6%	71.0%	51.2%	48.8%
Term Structure	1.2%	-1.6%	3.1%	1.4%	-1.2%
VWIV	31.3%	26.8%	51.4%	28.0%	28.7%
Skew 25d	4.8%	2.6%	8.2%	8.2%	7.1%
Skew 10d	7.3%	-1.0%	19.5%	4.7%	17.5%
Call IV 25d	27.7%	23.0%	32.0%	23.0%	32.0%
Put IV 25d	32.5%	28.4%	39.1%	31.2%	39.1%
Bid-Ask Spread %	80.23	42.97	133.75	84.57	133.75
Gamma HHI	0.27	0.17	0.51	0.51	0.18
Net GEX	73.5K	39.7K	114.2K	107.7K	58.5K
Net DEX	-1.7M	-2.7M	-972.5K	-1.4M	-1.2M
Net VEX	-1.8K	-2.4K	-1.3K	-2.4K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	0.53	0.00	0.00
Total Volume	5.333	0	60	1	0
Total OI	251.571	176	314	267	211

Daily Data (21 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
2008-05-01	$89.57	$88.00	28.4%	8.1%	25.9%	23.9%	0.0%	8.2%	1.4%	107.7K	-1.4M	-2.4K	0.00	84.57	N/A	N/A	1	0	262	5
2008-05-02	$90.29	$88.00	28.6%	8.2%	25.5%	24.3%	0.0%	5.5%	2.0%	106.5K	-1.5M	-2.3K	0.00	85.03	N/A	N/A	0	0	263	5
2008-05-05	$91.82	$82.00	27.4%	8.3%	26.2%	22.5%	28.0%	4.6%	0.7%	102.8K	-1.7M	-2.1K	0.00	42.97	N/A	N/A	3	0	263	5
2008-05-06	$93.00	$82.00	24.8%	7.9%	26.4%	18.7%	0.0%	4.1%	2.0%	92.4K	-1.9M	-1.8K	0.00	50.43	N/A	N/A	0	0	266	5
2008-05-07	$91.67	$82.00	26.2%	8.2%	26.7%	20.8%	0.0%	4.2%	1.6%	107.5K	-1.7M	-1.9K	0.00	44.22	N/A	N/A	0	0	266	5
2008-05-08	$93.41	$82.00	25.0%	8.1%	27.5%	19.0%	28.2%	4.4%	1.6%	80.2K	-2.0M	-1.6K	0.00	50.59	N/A	N/A	60	0	266	5
2008-05-09	$92.52	$82.00	24.7%	7.9%	27.2%	18.6%	0.0%	4.5%	2.1%	114.2K	-2.1M	-2.2K	0.00	48.02	N/A	N/A	0	0	306	5
2008-05-12	$94.06	$82.00	25.0%	8.1%	27.7%	19.0%	0.0%	3.8%	1.6%	76.5K	-2.3M	-1.8K	0.00	55.47	N/A	N/A	0	0	306	5
2008-05-13	$94.47	$82.00	23.7%	8.1%	27.6%	17.1%	27.4%	3.7%	1.1%	75.3K	-2.4M	-1.7K	0.00	56.69	N/A	N/A	3	0	306	5
2008-05-14	$94.88	$82.00	21.7%	7.9%	23.3%	14.2%	0.0%	3.5%	2.0%	74.0K	-2.4M	-1.6K	0.00	66.22	N/A	N/A	0	0	309	5
2008-05-15	$96.05	$82.00	26.4%	7.6%	23.6%	21.0%	0.0%	4.5%	2.7%	81.9K	-2.5M	-1.6K	0.00	126.20	N/A	N/A	0	0	309	5
2008-05-16	$97.41	$82.00	25.7%	7.4%	23.7%	20.0%	26.8%	2.6%	2.2%	53.8K	-2.7M	-1.3K	0.00	76.74	N/A	N/A	0	10	309	5
2008-05-19	$96.92	$82.00	28.3%	8.1%	23.8%	23.8%	0.0%	3.3%	-0.1%	39.7K	-1.3M	-1.3K	0.00	87.20	N/A	N/A	0	0	166	10
2008-05-20	$97.31	$82.00	25.1%	7.2%	23.0%	19.1%	51.4%	5.1%	-1.6%	43.0K	-1.3M	-1.3K	0.00	125.80	N/A	N/A	0	2	166	10
2008-05-21	$94.65	$82.00	28.5%	8.2%	24.7%	24.2%	28.9%	4.6%	0.7%	47.2K	-1.1M	-1.5K	0.53	84.73	N/A	N/A	19	10	166	12
2008-05-22	$94.37	$82.00	30.3%	8.7%	24.0%	26.8%	28.7%	5.2%	1.2%	50.3K	-1.1M	-1.9K	0.00	83.25	N/A	N/A	4	0	185	22
2008-05-23	$93.04	$82.00	31.1%	8.9%	22.7%	27.9%	0.0%	6.4%	0.7%	55.7K	-989.8K	-2.0K	0.00	78.88	N/A	N/A	0	0	189	22
2008-05-27	$92.68	$82.00	30.9%	8.9%	22.5%	27.6%	0.0%	6.2%	0.5%	59.2K	-972.5K	-1.8K	0.00	82.58	N/A	N/A	0	0	189	22
2008-05-28	$95.30	$82.00	28.5%	8.2%	21.5%	24.1%	0.0%	5.2%	3.1%	59.9K	-1.2M	-1.5K	0.00	132.39	N/A	N/A	0	0	189	22
2008-05-29	$94.34	$82.00	32.3%	9.3%	22.0%	29.7%	0.0%	4.7%	0.5%	56.9K	-1.1M	-1.6K	0.00	89.16	N/A	N/A	0	0	189	22
2008-05-30	$95.20	$82.00	27.8%	8.0%	21.9%	23.2%	0.0%	7.1%	-1.2%	58.5K	-1.2M	-1.6K	0.00	133.75	N/A	N/A	0	0	189	22