VAW Options History — June 2008

In June 2008, VAW traded between $89.89 and $97.40. ATM implied volatility averaged 30.6%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 6.6% (HV 20d: 24.0%). Max pain ranged from $82.00 to $97.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2008-06-03: Highest Volume — 60 contracts
  • 2008-06-09: Largest IV spike — 19.6% change
  • 2008-06-09: Highest IV Rank — 35.1%
  • 2008-06-12: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.23$89.89$97.40$94.68$90.01
Max Pain$94.48$82.00$97.00$82.00$96.00
ATM IV30.6%25.1%36.0%25.1%30.5%
Expected Move8.6%7.2%9.3%7.2%8.8%
HV 20d24.0%21.1%25.8%22.1%25.1%
HV 60d26.0%23.4%31.3%31.3%24.1%
IV Rank27.1%19.2%35.1%19.2%26.9%
IV Percentile61.8%35.7%86.1%35.7%58.7%
Term Structure1.0%-3.4%3.0%3.0%1.0%
VWIV27.7%23.5%30.2%23.5%30.2%
Skew 25d1.3%-14.4%19.7%3.3%-12.4%
Skew 10d3.7%-16.2%36.8%7.5%-16.2%
Call IV 25d30.7%23.6%43.1%23.6%43.1%
Put IV 25d31.9%26.9%50.0%26.9%30.8%
Bid-Ask Spread %106.2022.59161.91100.66161.91
Gamma HHI0.250.180.400.200.26
Net GEX42.3K-2.6K106.1K65.1K6.5K
Net DEX-810.3K-1.5M278.1K-1.2M278.1K
Net VEX-2.4K-3.6K-1.4K-1.4K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.004.004.000.00
Total Volume9.286060500
Total OI303.143168374211191

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$94.68$82.0025.1%7.2%22.1%19.2%23.5%3.3%3.0%65.1K-1.2M-1.4K4.00100.66N/AN/A104018922
2008-06-03$94.74$86.0025.8%7.4%21.4%20.2%0.0%3.2%2.8%48.9K-1.0M-1.9K1.00100.85N/AN/A303019962
2008-06-04$94.16$86.0028.6%8.2%21.1%24.3%0.0%3.7%2.7%48.2K-982.6K-2.8K0.6797.72N/AN/A302022992
2008-06-05$97.40$86.0030.8%8.8%23.4%27.5%0.0%19.7%-3.4%31.2K-1.3M-3.6K0.00129.19N/AN/A00259112
2008-06-06$95.20$97.0030.1%8.2%24.3%26.5%0.0%0.5%2.1%103.1K-1.2M-2.9K0.00140.14N/AN/A20259112
2008-06-09$96.10$97.0036.0%8.5%24.2%35.1%0.0%0.5%1.7%31.6K-1.2M-3.4K0.00136.62N/AN/A00259112
2008-06-10$95.16$97.0035.2%8.9%23.9%33.9%0.0%-1.4%1.3%102.1K-1.2M-2.8K0.00133.44N/AN/A00259112
2008-06-11$93.60$97.0032.8%9.0%24.6%30.4%0.0%2.3%1.2%58.8K-914.0K-3.1K0.0022.78N/AN/A00259112
2008-06-12$93.41$97.0032.5%9.3%24.5%29.9%0.0%5.4%0.1%68.5K-842.6K-2.7K0.00136.09N/AN/A00259112
2008-06-13$95.75$97.0030.8%8.8%25.8%27.3%0.0%0.9%0.9%43.4K-1.2M-2.9K0.00139.37N/AN/A00259112
2008-06-16$95.89$97.0031.3%9.0%25.2%28.0%0.0%1.6%0.3%40.1K-1.3M-2.7K0.00140.22N/AN/A00259112
2008-06-17$96.42$97.0030.7%8.8%25.3%27.1%0.0%3.9%0.6%30.7K-1.5M-2.4K0.0022.59N/AN/A60259112
2008-06-18$95.85$97.0029.0%8.3%25.3%24.7%0.0%5.3%2.3%40.5K-1.3M-2.6K0.00150.38N/AN/A00262112
2008-06-19$95.73$97.0031.0%8.9%23.2%27.6%0.0%3.3%-0.1%41.6K-1.3M-2.5K0.00146.05N/AN/A20262112
2008-06-20$94.18$97.0030.7%8.8%23.9%27.1%29.6%3.4%0.4%106.1K-1.1M-2.1K0.0024.01N/AN/A20262112
2008-06-23$94.86$97.0030.6%8.8%23.5%27.0%27.2%3.1%1.0%-2.6K-18.8K-2.0K0.0043.82N/AN/A1208880
2008-06-24$92.60$96.0031.4%9.0%25.1%28.2%30.2%3.7%0.2%2.7K118.7K-1.9K0.0054.19N/AN/A11010080
2008-06-25$92.87$96.0031.5%9.0%22.9%28.3%0.0%4.3%0.0%7.8K55.6K-2.0K0.0046.79N/AN/A0011180
2008-06-26$89.89$96.0029.4%8.4%25.3%25.3%0.0%-14.4%0.8%6.6K70.9K-1.9K0.00145.48N/AN/A0011180
2008-06-27$90.41$96.0029.1%8.3%25.1%24.8%0.0%-13.1%2.8%6.7K70.5K-1.9K0.00157.98N/AN/A0011180
2008-06-30$90.01$96.0030.5%8.8%25.1%26.9%0.0%-12.4%1.0%6.5K278.1K-1.5K0.00161.91N/AN/A0011180