VAW Options History — July 2008

In July 2008, VAW traded between $82.81 and $89.06. ATM implied volatility averaged 35.0%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.1% (HV 20d: 28.9%). Max pain ranged from $87.00 to $96.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.31.

Notable Days

2008-07-17: Highest Volume — 70 contracts
2008-07-02: Largest IV spike — 48.4% change
2008-07-07: Highest IV Rank — 55.8%
2008-07-02: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.36	$82.81	$89.06	$89.06	$86.63
Max Pain	$89.43	$87.00	$96.00	$96.00	$87.00
ATM IV	35.0%	28.2%	50.3%	29.6%	34.4%
Expected Move	9.9%	8.5%	12.6%	8.5%	9.9%
HV 20d	28.9%	25.2%	32.7%	25.2%	25.3%
HV 60d	26.0%	24.1%	27.2%	24.1%	26.6%
IV Rank	33.4%	23.4%	55.8%	25.4%	32.6%
IV Percentile	73.5%	42.5%	98.4%	53.6%	77.0%
Term Structure	-1.8%	-17.6%	2.5%	2.5%	-5.5%
VWIV	30.7%	25.5%	33.3%	25.5%	28.8%
Skew 25d	1.5%	-18.7%	6.9%	3.4%	0.9%
Skew 10d	2.5%	-31.2%	14.6%	7.7%	-8.1%
Call IV 25d	34.9%	26.3%	54.1%	26.3%	48.2%
Put IV 25d	36.4%	29.7%	49.1%	29.7%	49.1%
Bid-Ask Spread %	86.63	30.93	158.79	98.42	158.79
Gamma HHI	0.18	0.11	0.26	0.23	0.13
Net GEX	24.9K	4.6K	72.0K	5.3K	65.7K
Net DEX	-6.9K	-682.1K	607.5K	436.4K	-518.5K
Net VEX	-1.1K	-2.2K	-421	-1.2K	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	3.33	0.00	3.33
Total Volume	10.045	0	70	4	0
Total OI	180.773	122	250	191	250

Daily Data (22 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
2008-07-01	$89.06	$96.00	29.6%	8.5%	25.2%	25.4%	25.5%	3.4%	2.5%	5.3K	436.4K	-1.2K	0.00	98.42	N/A	N/A	4	0	111	80
2008-07-02	$83.97	$96.00	43.9%	12.6%	32.1%	46.4%	0.0%	-16.7%	-16.8%	5.0K	425.0K	-1.0K	0.00	127.25	N/A	N/A	0	0	113	80
2008-07-03	$84.39	$96.00	43.3%	12.4%	28.8%	45.6%	0.0%	-18.7%	-17.6%	4.9K	434.6K	-996	0.00	128.96	N/A	N/A	0	0	111	80
2008-07-07	$84.22	$0.00	50.3%	10.0%	28.3%	55.8%	0.0%	0.6%	-0.7%	4.8K	438.8K	-895	0.00	130.49	N/A	N/A	0	0	111	80
2008-07-08	$84.27	$0.00	41.8%	10.3%	27.8%	43.4%	0.0%	3.9%	-0.6%	4.6K	542.2K	-628	0.00	42.17	N/A	N/A	2	0	111	80
2008-07-09	$84.10	$0.00	28.2%	10.1%	27.8%	23.4%	0.0%	4.3%	-1.2%	4.6K	607.5K	-421	0.00	43.71	N/A	N/A	2	0	111	80
2008-07-10	$86.12	$0.00	33.9%	9.7%	29.4%	31.8%	0.0%	5.2%	1.0%	8.9K	1.7K	-475	0.00	32.53	N/A	N/A	2	0	112	10
2008-07-11	$85.72	$0.00	35.8%	10.3%	29.4%	34.5%	0.0%	5.5%	-1.6%	8.3K	313	-478	0.00	30.93	N/A	N/A	0	0	114	10
2008-07-14	$85.96	$0.00	35.9%	10.3%	27.5%	34.7%	0.0%	6.9%	-0.6%	8.6K	-813	-472	0.00	34.79	N/A	N/A	0	0	114	10
2008-07-15	$84.66	$0.00	36.9%	10.6%	27.6%	36.2%	0.0%	4.5%	-0.7%	7.1K	11.0K	-428	0.00	41.07	N/A	N/A	0	0	114	10
2008-07-16	$85.77	$0.00	34.0%	9.7%	28.2%	32.0%	33.1%	5.3%	0.6%	8.2K	5.0K	-445	0.00	41.71	N/A	N/A	20	0	114	10
2008-07-17	$85.50	$88.00	33.2%	9.5%	28.2%	30.8%	33.3%	-2.5%	0.4%	25.6K	-157.2K	-729	0.40	142.91	N/A	N/A	50	20	134	10
2008-07-18	$84.93	$88.00	35.1%	10.1%	28.1%	33.5%	32.7%	5.1%	-0.1%	19.2K	-36.2K	-1.1K	0.00	46.96	N/A	N/A	31	0	184	30
2008-07-21	$87.25	$88.00	31.8%	9.1%	30.1%	28.7%	30.1%	5.9%	0.4%	38.1K	-308.2K	-1.5K	0.00	69.24	N/A	N/A	22	0	130	20
2008-07-22	$86.58	$88.00	30.3%	8.7%	29.9%	26.5%	0.0%	5.9%	1.4%	40.9K	-278.6K	-1.5K	0.00	77.28	N/A	N/A	40	0	141	20
2008-07-23	$84.88	$88.00	30.8%	8.8%	29.6%	27.3%	0.0%	5.4%	0.6%	43.8K	-252.8K	-1.7K	0.00	84.30	N/A	N/A	0	0	176	20
2008-07-24	$82.81	$88.00	31.8%	9.1%	30.3%	28.7%	31.7%	-8.7%	0.4%	30.8K	-116.2K	-1.3K	0.00	143.22	N/A	N/A	6	0	176	20
2008-07-25	$84.02	$88.00	31.6%	9.1%	29.3%	28.4%	28.8%	4.4%	1.0%	38.7K	-181.0K	-1.4K	0.00	89.92	N/A	N/A	9	0	182	20
2008-07-28	$83.52	$87.00	33.3%	9.6%	29.1%	31.0%	0.0%	4.6%	-0.1%	39.7K	-170.9K	-1.4K	0.00	93.29	N/A	N/A	0	0	191	20
2008-07-29	$85.43	$87.00	31.6%	9.0%	30.6%	28.4%	0.0%	6.0%	0.8%	63.3K	-352.0K	-1.8K	3.33	89.31	N/A	N/A	3	10	217	20
2008-07-30	$88.13	$87.00	33.0%	9.5%	32.7%	30.5%	0.0%	1.4%	-2.8%	72.0K	-682.1K	-2.2K	0.00	158.64	N/A	N/A	0	0	220	30
2008-07-31	$86.63	$87.00	34.4%	9.9%	25.3%	32.6%	0.0%	0.9%	-5.5%	65.7K	-518.5K	-2.0K	0.00	158.79	N/A	N/A	0	0	220	30