VAW Options History — August 2008

In August 2008, VAW traded between $81.33 and $85.27. ATM implied volatility averaged 28.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 0.6% (HV 20d: 28.9%). Max pain ranged from $72.00 to $87.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2008-08-18: Highest Volume — 164 contracts
  • 2008-08-04: Largest IV spike — 23.7% change
  • 2008-08-04: Highest IV Rank — 31.5%
  • 2008-08-04: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.25$81.33$85.27$84.75$84.29
Max Pain$72.71$72.00$87.00$87.00$72.00
ATM IV28.3%23.7%33.7%27.2%30.3%
Expected Move8.3%7.6%9.6%7.8%8.7%
HV 20d28.9%24.8%31.2%26.6%24.8%
HV 60d27.5%26.8%28.0%26.8%26.9%
IV Rank23.5%16.8%31.5%22.0%26.6%
IV Percentile38.4%15.5%72.6%30.6%52.0%
Term Structure0.8%-3.2%2.9%2.1%-3.2%
VWIV29.9%26.2%34.3%31.5%28.4%
Skew 25d4.1%1.0%6.8%5.4%1.3%
Skew 10d6.3%-29.9%20.3%7.7%4.9%
Call IV 25d31.0%23.2%42.4%23.6%42.4%
Put IV 25d35.1%28.2%43.8%29.0%43.8%
Bid-Ask Spread %94.8639.90146.92103.69146.92
Gamma HHI0.150.080.260.130.24
Net GEX36.7K4.3K78.4K55.6K78.4K
Net DEX193.6K-258.7K862.7K-189.9K38.0K
Net VEX-4.4K-9.2K-846-1.4K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.005.150.001.00
Total Volume32.76201642020
Total OI435.571250724250724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$84.75$87.0027.2%7.8%26.6%22.0%0.0%5.4%2.1%55.6K-189.9K-1.4K0.00103.69N/AN/A20022030
2008-08-04$81.33$72.0033.7%9.6%30.4%31.5%31.5%6.6%-1.2%28.9K-8.4K-9670.0044.62N/AN/A23024030
2008-08-05$82.21$72.0029.3%8.9%30.7%25.1%0.0%6.8%1.6%31.5K-26.0K-9720.0048.12N/AN/A0025030
2008-08-06$83.37$72.0029.0%8.7%31.2%24.6%0.0%6.0%0.9%39.8K-85.3K-1.1K0.0046.72N/AN/A12024030
2008-08-07$82.21$72.0028.5%8.6%30.2%24.0%0.0%5.9%1.7%30.8K-9.6K-8750.0051.84N/AN/A0024630
2008-08-08$82.49$72.0030.1%8.7%30.2%26.2%0.0%5.7%1.0%27.8K6.3K-8460.0039.90N/AN/A04024030
2008-08-11$82.02$72.0027.4%8.5%30.2%22.2%0.0%6.4%1.7%12.5K203.1K-1.4K0.0057.04N/AN/A0024070
2008-08-12$82.51$72.0023.7%8.4%30.0%16.8%29.0%5.8%1.6%12.9K199.7K-1.4K0.2256.77N/AN/A601324070
2008-08-13$84.43$72.0024.0%8.6%30.8%17.3%0.0%5.9%0.7%39.8K-40.1K-2.7K0.0054.00N/AN/A0030083
2008-08-14$83.95$72.0029.1%8.3%30.8%24.8%0.0%1.2%2.1%59.6K-258.7K-2.8K0.00137.61N/AN/A05530083
2008-08-15$83.10$72.0028.7%8.2%30.9%24.2%26.9%6.0%1.8%17.3K358.7K-3.4K5.1560.56N/AN/A1367300138
2008-08-18$82.65$72.0027.6%7.9%29.1%22.5%26.2%6.0%2.9%4.3K522.9K-4.6K0.4089.22N/AN/A11747180185
2008-08-19$82.32$72.0028.6%8.2%29.1%24.1%0.0%5.8%1.8%41.0K458.6K-6.6K0.0091.04N/AN/A04297232
2008-08-20$83.50$72.0028.4%8.1%28.9%23.7%28.9%1.1%-1.0%44.3K281.3K-7.0K5.00142.14N/AN/A210297236
2008-08-21$84.44$72.0026.7%7.7%27.8%21.2%34.3%1.0%1.9%44.1K192.9K-7.4K2.50142.91N/AN/A410299246
2008-08-22$84.37$72.0026.7%7.6%27.3%21.2%0.0%1.1%1.8%42.2K262.2K-7.5K0.00144.18N/AN/A040299256
2008-08-25$82.18$72.0026.8%7.7%28.8%21.4%0.0%5.0%2.1%35.4K862.7K-7.2K0.0099.89N/AN/A00299296
2008-08-26$82.91$72.0028.9%8.3%27.7%24.4%0.0%1.2%-1.3%29.6K735.3K-7.5K0.00145.10N/AN/A00299296
2008-08-27$83.98$72.0029.4%8.4%25.5%25.2%32.6%1.2%0.7%33.5K551.9K-7.8K0.00143.03N/AN/A780299296
2008-08-28$85.27$72.0029.3%8.4%25.6%25.1%31.0%1.3%-2.7%62.2K10.7K-9.1K0.00146.69N/AN/A530375296
2008-08-29$84.29$72.0030.3%8.7%24.8%26.6%28.4%1.3%-3.2%78.4K38.0K-9.2K1.00146.92N/AN/A1010428296