VAW Options History — September 2008

In September 2008, VAW traded between $66.33 and $81.61. ATM implied volatility averaged 40.8%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 1.0% (HV 20d: 39.7%). Max pain ranged from $72.00 to $83.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2008-09-10: Highest Volume — 190 contracts
  • 2008-09-29: Largest IV spike — 42.3% change
  • 2008-09-29: Highest IV Rank — 67.1%
  • 2008-09-29: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.34$66.33$81.61$81.61$68.31
Max Pain$77.52$72.00$83.00$72.00$75.00
ATM IV40.8%31.0%57.9%31.7%51.4%
Expected Move11.0%8.2%16.6%9.1%14.7%
HV 20d39.7%22.6%58.9%23.0%58.9%
HV 60d32.9%27.1%40.3%27.3%40.3%
IV Rank41.9%27.5%67.1%28.6%57.5%
IV Percentile87.1%56.0%98.8%63.9%97.6%
Term Structure-6.3%-28.5%0.7%-4.3%-22.5%
VWIV41.7%30.2%68.4%37.3%53.7%
Skew 25d-0.7%-17.8%19.7%3.8%-13.2%
Skew 10d-4.7%-27.2%18.6%4.8%-27.2%
Call IV 25d42.2%29.7%63.5%41.9%62.3%
Put IV 25d41.5%27.3%58.3%45.7%49.1%
Bid-Ask Spread %124.7581.70154.58142.89124.79
Gamma HHI0.110.070.220.220.07
Net GEX46.8K-2.1K164.7K65.5K-1.2K
Net DEX1.0M-594.9K2.1M604.1K2.1M
Net VEX-7.9K-10.8K-4.9K-8.1K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.004.800.000.00
Total Volume33.5240190352
Total OI923.0487331,294744778

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$81.61$72.0031.7%9.1%23.0%28.6%37.3%3.8%-4.3%65.5K604.1K-8.1K0.00142.89N/AN/A350438306
2008-09-03$81.51$72.0035.5%10.2%22.6%34.1%0.0%1.4%-4.9%69.8K545.8K-8.1K0.00141.82N/AN/A00471306
2008-09-04$78.21$72.0035.3%10.1%26.2%33.8%0.0%-5.2%-6.0%31.2K737.5K-7.3K0.50140.16N/AN/A2010471306
2008-09-05$79.30$83.0035.9%8.9%26.5%34.8%0.0%0.1%0.1%52.1K964.1K-7.4K0.00139.11N/AN/A240491316
2008-09-08$78.75$83.0043.8%8.2%26.5%46.3%0.0%-5.3%0.7%36.7K565.5K-7.6K0.67154.58N/AN/A3020511316
2008-09-09$74.79$83.0055.4%9.8%31.8%63.3%0.0%-7.0%-4.8%28.9K1.4M-5.9K1.43134.85N/AN/A2840541336
2008-09-10$76.19$83.0047.4%10.6%32.6%51.6%30.2%1.9%-4.8%21.8K1.5M-6.2K0.00120.66N/AN/A1900559356
2008-09-11$77.70$80.0037.1%10.6%32.3%36.5%0.0%-0.7%-4.8%93.1K494.7K-8.9K4.80137.70N/AN/A1048729356
2008-09-12$80.25$80.0031.0%8.9%34.7%27.5%0.0%0.8%-0.7%122.0K67.1K-10.5K1.00152.64N/AN/A2020739404
2008-09-15$75.88$80.0039.1%11.2%39.6%39.4%38.6%-17.8%-18.3%59.9K715.8K-9.7K0.00137.62N/AN/A100759415
2008-09-16$77.50$80.0035.9%10.3%40.6%34.7%0.0%-4.7%-3.0%90.1K771.7K-9.3K0.13141.73N/AN/A405769415
2008-09-17$74.28$80.0044.8%12.8%43.0%47.7%0.0%0.2%-7.3%64.8K1.3M-7.8K0.00131.47N/AN/A00809415
2008-09-18$75.98$80.0034.5%9.9%43.6%32.7%36.1%-6.6%-0.4%83.4K1.1M-7.9K0.14146.19N/AN/A7010809415
2008-09-19$80.38$75.0036.5%10.5%48.4%35.6%0.0%19.7%-1.8%164.7K-594.9K-10.8K0.0096.48N/AN/A00869425
2008-09-22$78.34$75.0039.3%11.3%49.1%39.8%32.4%0.8%-3.5%1.6K930.0K-9.4K0.00113.37N/AN/A20328405
2008-09-23$75.53$75.0041.5%11.9%49.9%43.0%37.2%13.1%-6.1%1.7K1.3M-8.4K0.8084.79N/AN/A2520330405
2008-09-24$74.85$75.0040.6%11.6%49.6%41.7%0.0%2.6%-3.8%-1.7K1.6M-8.2K0.0083.20N/AN/A00350425
2008-09-25$74.75$75.0040.8%11.7%49.2%41.9%0.0%3.8%-3.5%-2901.7M-7.7K0.0081.70N/AN/A30350425
2008-09-26$72.77$75.0040.7%11.7%49.1%41.8%0.0%4.3%-3.6%-1391.9M-6.3K0.0099.51N/AN/A00353415
2008-09-29$66.33$75.0057.9%16.6%57.6%67.1%68.4%-7.1%-28.5%-2.1K1.9M-5.2K0.83114.36N/AN/A1210353415
2008-09-30$68.31$75.0051.4%14.7%58.9%57.5%53.7%-13.2%-22.5%-1.2K2.1M-4.9K0.00124.79N/AN/A20363415