VAW Options History — October 2008

In October 2008, VAW traded between $43.08 and $67.19. ATM implied volatility averaged 72.5%, placing in the 72.9% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 8.6% (HV 20d: 81.1%). Max pain ranged from $56.00 to $81.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 9.09.

Notable Days

  • 2008-10-20: Highest Volume — 431 contracts
  • 2008-10-06: Largest IV spike — 42.7% change
  • 2008-10-08: Highest IV Rank — 100.0%
  • 2008-10-17: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.03$43.08$67.19$67.19$52.27
Max Pain$61.09$56.00$81.00$75.00$56.00
ATM IV72.5%52.9%104.5%61.6%65.5%
Expected Move19.1%15.2%22.7%17.7%18.8%
HV 20d81.1%58.8%100.5%58.8%98.0%
HV 60d56.1%40.4%68.6%40.4%68.6%
IV Rank72.9%49.7%100.0%72.4%57.8%
IV Percentile96.9%91.7%100.0%98.8%93.7%
Term Structure-8.7%-24.4%2.2%-10.6%-4.1%
VWIV66.1%50.6%80.9%55.7%61.2%
Skew 25d6.8%-27.2%48.5%27.5%12.0%
Skew 10d16.6%-20.3%51.8%22.5%24.1%
Call IV 25d60.9%32.1%77.6%32.1%58.7%
Put IV 25d67.7%34.8%90.8%59.6%70.7%
Bid-Ask Spread %96.1264.09116.31111.6786.13
Gamma HHI0.170.070.570.070.45
Net GEX6.7K-35.5K78.9K-2.6K63.9K
Net DEX1.6M-2.8M3.4M2.3M-2.8M
Net VEX-6.9K-24.5K-1.5K-3.9K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.090.00130.000.007.80
Total Volume46.870431044
Total OI1,419.2617803,1427803,142

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$67.19$75.0061.6%17.7%58.8%72.4%0.0%27.5%-10.6%-2.6K2.3M-3.9K0.00111.67N/AN/A00365415
2008-10-02$61.23$75.0057.4%16.5%65.0%66.3%0.0%4.9%-3.7%-5.6K2.2M-2.6K0.00110.15N/AN/A50365415
2008-10-03$60.60$75.0052.9%15.2%64.3%59.7%0.0%-27.2%-24.4%-3.9K2.2M-2.6K0.00111.86N/AN/A00370415
2008-10-06$58.02$81.0075.5%15.9%65.1%92.8%55.7%0.5%-9.8%-3.5K2.2M-2.3K0.2964.09N/AN/A7020370415
2008-10-07$54.39$65.0065.4%18.3%66.2%78.1%0.0%10.2%-3.7%4.4K2.1M-1.5K0.0086.52N/AN/A120440435
2008-10-08$55.74$65.0082.3%19.8%66.7%100.0%69.1%5.6%-7.2%3.7K2.1M-2.3K0.3387.95N/AN/A3010450435
2008-10-09$52.42$60.0073.0%20.6%67.2%86.8%0.0%7.0%-10.3%4.9K1.9M-2.3K0.0089.95N/AN/A00480445
2008-10-10$52.18$60.0077.1%20.1%64.7%92.6%70.4%13.0%-4.8%4.8K2.1M-1.7K0.00100.00N/AN/A450480445
2008-10-13$57.70$56.0097.5%20.4%76.4%100.0%0.0%11.9%-11.3%10.4K1.8M-3.5K0.0081.59N/AN/A200525445
2008-10-14$56.16$56.00100.8%20.1%75.4%100.0%50.6%-1.4%-13.2%12.3K1.6M-3.9K0.0098.63N/AN/A010545445
2008-10-15$49.25$57.00104.5%20.9%85.4%100.0%73.3%-0.6%-9.1%4.2K1.9M-2.0K130.0075.54N/AN/A1130545455
2008-10-16$51.32$58.0074.5%21.3%86.9%67.4%0.0%-2.4%-4.6%-6.5K2.5M-2.6K0.0086.46N/AN/A100546585
2008-10-17$51.21$58.0079.1%22.7%82.5%72.4%78.6%14.5%-5.2%-6.7K2.3M-3.5K0.00106.43N/AN/A040556585
2008-10-20$55.07$58.0075.8%21.7%89.1%68.9%65.3%-3.5%-22.9%-10.2K2.2M-3.7K4.32116.31N/AN/A81350343605
2008-10-21$52.28$58.0061.2%17.6%89.7%53.1%59.4%12.7%-5.0%-35.5K3.0M-5.5K0.2783.70N/AN/A11130424945
2008-10-22$48.09$56.0069.5%19.9%92.6%62.1%0.0%-0.7%-5.2%-25.7K3.2M-5.5K0.00102.97N/AN/A00515955
2008-10-23$47.08$56.0069.9%20.1%92.2%62.5%80.9%-5.9%-4.4%-26.6K3.2M-5.2K0.00103.95N/AN/A20495955
2008-10-24$45.36$56.0073.7%21.1%92.4%66.6%65.3%8.0%-13.0%-24.6K3.4M-4.2K0.0098.50N/AN/A30495955
2008-10-27$43.08$56.0062.1%17.8%89.4%54.0%0.0%0.8%-23.5%-26.4K3.2M-3.8K0.00103.21N/AN/A270498955
2008-10-28$47.77$56.0064.3%18.4%98.4%56.5%63.7%11.3%-1.9%78.9K-782.0K-22.9K2.50102.38N/AN/A4102,173945
2008-10-29$49.71$56.0058.1%16.7%100.5%49.7%61.2%48.5%2.2%72.0K-1.8M-23.7K0.00116.08N/AN/A1302,174955
2008-10-30$51.62$56.0065.6%18.8%97.7%57.9%0.0%10.7%-5.1%72.3K-2.5M-24.5K0.0086.73N/AN/A002,187955
2008-10-31$52.27$56.0065.5%18.8%98.0%57.8%0.0%12.0%-4.1%63.9K-2.8M-24.2K7.8086.13N/AN/A5392,187955