VAW Options History — November 2008

In November 2008, VAW traded between $37.00 and $54.60. ATM implied volatility averaged 67.5%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 23.0% (HV 20d: 90.5%). Max pain ranged from $56.00 to $84.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.28.

Notable Days

2008-11-12: Highest Volume — 220 contracts
2008-11-20: Largest IV spike — 29.0% change
2008-11-20: Highest IV Rank — 74.4%
2008-11-20: Largest Expected Move — 23.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.06	$37.00	$54.60	$51.89	$46.29
Max Pain	$73.95	$56.00	$84.00	$56.00	$76.00
ATM IV	67.5%	57.0%	80.9%	70.1%	60.5%
Expected Move	18.7%	16.3%	23.2%	20.1%	17.3%
HV 20d	90.5%	83.1%	99.2%	97.1%	85.9%
HV 60d	75.5%	68.6%	82.9%	68.6%	82.7%
IV Rank	59.9%	48.5%	74.4%	62.7%	52.3%
IV Percentile	92.0%	85.3%	98.4%	94.8%	85.3%
Term Structure	-1.8%	-20.4%	34.6%	-8.0%	11.6%
VWIV	57.9%	44.1%	80.0%	59.0%	62.5%
Skew 25d	23.1%	8.3%	45.2%	13.5%	28.1%
Skew 10d	38.0%	7.1%	73.2%	21.0%	32.5%
Call IV 25d	52.1%	40.9%	63.7%	61.1%	43.8%
Put IV 25d	75.3%	62.6%	95.5%	74.7%	71.9%
Bid-Ask Spread %	100.37	86.05	114.72	89.27	106.33
Gamma HHI	0.36	0.08	0.59	0.43	0.08
Net GEX	41.3K	-10.6K	83.6K	59.9K	-5.8K
Net DEX	272.9K	-3.8M	4.6M	-2.7M	3.2M
Net VEX	-16.5K	-24.4K	-2.6K	-24.4K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.00	6.67	0.80	2.50
Total Volume	52.158	0	220	0	70
Total OI	2,955.789	1,525	3,865	3,185	1,643

Daily Data (19 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
2008-11-03	$51.89	$56.00	70.1%	20.1%	97.1%	62.7%	0.0%	13.5%	-8.0%	59.9K	-2.7M	-24.4K	0.00	89.27	N/A	N/A	0	0	2,191	994
2008-11-04	$54.60	$56.00	57.9%	16.6%	96.4%	49.4%	59.0%	21.3%	-2.6%	55.0K	-3.8M	-23.9K	0.80	105.89	N/A	N/A	50	40	2,191	994
2008-11-05	$51.27	$56.00	63.0%	18.1%	98.5%	55.0%	0.0%	14.6%	-7.0%	53.3K	-3.4M	-23.1K	0.33	114.72	N/A	N/A	30	10	2,239	1,034
2008-11-06	$48.35	$56.00	57.0%	16.3%	98.3%	48.5%	64.2%	27.9%	-11.7%	58.9K	-2.3M	-23.3K	0.48	109.51	N/A	N/A	21	10	2,269	1,034
2008-11-07	$50.03	$84.00	67.5%	17.5%	99.2%	59.9%	47.4%	18.3%	-8.9%	66.6K	-1.6M	-23.8K	0.00	86.05	N/A	N/A	0	30	2,290	1,044
2008-11-10	$49.81	$84.00	72.0%	17.6%	91.5%	64.8%	0.0%	21.9%	2.0%	55.4K	-2.6M	-23.3K	0.00	97.12	N/A	N/A	0	0	2,290	1,074
2008-11-11	$47.53	$84.00	75.2%	17.1%	92.3%	68.2%	56.7%	45.2%	-2.4%	56.2K	-1.1M	-22.6K	1.40	93.87	N/A	N/A	50	70	2,290	1,074
2008-11-12	$44.50	$82.00	79.0%	19.7%	83.2%	72.4%	61.1%	29.4%	-3.1%	57.8K	43.0K	-21.3K	0.29	90.56	N/A	N/A	170	50	2,340	1,144
2008-11-13	$48.26	$78.00	63.8%	18.3%	87.3%	55.9%	44.1%	16.9%	-10.6%	83.6K	-932.3K	-23.3K	4.80	105.56	N/A	N/A	25	120	2,510	1,184
2008-11-14	$45.21	$78.00	57.8%	16.6%	90.0%	49.4%	48.9%	32.8%	19.8%	61.2K	-667.6K	-22.8K	1.00	91.75	N/A	N/A	20	20	2,531	1,254
2008-11-17	$44.36	$78.00	68.5%	19.7%	85.1%	61.0%	58.8%	28.3%	-0.6%	69.5K	15.1K	-22.1K	0.00	94.22	N/A	N/A	20	0	2,551	1,274
2008-11-18	$43.88	$77.00	71.6%	20.5%	83.7%	64.4%	49.0%	12.2%	-11.2%	75.6K	667.4K	-21.0K	6.67	97.32	N/A	N/A	3	20	2,571	1,274
2008-11-19	$40.58	$77.00	62.7%	18.0%	83.1%	54.7%	0.0%	37.5%	34.6%	67.3K	1.2M	-19.1K	0.77	98.11	N/A	N/A	13	10	2,571	1,294
2008-11-20	$37.00	$77.00	80.9%	23.2%	88.2%	74.4%	80.0%	8.3%	-11.8%	-5.1K	4.3M	-2.6K	0.00	104.09	N/A	N/A	19	0	909	1,294
2008-11-21	$39.79	$77.00	79.0%	22.6%	92.6%	72.3%	0.0%	15.5%	-20.4%	-4.5K	4.6M	-2.8K	0.00	105.96	N/A	N/A	1	0	922	1,294
2008-11-24	$42.01	$77.00	71.4%	20.5%	93.4%	64.1%	65.7%	25.1%	-8.2%	-4.0K	3.4M	-2.8K	0.00	109.90	N/A	N/A	9	0	551	974
2008-11-25	$43.87	$76.00	63.1%	18.1%	86.7%	55.1%	0.0%	13.7%	4.7%	-4.7K	3.5M	-3.1K	0.00	100.54	N/A	N/A	0	0	560	974
2008-11-26	$45.98	$76.00	61.5%	17.6%	87.2%	53.4%	55.7%	29.3%	-1.2%	-10.6K	3.4M	-3.6K	0.22	106.25	N/A	N/A	90	20	559	974
2008-11-28	$46.29	$76.00	60.5%	17.3%	85.9%	52.3%	62.5%	28.1%	11.6%	-5.8K	3.2M	-4.1K	2.50	106.33	N/A	N/A	20	50	649	994