VAW Options History — December 2008

In December 2008, VAW traded between $41.38 and $49.12. ATM implied volatility averaged 63.1%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 19.0% (HV 20d: 82.2%). Max pain ranged from $40.00 to $76.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2008-12-08: Highest Volume — 250 contracts
  • 2008-12-05: Largest IV drop — 27.5% change
  • 2008-12-04: Highest IV Rank — 73.3%
  • 2008-12-04: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.12$41.38$49.12$41.38$45.40
Max Pain$47.05$40.00$76.00$76.00$41.00
ATM IV63.1%46.8%79.9%67.1%52.8%
Expected Move18.6%13.4%22.9%19.2%15.1%
HV 20d82.2%55.1%96.0%93.5%55.1%
HV 60d85.9%83.8%87.6%85.2%83.9%
IV Rank52.3%30.3%73.3%59.5%37.5%
IV Percentile84.3%72.2%97.6%90.1%73.8%
Term Structure-6.1%-29.8%20.9%20.9%10.1%
VWIV64.5%52.0%72.6%52.0%56.6%
Skew 25d10.8%0.3%21.0%21.0%10.9%
Skew 10d21.1%0.4%41.5%41.3%11.8%
Call IV 25d52.7%41.7%68.1%59.5%41.7%
Put IV 25d63.5%46.7%80.5%80.5%52.5%
Bid-Ask Spread %71.2738.47111.30104.78111.30
Gamma HHI0.150.080.350.090.16
Net GEX-12.9K-88.8K24.5K-5.6K15.8K
Net DEX1.9M-798.2K4.0M3.1M-798.2K
Net VEX-4.8K-6.2K-3.6K-3.6K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.006.001.670.00
Total Volume71.72702501200
Total OI1,906.5918522,7371,7131,221

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$41.38$76.0067.1%19.2%93.5%59.5%52.0%21.0%20.9%-5.6K3.1M-3.6K0.00104.78N/AN/A01206691,044
2008-12-02$43.48$76.0069.4%19.9%96.0%62.0%61.2%12.2%-0.3%-10.5K3.8M-3.8K1.67100.57N/AN/A30506691,164
2008-12-03$43.54$76.0069.8%20.0%93.5%62.3%0.0%10.1%-1.8%-12.1K4.0M-3.9K0.00105.19N/AN/A006991,214
2008-12-04$42.43$76.0079.9%22.9%91.7%73.3%61.6%4.1%-16.1%-12.9K3.8M-3.9K0.22103.13N/AN/A184406991,214
2008-12-05$43.67$40.0057.9%20.1%90.7%49.5%69.9%12.7%-9.8%12.4K4.0M-4.2K0.0053.37N/AN/A4008731,254
2008-12-08$46.98$40.0065.1%20.5%93.9%57.2%72.6%5.6%-3.8%-26.7K2.8M-5.4K1.0838.47N/AN/A1201309131,254
2008-12-09$46.61$40.0069.0%22.8%94.0%61.5%0.0%20.9%-10.1%-45.1K2.4M-6.2K0.0059.05N/AN/A001,0131,384
2008-12-10$48.14$40.0058.9%20.5%93.3%47.6%0.0%16.5%-11.4%-53.9K2.6M-5.8K0.0039.37N/AN/A1009831,384
2008-12-11$45.86$40.0072.9%20.9%91.8%63.7%0.0%6.0%-8.2%-44.8K2.6M-5.2K0.5060.90N/AN/A20109931,384
2008-12-12$46.54$40.0068.4%19.6%87.1%57.5%0.0%13.1%-10.0%6553.5M-5.0K0.0059.68N/AN/A101,0131,394
2008-12-15$46.07$40.0071.1%20.4%83.9%60.7%72.2%10.2%-11.1%-18.7K3.0M-4.1K1.5639.75N/AN/A901401,0141,394
2008-12-16$48.83$41.0069.1%19.8%85.9%58.3%67.9%14.9%-10.7%-60.9K2.5M-4.9K1.6757.99N/AN/A30501,0941,534
2008-12-17$49.12$41.0070.2%20.1%85.7%59.6%0.0%16.6%-11.1%-88.8K2.0M-4.9K0.0062.04N/AN/A401,1041,584
2008-12-18$47.05$41.0060.2%17.3%82.0%47.9%66.3%13.4%7.2%-29.4K3.1M-4.9K3.0860.49N/AN/A13401,1061,584
2008-12-19$46.49$41.0060.5%17.3%73.6%48.2%0.0%8.0%-2.0%-9.7K3.2M-4.2K0.0080.32N/AN/A501,1131,624
2008-12-22$43.28$41.0056.4%16.2%75.4%43.5%56.6%8.3%-29.8%15.2K-487.5K-3.7K1.5787.99N/AN/A83130466386
2008-12-23$43.08$41.0055.9%16.0%73.1%42.8%0.0%0.3%-25.5%8.5K-538.3K-4.7K0.00103.18N/AN/A400532459
2008-12-24$43.05$41.0057.8%16.6%71.4%45.1%0.0%5.2%-10.5%13.2K-399.5K-5.1K0.2244.17N/AN/A9020572459
2008-12-26$43.85$41.0056.5%16.2%69.5%43.1%0.0%5.1%-9.3%21.3K-568.2K-5.6K0.0056.72N/AN/A00662479
2008-12-29$43.24$41.0053.6%15.4%69.6%39.6%0.0%10.8%-3.3%24.5K-440.0K-5.3K6.0057.63N/AN/A1060662479
2008-12-30$44.52$41.0046.8%13.4%57.3%30.3%0.0%10.8%11.5%23.1K-647.3K-5.1K0.0081.83N/AN/A180664539
2008-12-31$45.40$41.0052.8%15.1%55.1%37.5%0.0%10.9%10.1%15.8K-798.2K-5.4K0.00111.30N/AN/A00682539