VAW Options History — January 2009

In January 2009, VAW traded between $41.97 and $48.17. ATM implied volatility averaged 53.0%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 4.7% (HV 20d: 48.3%). Max pain ranged from $41.00 to $48.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2009-01-27: Highest Volume — 240 contracts
  • 2009-01-12: Largest IV spike — 45.0% change
  • 2009-01-14: Highest IV Rank — 64.9%
  • 2009-01-30: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.70$41.97$48.17$47.11$42.05
Max Pain$47.40$41.00$48.00$41.00$47.00
ATM IV53.0%44.3%75.5%47.0%55.4%
Expected Move14.0%12.3%15.9%13.5%15.9%
HV 20d48.3%44.6%56.4%56.4%46.9%
HV 60d74.8%68.1%83.3%83.3%68.6%
IV Rank37.8%27.3%64.9%30.6%40.7%
IV Percentile73.7%66.7%94.8%71.8%73.0%
Term Structure3.1%0.0%13.5%7.1%1.1%
VWIV43.7%27.5%51.9%43.8%50.2%
Skew 25d8.4%-18.9%24.0%20.8%8.2%
Skew 10d10.1%-18.1%31.5%24.1%2.8%
Call IV 25d46.7%36.9%76.4%40.6%48.0%
Put IV 25d55.1%38.1%61.9%61.4%56.2%
Bid-Ask Spread %66.3031.67128.98128.9872.07
Gamma HHI0.160.120.230.120.18
Net GEX-2.5K-20.4K23.1K8.9K-8.3K
Net DEX-130.2K-1.9M1.5M-1.5M1.5M
Net VEX-4.8K-5.8K-3.8K-4.3K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.004.000.001.00
Total Volume40.40240010
Total OI1,244.758831,5131,2211,243

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$47.11$41.0047.0%13.5%56.4%30.6%0.0%20.8%7.1%8.9K-1.5M-4.3K0.00128.98N/AN/A00682539
2009-01-05$47.24$47.0057.7%12.4%55.3%43.5%43.8%24.0%4.7%9.4K-1.5M-4.2K0.00101.11N/AN/A200682539
2009-01-06$48.17$47.0046.8%12.3%54.9%30.3%44.5%9.0%4.5%6.7K-1.9M-4.2K3.8438.40N/AN/A43165702539
2009-01-07$47.25$48.0050.1%12.8%49.2%34.3%35.3%-4.0%4.7%-3.0K-1.6M-5.4K3.0069.21N/AN/A2060725682
2009-01-08$47.66$48.0044.3%13.0%49.2%27.3%44.0%8.9%2.6%-7.5K-1.5M-5.5K0.0036.68N/AN/A210745722
2009-01-09$46.45$48.0045.8%13.8%48.6%29.1%44.4%8.2%0.9%-1.7K-1.4M-5.7K1.0031.67N/AN/A1010766722
2009-01-12$44.56$48.0066.5%14.2%47.8%54.0%0.0%10.4%1.4%5.5K-919.4K-5.6K0.0048.64N/AN/A00776732
2009-01-13$44.68$48.0070.3%14.4%47.4%58.7%0.0%10.9%1.0%7.7K-812.9K-5.4K0.0049.54N/AN/A00776732
2009-01-14$42.80$48.0075.5%13.9%49.5%64.9%0.0%5.4%4.4%23.1K-102.0K-5.2K0.0060.12N/AN/A00776732
2009-01-15$43.96$48.0050.4%14.5%45.4%34.7%36.7%-2.5%4.1%11.0K-609.4K-4.8K0.0077.02N/AN/A50776732
2009-01-16$44.63$48.0051.5%14.8%45.8%36.0%47.9%-18.9%0.3%-9.0K-1.1M-4.8K0.0072.79N/AN/A200781732
2009-01-20$41.97$48.0055.2%15.8%48.3%40.4%0.0%16.6%13.5%-7.4K853.1K-4.2K0.0065.87N/AN/A030391492
2009-01-21$43.73$48.0049.7%14.3%51.0%33.9%0.0%9.3%3.0%-10.2K1.1M-3.8K0.0072.73N/AN/A00391502
2009-01-22$42.90$48.0050.2%14.4%44.6%34.4%46.4%9.9%1.8%-8.6K1.1M-3.9K0.0058.47N/AN/A073391502
2009-01-23$43.65$48.0049.5%14.2%45.0%33.6%27.5%12.1%2.4%-16.0K1.3M-4.1K0.0088.24N/AN/A011391564
2009-01-26$43.17$48.0050.5%14.5%45.2%34.8%46.3%11.5%0.4%-16.6K1.1M-4.3K4.0075.39N/AN/A1040391575
2009-01-27$43.53$48.0047.8%13.7%44.8%31.5%48.8%12.9%4.0%-20.4K1.4M-4.2K0.2072.83N/AN/A20040391615
2009-01-28$44.90$47.0047.0%13.5%45.8%30.6%51.9%7.2%0.0%-5.9K954.3K-5.8K1.0050.01N/AN/A1010568655
2009-01-29$43.67$47.0048.8%14.0%45.8%32.7%0.0%7.4%0.3%-6.9K1.1M-5.4K0.0056.16N/AN/A00578665
2009-01-30$42.05$47.0055.4%15.9%46.9%40.7%50.2%8.2%1.1%-8.3K1.5M-4.6K0.0072.07N/AN/A010578665