VAW Options History — February 2009 In February 2009, VAW traded between $38.11 and $45.43. ATM implied volatility averaged 51.1%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 6.8% (HV 20d: 44.3%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 6.94.
Notable Days 2009-02-04 : Highest Volume — 340 contracts2009-02-20 : Largest IV spike — 44.6% change2009-02-20 : Highest IV Rank — 63.9%2009-02-20 : Largest Expected Move — 21.4%Monthly Statistics Metric Avg Min Max Open Close Price $41.68 $38.11 $45.43 $41.48 $38.39 Max Pain $49.21 $47.00 $50.00 $47.00 $49.00 ATM IV 51.1% 43.2% 74.7% 53.9% 49.5% Expected Move 14.8% 13.2% 21.4% 15.4% 14.2% HV 20d 44.3% 38.1% 47.4% 44.4% 42.7% HV 60d 60.2% 48.6% 67.7% 67.7% 48.6% IV Rank 35.5% 26.0% 63.9% 38.9% 33.6% IV Percentile 68.7% 59.1% 94.4% 72.2% 64.7% Term Structure -1.3% -15.0% 6.2% 0.2% 0.6% VWIV 49.1% 44.2% 58.4% 48.6% 50.6% Skew 25d 7.4% -8.3% 19.2% 3.0% 0.5% Skew 10d 17.9% 1.4% 42.2% 8.7% 1.4% Call IV 25d 46.8% 42.4% 55.5% 50.2% 48.8% Put IV 25d 54.2% 40.9% 74.8% 53.2% 49.3% Bid-Ask Spread % 95.44 74.04 104.68 79.62 103.11 Gamma HHI 0.24 0.17 0.48 0.20 0.27 Net GEX -30.3K -55.3K -6.6K -10.9K -6.6K Net DEX 2.4M 1.6M 3.6M 1.8M 1.9M Net VEX -4.1K -6.9K -2.0K -3.7K -2.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.94 0.00 61.00 5.83 0.00 Total Volume 36.842 0 340 82 10 Total OI 1,468.474 926 1,782 1,253 1,025
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 2009-02-02 $41.48 $47.00 53.9% 15.4% 44.4% 38.9% 0.0% 3.0% 0.2% -10.9K 1.8M -3.7K 5.83 79.62 N/A N/A 12 70 578 675 2009-02-03 $42.30 $47.00 52.9% 15.2% 45.3% 37.7% 48.6% 5.4% 3.3% -17.8K 2.0M -4.2K 0.00 88.99 N/A N/A 41 0 588 745 2009-02-04 $42.98 $47.00 45.9% 13.2% 45.0% 29.2% 45.3% 5.6% 1.6% -16.2K 1.6M -4.9K 4.67 74.04 N/A N/A 60 280 595 745 2009-02-05 $43.98 $47.00 49.3% 14.1% 45.8% 33.4% 0.0% 13.2% 6.2% -42.0K 2.3M -6.3K 0.00 89.64 N/A N/A 0 0 653 1,025 2009-02-06 $45.43 $50.00 43.8% 13.8% 47.4% 26.7% 0.0% 11.2% -1.2% -49.8K 1.9M -6.9K 0.00 92.82 N/A N/A 11 0 653 1,025 2009-02-09 $45.34 $50.00 48.9% 14.2% 46.6% 32.8% 45.9% 11.9% -1.8% -45.7K 1.7M -6.8K 61.00 87.45 N/A N/A 1 61 664 1,025 2009-02-10 $43.35 $50.00 44.5% 14.1% 47.0% 27.6% 0.0% 12.8% -1.0% -53.8K 2.1M -6.4K 0.00 97.75 N/A N/A 5 0 664 1,086 2009-02-11 $43.36 $50.00 43.2% 13.4% 47.0% 26.0% 0.0% 9.7% 1.7% -53.8K 2.9M -5.2K 0.00 93.87 N/A N/A 0 0 659 1,086 2009-02-12 $43.81 $50.00 46.7% 13.4% 44.5% 30.2% 0.0% 9.6% -0.6% -55.3K 2.9M -5.0K 0.00 96.33 N/A N/A 0 0 659 1,086 2009-02-13 $43.27 $50.00 46.0% 13.2% 43.7% 29.4% 45.4% 12.5% -1.1% -51.6K 2.9M -4.9K 2.00 97.64 N/A N/A 5 10 659 1,086 2009-02-17 $41.13 $50.00 56.3% 16.1% 46.6% 41.8% 0.0% 8.7% -4.9% -32.0K 3.4M -3.3K 0.00 95.26 N/A N/A 0 0 664 1,096 2009-02-18 $40.93 $50.00 58.3% 16.7% 41.5% 44.2% 58.4% 9.8% -7.7% -26.1K 3.5M -3.1K 6.67 97.11 N/A N/A 3 20 664 1,086 2009-02-19 $40.44 $50.00 51.6% 14.8% 38.4% 36.1% 50.7% 3.0% -1.7% -27.3K 3.6M -2.9K 10.00 104.68 N/A N/A 1 10 665 1,106 2009-02-20 $40.63 $50.00 74.7% 21.4% 38.1% 63.9% 44.2% 19.2% -15.0% -26.8K 3.4M -3.5K 0.00 102.99 N/A N/A 1 0 666 1,116 2009-02-23 $38.11 $50.00 49.0% 14.0% 43.1% 33.0% 0.0% -8.3% -3.7% -18.9K 1.8M -2.4K 0.00 102.89 N/A N/A 11 0 297 629 2009-02-24 $39.49 $50.00 52.9% 15.2% 45.6% 37.7% 53.0% 2.8% -1.0% -18.3K 2.0M -2.1K 0.00 104.48 N/A N/A 60 0 308 629 2009-02-25 $38.83 $49.00 52.4% 15.0% 45.5% 37.1% 0.0% 5.1% -0.1% -11.5K 1.8M -2.3K 0.00 101.51 N/A N/A 0 0 368 629 2009-02-26 $38.60 $49.00 50.4% 14.5% 43.4% 34.7% 50.6% 4.7% 0.6% -11.3K 1.8M -2.2K 0.00 103.29 N/A N/A 28 0 368 629 2009-02-27 $38.39 $49.00 49.5% 14.2% 42.7% 33.6% 0.0% 0.5% 0.6% -6.6K 1.9M -2.0K 0.00 103.11 N/A N/A 0 10 396 629
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