VAW Options History — March 2009

In March 2009, VAW traded between $35.58 and $46.42. ATM implied volatility averaged 52.5%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 2.1% (HV 20d: 50.4%). Max pain ranged from $38.00 to $49.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 3.15.

Notable Days

  • 2009-03-31: Highest Volume — 114 contracts
  • 2009-03-24: Largest IV spike — 48.2% change
  • 2009-03-24: Highest IV Rank — 58.7%
  • 2009-03-24: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.50$35.58$46.42$35.67$43.92
Max Pain$42.00$38.00$49.00$49.00$41.00
ATM IV52.5%42.8%70.3%50.3%51.7%
Expected Move14.9%12.3%20.2%14.4%14.8%
HV 20d50.4%45.7%53.6%47.8%45.7%
HV 60d47.8%44.8%50.2%49.7%47.0%
IV Rank37.2%25.5%58.7%34.6%36.2%
IV Percentile66.4%48.4%90.5%66.7%64.7%
Term Structure-2.2%-17.6%5.3%-7.6%-0.7%
VWIV53.5%48.0%64.7%64.7%55.2%
Skew 25d4.4%-14.0%13.9%-14.0%1.5%
Skew 10d9.0%-15.9%23.5%-1.3%1.7%
Call IV 25d50.6%37.5%70.2%56.9%51.6%
Put IV 25d55.0%42.9%64.7%42.9%53.1%
Bid-Ask Spread %69.7432.95104.11104.1187.59
Gamma HHI0.160.100.280.240.10
Net GEX-10.3K-24.6K125-5.1K-3.7K
Net DEX1.1M-582.3K2.1M1.9M-329.4K
Net VEX-2.2K-3.0K-1.2K-1.6K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.150.0020.000.874.70
Total Volume36.81801140114
Total OI1,010.2275211,4221,035636

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$35.67$49.0050.3%14.4%47.8%34.6%0.0%-14.0%-7.6%-5.1K1.9M-1.6K0.00104.11N/AN/A00396639
2009-03-03$35.76$49.0061.1%17.5%47.9%47.6%64.7%13.9%-2.1%-5.6K1.9M-1.5K0.0097.96N/AN/A010396639
2009-03-04$37.10$49.0052.1%14.9%49.5%36.7%50.2%7.8%3.9%-6.8K2.0M-1.6K0.8799.44N/AN/A4640396649
2009-03-05$35.70$48.0055.2%15.8%50.0%40.4%52.5%0.7%1.6%-7.9K2.1M-1.3K0.00102.83N/AN/A30413679
2009-03-06$35.85$41.0059.7%16.5%48.8%45.9%0.0%11.0%-4.7%-7.7K2.1M-1.3K0.0055.25N/AN/A50410669
2009-03-09$35.58$41.0059.6%16.6%46.2%45.7%54.7%7.9%-4.1%-7.6K2.1M-1.2K0.0035.84N/AN/A046413669
2009-03-10$37.88$41.0054.3%14.9%53.2%39.4%57.5%9.7%-3.1%-14.6K2.1M-1.6K1.0032.95N/AN/A5050413715
2009-03-11$38.78$38.0052.4%14.4%52.7%37.1%0.0%9.9%-1.2%-13.7K1.9M-2.1K0.0036.03N/AN/A00463765
2009-03-12$39.70$38.0049.0%14.0%53.6%33.0%50.9%9.1%-2.0%-18.2K1.9M-1.9K0.0060.46N/AN/A220463765
2009-03-13$39.99$38.0052.6%15.1%53.5%37.3%56.0%-11.5%-1.5%-13.5K1.6M-2.6K0.0066.47N/AN/A060485765
2009-03-16$40.25$41.0050.2%14.4%53.6%34.5%50.1%7.7%-1.6%-14.8K1.7M-2.2K14.0042.68N/AN/A570485825
2009-03-17$40.64$41.0047.3%13.6%50.8%30.9%53.2%6.0%0.9%-24.6K1.9M-2.3K20.0043.66N/AN/A120485895
2009-03-18$41.93$41.0045.0%12.9%52.0%28.2%48.0%5.3%3.1%-24.0K1.7M-2.4K0.3335.24N/AN/A3010486915
2009-03-19$42.55$41.0049.6%14.2%51.9%33.7%49.6%-0.4%4.5%-14.9K1.2M-2.3K0.2053.56N/AN/A5611513885
2009-03-20$41.56$41.0053.7%15.4%52.7%38.6%55.2%4.8%-1.5%-14.0K1.2M-2.6K2.0044.36N/AN/A1020556866
2009-03-23$44.22$41.0047.5%13.6%51.0%31.1%0.0%13.7%-9.5%-10.2K-156.7K-2.4K0.4584.35N/AN/A2210194327
2009-03-24$44.00$41.0070.3%20.2%50.1%58.7%0.0%-6.6%-17.6%-8.2K-57.2K-2.8K0.0098.71N/AN/A00210337
2009-03-25$44.50$41.0049.8%14.3%49.4%33.9%0.0%4.0%0.2%-6.7K-259.0K-2.5K0.0089.20N/AN/A420210337
2009-03-26$46.42$41.0042.8%12.3%50.7%25.5%0.0%10.6%-8.7%125-582.3K-2.3K0.5490.13N/AN/A3720252337
2009-03-27$45.33$41.0047.2%13.5%51.8%30.9%0.0%6.0%5.3%-703-506.0K-2.9K0.0085.74N/AN/A00279357
2009-03-30$43.58$41.0054.0%15.5%45.7%39.0%0.0%0.6%-1.6%-4.5K-272.6K-3.0K0.0087.74N/AN/A00279357
2009-03-31$43.92$41.0051.7%14.8%45.7%36.2%0.0%1.5%-0.7%-3.7K-329.4K-2.9K4.7087.59N/AN/A2094279357