VAW Options History — April 2009

In April 2009, VAW traded between $44.96 and $51.01. ATM implied volatility averaged 45.0%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 1.5% (HV 20d: 43.5%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 4.88.

Notable Days

  • 2009-04-20: Highest Volume — 190 contracts
  • 2009-04-22: Largest IV spike — 20.0% change
  • 2009-04-22: Highest IV Rank — 36.2%
  • 2009-04-07: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.75$44.96$51.01$45.20$51.01
Max Pain$41.90$41.00$42.00$41.00$42.00
ATM IV45.0%41.4%51.6%45.4%42.3%
Expected Move13.1%11.9%15.5%13.0%12.1%
HV 20d43.5%40.8%48.2%45.1%41.2%
HV 60d46.9%45.0%48.3%47.4%46.0%
IV Rank28.1%23.9%36.2%28.6%24.9%
IV Percentile48.5%39.7%64.3%50.8%39.7%
Term Structure5.2%-7.0%16.4%6.0%-7.0%
VWIV49.2%40.0%54.7%54.7%40.0%
Skew 25d10.2%0.0%25.6%1.7%9.9%
Skew 10d13.3%-16.9%25.6%3.0%14.0%
Call IV 25d40.7%34.1%51.1%44.5%37.2%
Put IV 25d50.9%46.2%67.0%46.2%47.1%
Bid-Ask Spread %73.6835.83111.73110.92107.50
Gamma HHI0.140.130.210.210.15
Net GEX1.3K-10.2K11.4K-10.2K11.4K
Net DEX-608.0K-1.0M-98.9K-484.8K-770.9K
Net VEX-4.5K-6.7K-2.9K-2.9K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.880.0032.330.000.00
Total Volume30.8570190222
Total OI863.196381,002750890

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$45.20$41.0045.4%13.0%45.1%28.6%0.0%1.7%6.0%-10.2K-484.8K-2.9K0.00110.92N/AN/A220299451
2009-04-02$46.69$41.0047.0%13.5%42.0%30.5%0.0%3.6%7.1%-2.2K-618.0K-3.5K0.4099.19N/AN/A2510319451
2009-04-03$47.46$42.0043.3%12.3%41.8%26.2%0.0%18.5%12.9%-1.8K-751.0K-3.4K0.0041.36N/AN/A40343461
2009-04-06$46.57$42.0047.9%15.0%42.8%31.7%54.7%10.6%-5.6%-231-669.8K-3.4K1.2838.29N/AN/A1823347461
2009-04-07$44.96$42.0051.1%15.5%42.0%35.5%0.0%0.0%-5.0%-2.3K-547.2K-3.7K0.0037.26N/AN/A50362484
2009-04-08$45.66$42.0045.7%15.0%41.7%29.0%53.0%15.0%-4.4%-1.8K-584.5K-3.6K20.0035.83N/AN/A120364484
2009-04-09$47.81$42.0041.4%11.9%43.5%23.9%45.2%25.6%11.2%1.2K-845.9K-3.5K0.6352.81N/AN/A1610365494
2009-04-13$48.30$42.0042.6%12.2%43.5%25.3%50.0%10.8%9.6%7.4K-983.1K-3.4K32.3347.12N/AN/A397380494
2009-04-14$47.21$42.0045.3%13.0%45.0%28.5%52.5%10.6%8.8%3.3K-885.8K-3.7K0.0051.65N/AN/A040382571
2009-04-15$48.16$42.0042.9%12.3%45.2%25.6%0.0%9.4%14.3%3.8K-871.6K-3.7K0.0053.09N/AN/A00382611
2009-04-16$48.58$42.0042.5%12.2%44.4%25.2%40.0%9.8%10.9%-586-817.9K-3.3K0.1465.60N/AN/A7010327599
2009-04-17$48.75$42.0042.3%12.1%44.3%24.9%0.0%9.2%11.5%5.4K-1.0M-3.6K0.0083.53N/AN/A00393609
2009-04-20$46.18$42.0046.6%13.4%48.2%30.1%0.0%10.7%7.2%711-312.5K-3.6K2.8069.14N/AN/A50140276362
2009-04-21$47.40$42.0043.0%12.3%44.1%25.8%0.0%8.9%16.4%-1.9K-98.9K-6.3K1.0066.94N/AN/A4040326502
2009-04-22$47.80$42.0051.6%14.8%44.1%36.2%0.0%9.0%-0.2%-2.3K-231.5K-6.7K0.0095.90N/AN/A02346542
2009-04-23$47.81$42.0043.0%12.3%44.0%25.8%0.0%9.5%9.6%-1.7K-279.1K-6.6K0.0063.22N/AN/A00346544
2009-04-24$49.87$42.0044.9%12.9%44.0%28.1%0.0%8.5%4.4%5.3K-508.2K-6.3K0.00107.79N/AN/A00346544
2009-04-27$49.00$42.0047.1%13.5%43.5%30.7%0.0%10.8%1.2%2.9K-467.2K-6.2K0.00104.57N/AN/A00346544
2009-04-28$48.52$42.0046.5%13.3%40.8%30.0%0.0%11.3%3.3%1.9K-376.1K-6.3K0.00103.81N/AN/A00346544
2009-04-29$49.81$42.0042.3%12.1%41.5%24.9%0.0%10.2%-3.2%9.3K-620.2K-5.9K0.00111.73N/AN/A00346544
2009-04-30$51.01$42.0042.3%12.1%41.2%24.9%0.0%9.9%-7.0%11.4K-770.9K-5.8K0.00107.50N/AN/A20346544