VAW Options History — May 2009

In May 2009, VAW traded between $50.63 and $54.41. ATM implied volatility averaged 43.7%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 1.8% (HV 20d: 41.9%). Max pain ranged from $42.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.27.

Notable Days

2009-05-12: Highest Volume — 134 contracts
2009-05-07: Largest IV drop — 33.6% change
2009-05-06: Highest IV Rank — 52.8%
2009-05-01: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.91	$50.63	$54.41	$50.96	$54.41
Max Pain	$45.80	$42.00	$46.00	$42.00	$46.00
ATM IV	43.7%	34.7%	65.4%	48.0%	36.5%
Expected Move	11.5%	10.0%	13.8%	13.8%	10.5%
HV 20d	41.9%	39.5%	45.2%	40.0%	40.7%
HV 60d	45.5%	41.9%	47.2%	45.9%	41.9%
IV Rank	25.7%	13.7%	52.8%	31.8%	15.8%
IV Percentile	42.9%	26.2%	83.7%	55.2%	28.2%
Term Structure	-0.7%	-17.7%	3.3%	-17.7%	2.0%
VWIV	39.4%	34.3%	42.4%	41.6%	37.1%
Skew 25d	6.0%	-0.7%	9.4%	9.4%	4.7%
Skew 10d	5.9%	-0.3%	14.8%	14.8%	6.5%
Call IV 25d	36.5%	33.6%	38.7%	37.2%	34.4%
Put IV 25d	42.4%	38.0%	46.6%	46.6%	39.1%
Bid-Ask Spread %	75.12	57.76	109.67	109.67	85.18
Gamma HHI	0.15	0.09	0.21	0.16	0.15
Net GEX	20.8K	11.2K	30.6K	11.2K	30.6K
Net DEX	-970.5K	-1.4M	-560.0K	-785.0K	-1.4M
Net VEX	-6.4K	-7.6K	-5.2K	-5.8K	-7.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.00	10.00	0.00	0.00
Total Volume	33.3	0	134	3	6
Total OI	1,037.5	892	1,275	892	1,146

Daily Data (20 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
2009-05-01	$50.96	$42.00	48.0%	13.8%	40.0%	31.8%	0.0%	9.4%	-17.7%	11.2K	-785.0K	-5.8K	0.00	109.67	N/A	N/A	3	0	348	544
2009-05-04	$54.09	$46.00	54.7%	11.7%	44.4%	39.9%	41.6%	6.0%	-0.4%	15.9K	-1.1M	-5.3K	0.00	73.26	N/A	N/A	3	0	351	544
2009-05-05	$53.88	$46.00	59.4%	11.1%	43.6%	45.6%	0.0%	6.3%	2.3%	14.3K	-1.1M	-5.2K	0.00	59.79	N/A	N/A	0	3	354	544
2009-05-06	$53.96	$46.00	65.4%	11.1%	40.7%	52.8%	40.6%	6.5%	2.5%	13.7K	-1.1M	-5.2K	0.00	58.92	N/A	N/A	10	0	354	547
2009-05-07	$52.30	$46.00	43.5%	11.5%	43.1%	26.3%	42.4%	5.3%	2.8%	12.0K	-1.1M	-5.2K	0.74	84.42	N/A	N/A	65	48	361	547
2009-05-08	$53.78	$46.00	37.6%	10.8%	41.3%	19.2%	40.9%	7.0%	0.1%	30.3K	-1.2M	-5.5K	2.10	61.36	N/A	N/A	21	44	422	595
2009-05-11	$52.73	$46.00	45.2%	11.8%	42.3%	28.4%	0.0%	7.7%	-2.1%	20.6K	-957.0K	-5.7K	10.00	57.76	N/A	N/A	2	20	442	639
2009-05-12	$53.16	$46.00	42.0%	11.4%	41.0%	24.6%	37.3%	6.1%	-2.4%	24.9K	-1.0M	-5.6K	2.05	62.33	N/A	N/A	44	90	444	659
2009-05-13	$50.63	$46.00	45.0%	11.8%	45.0%	28.1%	40.9%	9.0%	-1.7%	18.4K	-560.0K	-7.1K	0.00	69.68	N/A	N/A	7	0	488	749
2009-05-14	$51.41	$46.00	41.0%	11.8%	45.1%	23.4%	0.0%	6.5%	-2.7%	20.8K	-564.2K	-7.1K	0.45	69.43	N/A	N/A	22	10	494	749
2009-05-15	$51.31	$46.00	41.3%	11.8%	45.2%	21.8%	0.0%	8.3%	-2.4%	28.8K	-651.2K	-7.0K	0.00	65.79	N/A	N/A	0	0	516	759
2009-05-18	$53.21	$46.00	38.8%	11.1%	41.4%	18.7%	0.0%	5.2%	-2.5%	24.4K	-976.0K	-6.3K	0.00	74.99	N/A	N/A	4	0	398	527
2009-05-19	$53.79	$46.00	34.7%	10.0%	40.8%	13.7%	34.3%	7.2%	3.3%	20.8K	-1.1M	-6.3K	0.81	71.29	N/A	N/A	42	34	402	527
2009-05-20	$54.04	$46.00	35.8%	10.3%	40.8%	15.0%	0.0%	4.7%	2.3%	20.5K	-1.2M	-6.8K	3.08	87.48	N/A	N/A	13	40	421	561
2009-05-21	$52.75	$46.00	46.4%	13.3%	42.2%	28.1%	39.3%	-0.7%	0.0%	20.7K	-825.3K	-7.1K	0.00	78.20	N/A	N/A	33	0	434	601
2009-05-22	$52.73	$46.00	46.7%	13.4%	39.8%	28.5%	0.0%	0.9%	-1.2%	22.2K	-901.4K	-7.5K	0.00	87.35	N/A	N/A	0	0	457	601
2009-05-26	$53.84	$46.00	36.0%	10.3%	39.5%	15.2%	0.0%	5.9%	1.8%	21.7K	-1.1M	-7.4K	1.18	72.19	N/A	N/A	17	20	457	601
2009-05-27	$52.24	$46.00	38.6%	11.1%	41.2%	18.5%	0.0%	8.0%	1.5%	20.6K	-942.0K	-7.6K	0.00	87.17	N/A	N/A	0	5	460	621
2009-05-28	$52.95	$46.00	38.2%	10.9%	40.5%	17.9%	0.0%	5.2%	0.8%	22.8K	-859.4K	-7.6K	0.00	86.18	N/A	N/A	60	0	460	626
2009-05-29	$54.41	$46.00	36.5%	10.5%	40.7%	15.8%	37.1%	4.7%	2.0%	30.6K	-1.4M	-7.6K	0.00	85.18	N/A	N/A	6	0	520	626