VAW Options History — June 2009

In June 2009, VAW traded between $49.66 and $56.84. ATM implied volatility averaged 39.2%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.2% (HV 20d: 36.0%). Max pain ranged from $46.00 to $52.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2009-06-19: Highest Volume — 158 contracts
  • 2009-06-19: Largest IV spike — 47.4% change
  • 2009-06-19: Highest IV Rank — 44.0%
  • 2009-06-19: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.78$49.66$56.84$56.17$52.03
Max Pain$50.45$46.00$52.00$46.00$50.00
ATM IV39.2%33.7%59.3%36.2%35.5%
Expected Move11.4%9.6%17.0%10.4%10.2%
HV 20d36.0%31.5%41.9%41.9%33.7%
HV 60d40.1%38.6%41.9%41.1%38.6%
IV Rank19.2%12.3%44.0%15.4%14.7%
IV Percentile30.5%17.9%76.6%27.8%17.9%
Term Structure-0.4%-12.3%8.8%3.6%1.2%
VWIV40.4%28.7%67.4%30.4%36.2%
Skew 25d7.7%-1.3%23.5%3.9%13.8%
Skew 10d9.5%-7.3%35.6%-2.8%14.6%
Call IV 25d35.2%33.0%37.8%34.6%33.0%
Put IV 25d42.9%32.8%57.7%38.4%46.7%
Bid-Ask Spread %57.7632.55107.9895.8555.84
Gamma HHI0.160.100.360.150.12
Net GEX17.7K-19.5K46.1K26.3K11.2K
Net DEX-1.2M-2.2M438.9K-1.8M-711.5K
Net VEX-9.9K-13.5K-7.1K-7.2K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.003.003.000.00
Total Volume51.86401584020
Total OI1,311.1821,1231,5711,1501,479

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$56.17$46.0036.2%10.4%41.9%15.4%30.4%3.9%3.6%26.3K-1.8M-7.2K3.0095.85N/AN/A1030524626
2009-06-02$56.68$46.0035.0%10.0%36.7%14.0%36.4%4.5%3.2%19.7K-1.8M-7.2K0.0091.72N/AN/A400524656
2009-06-03$54.74$46.0036.4%10.4%38.9%15.7%0.0%0.4%3.8%21.4K-1.5M-7.6K0.00107.98N/AN/A20503656
2009-06-04$55.89$46.0036.1%10.4%39.6%15.4%0.0%3.8%3.4%21.4K-1.6M-7.1K1.00101.66N/AN/A1010505656
2009-06-05$55.50$52.0038.7%11.4%37.8%18.6%0.0%4.0%-2.5%20.9K-1.6M-7.4K0.0047.43N/AN/A200515656
2009-06-08$54.86$52.0038.6%11.6%36.9%18.4%0.0%7.9%-3.2%34.2K-1.5M-7.5K2.9038.88N/AN/A1029535656
2009-06-09$56.11$52.0036.5%11.3%36.8%15.8%0.0%4.5%-1.9%27.8K-1.7M-7.6K0.0039.47N/AN/A830545685
2009-06-10$56.13$52.0037.2%11.4%36.8%16.7%28.7%5.3%-1.6%32.0K-2.0M-8.9K1.0047.24N/AN/A3030627685
2009-06-11$56.84$52.0033.7%9.6%31.5%12.3%0.0%8.8%8.8%23.0K-2.2M-8.8K0.0056.47N/AN/A030647715
2009-06-12$56.13$52.0039.0%11.2%31.9%18.9%39.3%-1.3%-2.4%29.6K-2.0M-9.3K0.0032.55N/AN/A60647745
2009-06-15$54.25$52.0040.2%11.5%34.7%20.4%41.3%3.7%-2.0%26.9K-1.5M-9.6K0.0034.34N/AN/A180650745
2009-06-16$52.82$52.0041.8%12.0%33.8%22.4%0.0%13.1%-2.5%34.0K-1.3M-9.8K0.0061.24N/AN/A00661745
2009-06-17$52.18$52.0040.8%11.7%33.8%21.2%41.3%10.5%-1.4%46.1K-1.1M-9.3K2.5841.70N/AN/A3693661745
2009-06-18$52.50$52.0040.2%11.5%33.8%20.4%0.0%8.3%-0.5%20.3K-1.1M-9.8K0.1241.06N/AN/A8310662838
2009-06-19$52.52$52.0059.3%17.0%32.7%44.0%67.4%23.5%-12.3%28.5K-1.3M-10.8K1.1979.25N/AN/A7286723848
2009-06-22$49.66$52.0044.7%12.8%38.2%26.0%43.4%5.2%-3.5%-18.2K281.6K-11.2K1.0957.83N/AN/A2325469654
2009-06-23$50.40$52.0042.0%12.0%37.8%22.7%41.9%7.8%-0.5%-19.5K438.9K-11.5K0.2343.75N/AN/A12729491674
2009-06-24$50.89$50.0039.6%11.3%36.7%19.6%39.9%9.3%0.3%-6.9K-157.5K-13.1K0.0051.05N/AN/A550617703
2009-06-25$52.12$50.0038.4%11.0%37.4%18.2%0.0%8.2%0.3%1.4K-282.1K-13.0K0.0055.82N/AN/A20659703
2009-06-26$52.13$50.0036.7%10.5%35.9%16.1%38.7%16.6%0.2%166-463.8K-13.1K0.1341.06N/AN/A8010661703
2009-06-29$52.63$50.0036.1%10.4%34.0%15.4%36.2%7.9%0.0%8.6K-697.6K-13.4K0.4548.47N/AN/A2210734713
2009-06-30$52.03$50.0035.5%10.2%33.7%14.7%0.0%13.8%1.2%11.2K-711.5K-13.5K0.0055.84N/AN/A200756723