VAW Options History — July 2009

In July 2009, VAW traded between $48.73 and $58.58. ATM implied volatility averaged 34.8%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.7% (HV 20d: 30.1%). Max pain ranged from $50.00 to $51.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2009-07-24: Highest Volume — 240 contracts
  • 2009-07-22: Largest IV drop — 21.4% change
  • 2009-07-08: Highest IV Rank — 21.1%
  • 2009-07-09: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.70$48.73$58.58$52.16$58.58
Max Pain$50.73$50.00$51.00$50.00$51.00
ATM IV34.8%28.1%40.8%34.8%32.2%
Expected Move9.9%8.1%11.6%10.0%9.2%
HV 20d30.1%26.0%34.0%31.8%27.6%
HV 60d35.9%33.1%38.3%38.3%33.5%
IV Rank13.7%5.5%21.1%13.8%10.5%
IV Percentile17.6%3.2%31.7%15.9%11.5%
Term Structure3.2%-1.7%13.1%2.6%0.8%
VWIV31.6%24.5%38.3%34.0%25.3%
Skew 25d6.4%0.7%15.9%7.8%4.2%
Skew 10d8.5%-2.3%28.6%-2.3%1.0%
Call IV 25d31.7%22.4%37.4%32.5%30.0%
Put IV 25d38.0%30.2%44.7%40.3%34.3%
Bid-Ask Spread %56.5129.09105.9155.07105.91
Gamma HHI0.150.110.280.110.13
Net GEX12.0K-3.3K40.4K13.3K2.6K
Net DEX-1.1M-3.3M755.9K-890.4K-3.3M
Net VEX-14.9K-18.9K-12.4K-13.6K-18.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.0010.000.000.00
Total Volume49.4090240110
Total OI1,785.2731,4992,1661,4992,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$52.16$50.0034.8%10.0%31.8%13.8%0.0%7.8%2.6%13.3K-890.4K-13.6K0.0055.07N/AN/A10776723
2009-07-02$50.97$50.0036.8%10.6%31.4%16.2%34.0%12.0%0.7%15.9K-477.6K-13.3K1.2550.59N/AN/A810776723
2009-07-06$50.29$50.0038.2%10.6%31.5%17.9%0.0%8.3%0.5%21.1K86.5K-12.4K4.4034.90N/AN/A2088784733
2009-07-07$48.99$50.0038.3%10.9%32.3%18.0%0.0%8.6%2.7%15.4K339.7K-12.8K0.0039.35N/AN/A00804811
2009-07-08$48.73$50.0040.8%11.2%30.6%21.1%36.8%2.3%13.1%15.9K575.5K-12.7K0.0045.23N/AN/A200804811
2009-07-09$49.18$50.0038.7%11.6%31.0%18.5%38.3%4.7%2.8%20.9K428.6K-12.7K0.8229.09N/AN/A8872824811
2009-07-10$49.04$51.0040.5%11.5%30.2%20.7%0.0%3.5%4.7%20.2K755.9K-13.2K0.0036.96N/AN/A00885883
2009-07-13$50.20$51.0039.5%11.1%32.1%19.5%0.0%3.3%-0.7%40.4K568.5K-13.0K0.3253.50N/AN/A3110885883
2009-07-14$50.59$51.0038.3%10.9%30.5%18.0%0.0%5.3%-0.5%31.6K28.3K-14.1K0.0032.31N/AN/A00916893
2009-07-15$52.71$51.0034.8%9.9%33.1%13.7%34.4%4.4%0.9%14.3K-939.0K-14.3K0.5041.66N/AN/A4020916893
2009-07-16$53.72$51.0035.6%10.2%33.4%14.7%33.3%2.6%-0.8%2.2K-1.6M-14.6K0.4138.52N/AN/A3213950913
2009-07-17$53.87$51.0036.2%10.4%33.4%15.5%0.0%0.7%-0.2%5.1K-1.8M-14.8K0.0034.65N/AN/A00970910
2009-07-20$54.94$51.0035.8%10.3%34.0%15.0%25.9%1.0%-1.2%9.1K-1.2M-14.4K3.0844.91N/AN/A1340800815
2009-07-21$55.54$51.0035.8%10.3%26.2%14.9%0.0%1.1%-1.7%5.2K-1.5M-14.7K10.0062.56N/AN/A330812855
2009-07-22$55.71$51.0028.1%8.1%26.0%5.5%0.0%4.0%2.0%16.4K-1.5M-14.1K0.5764.55N/AN/A3520815866
2009-07-23$57.56$51.0030.6%8.8%27.7%8.5%0.0%15.9%10.4%-315-2.1M-15.0K2.4783.26N/AN/A1742850866
2009-07-24$58.05$51.0028.8%8.3%27.0%6.3%24.5%12.8%9.3%3.3K-2.2M-15.9K1.4059.79N/AN/A100140867928
2009-07-27$58.27$51.0029.5%8.5%26.9%7.2%0.0%11.6%8.5%-3.3K-2.5M-18.4K0.0081.54N/AN/A5409671,068
2009-07-28$57.75$51.0030.9%8.9%27.3%8.9%0.0%10.0%5.8%5.7K-2.6M-18.6K0.9166.49N/AN/A22201,0211,068
2009-07-29$56.51$51.0029.6%8.5%28.4%7.3%25.3%8.7%6.9%9.3K-2.3M-18.9K0.0082.31N/AN/A2601,0431,078
2009-07-30$58.10$51.0031.4%9.0%29.6%9.5%0.0%7.0%3.8%390-2.9M-18.3K0.48100.10N/AN/A42201,0361,078
2009-07-31$58.58$51.0032.2%9.2%27.6%10.5%0.0%4.2%0.8%2.6K-3.3M-18.3K0.00105.91N/AN/A1001,0781,088