VAW Options History — August 2009

In August 2009, VAW traded between $58.07 and $61.87. ATM implied volatility averaged 31.7%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 4.2% (HV 20d: 27.5%). Max pain ranged from $51.00 to $55.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2009-08-03: Highest Volume — 110 contracts
  • 2009-08-12: Largest IV spike — 29.2% change
  • 2009-08-12: Highest IV Rank — 20.7%
  • 2009-08-06: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.48$58.07$61.87$60.80$60.25
Max Pain$53.33$51.00$55.00$51.00$55.00
ATM IV31.7%26.7%40.4%26.7%30.9%
Expected Move8.9%7.6%10.1%7.6%8.9%
HV 20d27.5%24.3%30.9%28.5%24.4%
HV 60d31.4%29.3%33.6%33.6%29.4%
IV Rank7.9%3.7%20.7%3.7%5.4%
IV Percentile8.9%1.2%30.6%1.2%5.6%
Term Structure0.8%-17.4%3.6%3.6%0.8%
VWIV32.3%29.8%35.6%31.7%33.3%
Skew 25d0.6%-21.9%5.3%-1.8%3.2%
Skew 10d3.3%-21.9%13.8%-1.8%5.6%
Call IV 25d31.7%27.6%46.2%27.6%30.9%
Put IV 25d32.4%24.3%36.4%25.8%34.1%
Bid-Ask Spread %87.6459.96111.78110.3483.59
Gamma HHI0.120.100.170.170.12
Net GEX392-7.4K14.5K-7.4K14.5K
Net DEX-3.8M-4.7M-2.9M-3.9M-3.0M
Net VEX-16.9K-18.0K-15.9K-16.7K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0010.000.570.00
Total Volume23.524011011010
Total OI2,252.9052,0762,3482,1562,159

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$60.80$51.0026.7%7.6%28.5%3.7%0.0%-1.8%3.6%-7.4K-3.9M-16.7K0.57110.34N/AN/A70401,0681,088
2009-08-04$60.77$51.0029.3%8.4%25.5%6.9%0.0%-5.7%1.3%-6.3K-4.1M-17.5K0.23107.31N/AN/A44101,1181,128
2009-08-05$61.12$51.0028.7%8.2%24.9%6.2%0.0%-1.5%3.5%-2.1K-4.4M-17.3K0.33109.61N/AN/A30101,1591,138
2009-08-06$60.62$51.0035.2%10.1%25.8%14.3%0.0%-21.9%-17.4%3.0K-4.5M-17.6K0.00111.78N/AN/A0101,1891,148
2009-08-07$61.19$52.0032.6%8.9%25.3%11.1%31.7%2.4%1.7%1.3K-4.6M-17.5K10.0083.48N/AN/A1101,1891,148
2009-08-10$60.18$52.0034.0%8.8%26.7%12.7%0.0%5.3%3.3%-888-4.2M-17.6K0.0077.31N/AN/A1001,1701,158
2009-08-11$59.94$52.0031.3%9.1%27.1%9.4%32.9%2.9%1.0%-1.5K-4.0M-17.7K3.3376.57N/AN/A3101,1801,158
2009-08-12$60.70$53.0040.4%9.1%24.3%20.7%0.0%1.8%0.9%-2.6K-4.3M-17.2K0.0091.32N/AN/A0101,1801,168
2009-08-13$61.87$53.0031.3%9.0%24.3%9.1%0.0%1.5%1.4%-4.8K-4.7M-16.4K0.0085.85N/AN/A001,1701,178
2009-08-14$60.38$54.0032.1%9.2%26.7%7.0%0.0%1.9%1.1%-2.9K-3.9M-17.2K0.0090.03N/AN/A001,1101,178
2009-08-17$58.07$54.0033.9%9.7%30.5%9.3%0.0%2.8%0.5%-1.2K-2.9M-18.0K0.0076.43N/AN/A001,1101,178
2009-08-18$59.00$54.0032.8%9.4%30.7%7.9%33.6%3.2%0.7%-5.9K-3.2M-17.5K0.0059.96N/AN/A4501,1101,178
2009-08-19$59.62$54.0032.0%9.2%30.9%6.9%0.0%3.5%1.1%1.1K-3.5M-17.1K0.0064.89N/AN/A1001,1211,168
2009-08-20$59.92$54.0031.6%9.1%28.9%6.3%0.0%3.0%1.2%439-3.8M-16.8K2.0082.95N/AN/A10201,1311,168
2009-08-21$61.47$54.0030.9%8.8%30.0%5.4%0.0%2.1%2.2%-199-4.3M-16.1K0.0081.73N/AN/A001,1211,188
2009-08-24$60.94$55.0030.4%8.7%30.3%4.9%30.4%2.6%2.1%476-3.3M-15.9K4.5066.46N/AN/A10459501,126
2009-08-25$60.82$55.0031.2%8.9%30.0%5.8%0.0%0.9%0.6%1.1K-3.2M-16.2K0.0095.34N/AN/A0409601,171
2009-08-26$60.54$55.0030.4%8.7%28.8%4.8%30.7%2.3%2.3%944-3.1M-16.3K0.0094.59N/AN/A4009601,171
2009-08-27$60.82$55.0030.0%8.6%27.3%4.3%35.6%2.1%2.0%11.6K-3.1M-16.4K0.0096.25N/AN/A409901,171
2009-08-28$61.09$55.0029.8%8.6%27.2%4.1%29.8%2.6%2.0%9.7K-3.3M-16.1K0.0094.67N/AN/A209861,171
2009-08-31$60.25$55.0030.9%8.9%24.4%5.4%33.3%3.2%0.8%14.5K-3.0M-16.0K0.0083.59N/AN/A1009881,171