VAW Options History — September 2009

In September 2009, VAW traded between $58.56 and $66.23. ATM implied volatility averaged 30.7%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.1% (HV 20d: 23.7%). Max pain ranged from $55.00 to $66.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2009-09-10: Highest Volume — 280 contracts
  • 2009-09-22: Largest IV drop — 9.3% change
  • 2009-09-01: Highest IV Rank — 8.0%
  • 2009-09-08: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.26$58.56$66.23$58.56$63.64
Max Pain$62.10$55.00$66.00$55.00$66.00
ATM IV30.7%29.1%32.9%32.9%30.8%
Expected Move8.9%8.4%9.6%9.4%8.8%
HV 20d23.7%19.6%27.4%26.3%20.6%
HV 60d27.4%25.2%29.9%29.9%25.2%
IV Rank5.2%3.2%8.0%8.0%5.3%
IV Percentile7.1%1.6%15.1%10.7%9.5%
Term Structure1.0%-2.2%2.6%-0.1%1.4%
VWIV35.4%29.8%52.1%52.1%33.1%
Skew 25d4.1%-3.9%8.2%-0.3%6.6%
Skew 10d5.3%-8.0%10.8%-8.0%-4.3%
Call IV 25d30.0%28.1%33.4%33.4%28.1%
Put IV 25d34.1%28.3%38.0%33.1%34.7%
Bid-Ask Spread %49.6420.67110.16106.9976.73
Gamma HHI0.120.090.160.150.11
Net GEX-14.2K-65.7K36.4K14.9K-60.6K
Net DEX-3.6M-6.3M-1.4M-2.8M-2.0M
Net VEX-17.8K-22.1K-14.4K-16.0K-21.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.008.758.750.00
Total Volume55.71402803920
Total OI2,322.8571,8882,8402,1692,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$58.56$55.0032.9%9.4%26.3%8.0%52.1%-0.3%-0.1%14.9K-2.8M-16.0K8.75106.99N/AN/A4359981,171
2009-09-02$58.99$55.0032.7%9.4%26.4%7.7%0.0%5.2%1.3%10.7K-2.2M-16.5K0.0099.36N/AN/A2009941,205
2009-09-03$60.05$55.0030.8%8.8%27.2%5.3%31.1%3.4%1.9%16.2K-2.9M-16.3K0.1737.58N/AN/A4071,0141,205
2009-09-04$60.83$60.0030.2%9.2%27.4%4.5%0.0%2.1%0.8%36.4K-3.4M-15.9K0.0036.17N/AN/A001,0541,212
2009-09-08$61.78$60.0029.9%9.6%27.2%4.2%0.0%-3.9%0.4%17.9K-4.0M-15.0K0.0057.38N/AN/A0101,0541,212
2009-09-09$62.21$60.0029.1%9.0%27.2%3.2%0.0%7.0%1.1%15.7K-4.1M-14.8K0.0020.67N/AN/A1001,0541,222
2009-09-10$62.81$60.0030.3%8.7%27.1%4.6%0.0%8.2%2.3%15.2K-4.4M-14.4K1.0028.03N/AN/A1401401,0641,222
2009-09-11$62.77$60.0030.4%8.7%26.3%4.8%0.0%3.6%1.8%12.8K-4.6M-17.4K0.0025.47N/AN/A1401,2041,362
2009-09-14$63.70$60.0030.9%8.9%25.0%5.4%0.0%6.8%1.5%2.3K-5.1M-16.3K0.3830.49N/AN/A130501,2101,362
2009-09-15$65.17$60.0029.9%8.6%20.5%4.1%0.0%3.1%2.0%-3.3K-5.8M-17.5K0.0033.99N/AN/A1101,3151,412
2009-09-16$66.23$60.0030.6%8.8%20.5%5.0%29.8%2.1%0.7%-2.2K-6.3M-16.6K1.4736.74N/AN/A15221,3251,412
2009-09-17$65.80$65.0030.1%8.6%20.9%4.5%31.0%2.9%1.1%-8.3K-6.2M-16.6K3.5032.97N/AN/A20701,3261,434
2009-09-18$65.79$66.0029.8%8.5%21.0%4.0%0.0%3.1%1.6%-27.8K-5.9M-17.8K0.4326.93N/AN/A23101,3361,504
2009-09-21$65.24$66.0032.2%9.2%19.9%7.1%0.0%4.4%-0.1%-28.3K-2.8M-18.0K1.3840.66N/AN/A4055898990
2009-09-22$65.97$66.0029.2%8.4%19.6%3.3%0.0%4.6%2.6%-33.4K-3.1M-18.5K5.0030.09N/AN/A10509281,045
2009-09-23$64.64$66.0030.1%8.6%21.4%4.5%0.0%3.1%1.5%-41.8K-2.8M-18.9K2.5068.76N/AN/A20509381,095
2009-09-24$63.43$66.0031.9%9.1%22.6%6.7%0.0%5.7%-2.2%-48.7K-1.9M-21.0K2.7032.15N/AN/A30819581,145
2009-09-25$62.70$66.0031.1%8.9%23.1%5.7%33.1%6.4%0.3%-58.1K-1.4M-22.1K1.0046.05N/AN/A10109781,221
2009-09-28$64.00$66.0030.7%8.8%24.1%5.2%0.0%6.2%1.4%-65.7K-1.7M-21.5K0.0565.15N/AN/A2019881,231
2009-09-29$64.13$66.0032.1%9.2%23.3%7.0%0.0%5.7%0.4%-61.3K-1.9M-21.1K0.00110.16N/AN/A201,0081,232
2009-09-30$63.64$66.0030.8%8.8%20.6%5.3%0.0%6.6%1.4%-60.6K-2.0M-21.3K0.0076.73N/AN/A2001,0101,232