VAW Options History — October 2009

In October 2009, VAW traded between $60.16 and $66.92. ATM implied volatility averaged 31.1%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.6% (HV 20d: 26.5%). Max pain ranged from $65.00 to $67.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2009-10-19: Highest Volume — 184 contracts
  • 2009-10-30: Largest IV spike — 17.1% change
  • 2009-10-30: Highest IV Rank — 19.8%
  • 2009-10-02: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.05$60.16$66.92$61.13$60.16
Max Pain$65.68$65.00$67.00$66.00$65.00
ATM IV31.1%26.4%37.6%34.5%37.2%
Expected Move9.1%7.8%10.8%9.9%10.7%
HV 20d26.5%25.1%30.9%25.9%30.9%
HV 60d26.0%24.5%27.4%26.8%27.4%
IV Rank7.0%0.0%19.8%10.0%19.8%
IV Percentile12.0%0.0%35.3%19.4%35.3%
Term Structure-0.5%-9.4%1.8%-0.5%-0.3%
VWIV31.7%27.1%41.7%41.7%36.8%
Skew 25d4.1%1.6%12.7%7.0%2.4%
Skew 10d5.2%3.1%22.5%8.6%4.8%
Call IV 25d29.5%26.4%35.0%29.1%35.0%
Put IV 25d33.6%29.2%40.6%36.1%37.4%
Bid-Ask Spread %31.8213.3080.1879.3338.37
Gamma HHI0.130.090.210.100.11
Net GEX-18.5K-101.2K52.0K-52.0K42.0K
Net DEX-2.8M-4.7M-413.2K-1.2M-1.5M
Net VEX-18.8K-22.0K-16.7K-21.6K-17.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.006.000.005.00
Total Volume35.045018410124
Total OI2,285.8642,1762,4092,2622,234

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$61.13$66.0034.5%9.9%25.9%10.0%0.0%7.0%-0.5%-52.0K-1.2M-21.6K0.0079.33N/AN/A1001,0301,232
2009-10-02$60.72$66.0037.6%10.8%25.3%14.1%41.7%12.7%-9.4%-44.4K-413.2K-22.0K1.0080.18N/AN/A10101,0401,232
2009-10-05$62.05$67.0033.8%9.8%26.1%9.2%0.0%4.1%-1.7%-49.4K-1.0M-21.2K2.5032.28N/AN/A4101,0501,232
2009-10-06$63.26$67.0033.0%9.6%26.4%8.2%31.7%4.4%-1.6%-57.5K-1.8M-21.0K1.1532.07N/AN/A20231,0541,232
2009-10-07$63.49$66.0032.0%9.6%26.3%6.8%0.0%4.3%-2.0%-58.4K-1.9M-21.2K0.6726.73N/AN/A15101,0741,245
2009-10-08$64.83$66.0030.0%9.3%27.1%4.3%0.0%4.7%-1.0%-60.2K-2.7M-20.4K0.0029.09N/AN/A0101,0841,245
2009-10-09$64.87$66.0028.4%9.0%27.1%2.2%0.0%4.9%-0.1%-70.7K-2.6M-20.1K0.0030.32N/AN/A0101,0841,245
2009-10-12$65.01$66.0033.2%9.3%26.6%8.3%0.0%4.2%0.2%-77.5K-2.9M-19.3K6.0031.40N/AN/A201201,0841,255
2009-10-13$65.35$66.0031.6%9.1%25.4%6.3%0.0%4.6%0.2%-91.8K-3.0M-19.6K0.0030.76N/AN/A1001,1041,295
2009-10-14$66.65$66.0026.4%8.6%25.8%0.0%0.0%3.5%0.8%-68.3K-3.8M-18.4K0.0032.54N/AN/A0101,1141,295
2009-10-15$66.92$66.0030.1%8.6%25.7%4.8%0.0%3.5%0.4%-63.4K-4.0M-17.8K0.0036.34N/AN/A001,1141,285
2009-10-16$66.06$66.0029.9%8.6%26.1%6.5%0.0%4.1%-0.1%-101.2K-3.6M-18.2K0.0040.78N/AN/A001,1141,285
2009-10-19$66.91$66.0028.0%8.0%26.3%2.9%29.9%2.9%1.8%-16.4K-4.0M-16.7K1.1923.79N/AN/A841001,0711,121
2009-10-20$66.21$65.0027.8%8.0%26.3%2.6%28.4%3.2%0.9%26.4K-4.3M-16.7K0.4318.46N/AN/A70301,1551,021
2009-10-21$65.29$65.0028.8%8.3%25.8%4.5%28.2%3.5%0.8%46.1K-4.2M-17.8K1.0015.89N/AN/A551,2251,011
2009-10-22$66.19$65.0027.1%7.8%25.1%1.3%27.1%2.8%1.0%46.2K-4.7M-16.9K0.7517.10N/AN/A431,2251,011
2009-10-23$64.85$65.0027.8%8.0%25.9%2.7%0.0%3.4%1.0%48.7K-4.0M-17.5K0.0017.42N/AN/A001,2251,014
2009-10-26$63.38$65.0030.2%8.7%26.3%7.0%0.0%3.1%0.0%50.1K-3.2M-17.5K0.0013.30N/AN/A2001,2251,014
2009-10-27$62.74$65.0030.5%8.8%26.5%7.6%0.0%2.7%-0.4%49.4K-2.8M-17.6K0.0026.21N/AN/A001,2251,014
2009-10-28$60.60$65.0034.0%9.7%29.0%14.0%0.0%1.6%-1.0%42.4K-1.6M-17.8K0.0031.01N/AN/A0101,2281,014
2009-10-29$62.50$65.0031.7%9.1%27.7%9.9%29.8%3.3%0.3%52.0K-2.7M-17.3K5.0016.75N/AN/A4201,2281,004
2009-10-30$60.16$65.0037.2%10.7%30.9%19.8%36.8%2.4%-0.3%42.0K-1.5M-17.7K0.0038.37N/AN/A01241,2301,004