VAW Options History — November 2009

In November 2009, VAW traded between $60.68 and $68.20. ATM implied volatility averaged 30.6%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 0.6% (HV 20d: 30.0%). Max pain ranged from $57.00 to $65.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.31.

Notable Days

  • 2009-11-05: Highest Volume — 90 contracts
  • 2009-11-27: Largest IV spike — 12.6% change
  • 2009-11-02: Highest IV Rank — 21.7%
  • 2009-11-02: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.55$60.68$68.20$60.68$66.90
Max Pain$58.55$57.00$65.00$65.00$57.00
ATM IV30.6%25.9%38.2%38.2%29.3%
Expected Move8.8%7.4%11.0%11.0%8.4%
HV 20d30.0%21.1%32.3%30.0%21.1%
HV 60d26.6%25.6%27.7%27.4%26.0%
IV Rank7.9%0.0%21.7%21.7%6.2%
IV Percentile12.8%0.0%37.7%37.7%7.5%
Term Structure-0.6%-6.2%1.5%-1.6%-6.2%
VWIV31.3%20.8%36.6%36.6%20.8%
Skew 25d3.0%1.3%4.7%2.4%4.7%
Skew 10d5.9%2.9%9.6%2.9%7.5%
Call IV 25d29.9%26.0%35.8%35.8%27.5%
Put IV 25d32.9%27.4%38.3%38.3%32.2%
Bid-Ask Spread %45.7519.1262.5624.8550.07
Gamma HHI0.220.110.370.110.30
Net GEX58.6K-83.2K102.4K24.0K70.9K
Net DEX-5.0M-7.1M-1.4M-1.4M-5.7M
Net VEX-14.4K-17.8K-10.1K-17.8K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.0010.005.007.50
Total Volume20.050901010
Total OI2,381.452,1622,5152,3132,202

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$60.68$65.0038.2%11.0%30.0%21.7%0.0%2.4%-1.6%24.0K-1.4M-17.8K0.0024.85N/AN/A0101,2301,083
2009-11-03$61.54$65.0036.6%10.5%29.6%18.8%36.6%2.9%-0.6%28.2K-1.9M-17.6K5.0031.39N/AN/A2101,2301,073
2009-11-04$61.47$65.0036.8%10.6%29.5%19.2%36.3%3.0%-0.6%27.4K-1.8M-17.5K0.0030.11N/AN/A6401,2311,083
2009-11-05$63.06$64.0033.0%9.5%30.1%12.1%0.0%4.2%0.3%47.9K-3.0M-17.5K0.0019.12N/AN/A9001,2851,083
2009-11-06$63.27$57.0031.2%9.3%30.1%8.8%34.1%4.4%-1.0%72.5K-3.4M-17.8K2.5032.20N/AN/A4101,3751,083
2009-11-09$65.30$57.0030.9%9.0%32.3%8.3%31.7%3.8%-0.8%79.6K-4.8M-16.2K0.0952.21N/AN/A4341,3751,093
2009-11-10$65.36$57.0029.5%8.8%32.2%5.7%32.2%3.8%0.4%88.4K-4.9M-16.6K10.0052.08N/AN/A1101,4081,097
2009-11-11$65.93$57.0028.3%8.7%31.6%3.6%0.0%3.4%0.7%89.1K-5.3M-16.0K0.0055.53N/AN/A0101,4081,087
2009-11-12$65.29$57.0031.4%9.0%31.7%9.2%30.9%2.9%-0.0%95.5K-4.9M-16.0K0.0055.92N/AN/A021,4081,097
2009-11-13$65.76$57.0029.9%8.6%31.5%6.4%0.0%3.2%1.0%102.4K-5.3M-15.4K0.0060.10N/AN/A001,4081,097
2009-11-16$67.34$57.0029.9%8.6%32.3%6.4%0.0%2.6%1.1%76.8K-6.5M-13.4K0.0044.55N/AN/A001,4081,097
2009-11-17$67.93$57.0030.0%8.6%32.2%6.6%33.1%2.1%1.2%59.0K-7.0M-12.8K0.0062.06N/AN/A101,4081,097
2009-11-18$67.91$57.0029.6%8.5%31.7%6.0%0.0%2.1%1.5%47.7K-7.1M-12.2K0.0034.06N/AN/A001,4081,097
2009-11-19$66.86$57.0029.6%8.5%31.9%6.0%29.6%2.8%1.5%57.8K-6.4M-13.2K0.0059.45N/AN/A0101,4081,097
2009-11-20$66.85$57.0029.0%8.3%31.0%4.8%30.1%2.3%1.4%-83.2K-6.5M-12.7K0.1736.00N/AN/A60101,4081,107
2009-11-23$67.45$57.0027.7%7.9%29.7%2.4%28.7%1.9%-2.6%71.3K-5.9M-11.7K0.2054.83N/AN/A511,219943
2009-11-24$67.27$57.0025.9%7.4%29.4%0.0%0.0%1.9%-2.3%73.3K-5.9M-11.1K0.0036.49N/AN/A001,219943
2009-11-25$68.20$57.0026.1%7.5%25.8%0.3%0.0%1.3%-1.0%67.0K-6.4M-10.1K0.0061.53N/AN/A1001,219943
2009-11-27$66.58$57.0029.4%8.4%26.1%6.4%20.8%4.2%-5.2%76.5K-5.5M-11.5K7.5062.56N/AN/A4301,229943
2009-11-30$66.90$57.0029.3%8.4%21.1%6.2%0.0%4.7%-6.2%70.9K-5.7M-10.7K0.0050.07N/AN/A0101,229973