VAW Options History — December 2009

In December 2009, VAW traded between $66.46 and $68.98. ATM implied volatility averaged 23.2%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 2.8% (HV 20d: 20.3%). Max pain ranged from $57.00 to $73.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2009-12-21: Highest Volume — 90 contracts
  • 2009-12-10: Largest IV drop — 38.4% change
  • 2009-12-31: Highest IV Rank — 11.3%
  • 2009-12-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.80$66.46$68.98$68.04$67.82
Max Pain$68.55$57.00$73.00$57.00$70.00
ATM IV23.2%16.4%28.6%27.8%23.0%
Expected Move6.4%4.7%8.0%8.0%6.6%
HV 20d20.3%17.8%22.7%21.5%17.8%
HV 60d25.6%23.6%26.3%26.0%23.6%
IV Rank6.4%0.0%11.3%3.3%11.3%
IV Percentile2.3%0.0%6.7%2.4%5.6%
Term Structure3.6%-4.7%8.7%-4.6%2.4%
VWIV23.8%20.4%29.7%25.8%23.0%
Skew 25d5.5%-0.2%10.8%3.9%3.6%
Skew 10d8.4%0.9%15.7%9.8%11.2%
Call IV 25d21.7%19.4%26.1%26.1%21.8%
Put IV 25d27.2%21.4%32.2%30.0%25.4%
Bid-Ask Spread %39.9216.2772.1472.1457.58
Gamma HHI0.260.120.410.310.15
Net GEX47.5K-8.9K113.5K62.0K11.5K
Net DEX-4.3M-7.2M-172.0K-6.3M-287.2K
Net VEX-7.8K-10.2K-6.5K-9.8K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.005.000.000.00
Total Volume22.818090318
Total OI1,740.4096972,3262,212798

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$68.04$57.0027.8%8.0%21.5%3.3%25.8%3.9%-4.6%62.0K-6.3M-9.8K0.0072.14N/AN/A301,229983
2009-12-02$68.98$57.0026.1%7.5%21.4%0.2%26.2%3.4%-2.8%53.0K-6.8M-8.6K1.3954.63N/AN/A18251,230983
2009-12-03$67.86$57.0027.5%7.9%22.7%2.8%29.7%3.8%-4.7%56.3K-6.2M-9.8K0.2750.75N/AN/A60161,2441,008
2009-12-04$67.30$73.0027.1%7.0%21.8%2.1%0.0%10.8%7.8%70.6K-6.0M-10.2K2.0016.27N/AN/A5101,2741,024
2009-12-07$67.50$73.0027.5%7.3%21.8%3.0%0.0%9.8%6.2%73.6K-6.2M-9.1K0.0019.19N/AN/A001,2741,014
2009-12-08$66.46$73.0028.6%7.2%20.0%5.4%0.0%10.0%7.7%90.7K-5.6M-9.7K0.0021.01N/AN/A001,2741,014
2009-12-09$67.35$73.0026.6%5.3%20.5%1.3%0.0%8.9%6.3%85.4K-6.2M-8.8K0.8027.52N/AN/A15121,2741,014
2009-12-10$67.15$73.0016.4%4.7%20.4%0.0%20.4%9.4%7.8%93.9K-6.2M-8.7K0.0027.49N/AN/A4801,2891,017
2009-12-11$67.26$69.0021.3%6.1%20.0%8.3%0.0%7.6%6.4%91.1K-6.4M-8.4K0.0030.43N/AN/A001,2971,017
2009-12-14$68.32$69.0018.7%5.4%20.5%3.9%0.0%10.8%8.7%44.2K-7.1M-7.4K0.6329.56N/AN/A16101,2971,017
2009-12-15$67.64$69.0022.0%6.3%19.2%9.6%0.0%5.7%4.9%78.1K-6.7M-7.6K0.0032.76N/AN/A001,3031,017
2009-12-16$68.35$69.0020.3%5.8%19.3%6.7%0.0%7.2%6.4%36.8K-7.2M-7.0K1.0028.94N/AN/A10101,3031,017
2009-12-17$66.81$69.0021.2%6.1%21.0%8.2%0.0%3.2%5.5%113.5K-6.4M-7.2K0.0047.19N/AN/A1201,3121,007
2009-12-18$66.90$69.0021.0%6.0%20.3%7.8%0.0%3.1%5.6%-8.9K-6.8M-6.8K0.0844.77N/AN/A1211,3191,007
2009-12-21$67.68$69.0022.1%6.3%20.7%9.6%22.5%-0.2%-0.8%39.6K-1.3M-6.5K2.0045.98N/AN/A3060438362
2009-12-22$67.17$69.0022.8%6.5%20.6%10.9%20.5%3.5%2.7%7.7K-172.0K-6.5K0.6749.94N/AN/A4530275422
2009-12-23$68.21$70.0022.0%6.3%21.3%9.5%0.0%3.8%2.6%9.4K-433.6K-6.8K0.0032.06N/AN/A00320452
2009-12-24$68.73$70.0021.3%6.1%20.9%8.3%0.0%3.5%2.9%9.0K-545.8K-6.6K5.0041.93N/AN/A420320452
2009-12-28$68.71$70.0022.4%6.4%18.9%10.2%0.0%3.5%2.3%8.1K-476.3K-6.8K0.0049.27N/AN/A20324472
2009-12-29$68.67$70.0021.9%6.3%18.8%9.4%0.0%3.3%2.5%10.2K-466.4K-6.7K0.0045.08N/AN/A00326472
2009-12-30$68.68$70.0022.2%6.4%17.9%9.8%22.1%2.8%2.5%10.1K-475.3K-6.7K0.0053.85N/AN/A100326472
2009-12-31$67.82$70.0023.0%6.6%17.8%11.3%23.0%3.6%2.4%11.5K-287.2K-6.8K0.0057.58N/AN/A018326472