VAW Options History — January 2010

In January 2010, VAW traded between $62.29 and $71.74. ATM implied volatility averaged 24.1%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.2% (HV 20d: 21.9%). Max pain ranged from $68.00 to $71.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 11.61.

Notable Days

2010-01-21: Highest Volume — 1,055 contracts
2010-01-21: Largest IV spike — 19.0% change
2010-01-29: Highest IV Rank — 21.7%
2010-01-29: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.36	$62.29	$71.74	$69.87	$62.29
Max Pain	$69.63	$68.00	$71.00	$69.00	$69.00
ATM IV	24.1%	20.2%	29.0%	22.6%	29.0%
Expected Move	7.2%	5.8%	8.3%	7.1%	8.3%
HV 20d	21.9%	18.9%	26.6%	19.8%	26.6%
HV 60d	24.3%	22.8%	25.5%	24.3%	23.0%
IV Rank	13.3%	6.6%	21.7%	10.5%	21.7%
IV Percentile	8.9%	0.8%	22.2%	5.2%	22.2%
Term Structure	1.8%	0.9%	3.2%	1.1%	2.3%
VWIV	24.2%	15.9%	28.9%	26.0%	28.9%
Skew 25d	1.9%	0.5%	3.2%	2.8%	0.5%
Skew 10d	3.3%	0.7%	7.4%	7.2%	2.7%
Call IV 25d	24.1%	20.0%	28.4%	22.0%	28.4%
Put IV 25d	25.9%	22.5%	28.9%	24.8%	28.9%
Bid-Ask Spread %	25.28	8.99	58.87	11.70	52.95
Gamma HHI	0.18	0.11	0.37	0.15	0.12
Net GEX	-96.8K	-374.9K	9.5K	7.4K	-68.8K
Net DEX	559.2K	-1.3M	2.0M	-730.2K	2.0M
Net VEX	-9.6K	-13.5K	-6.1K	-6.2K	-8.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.61	0.00	104.00	0.40	0.00
Total Volume	206.895	0	1,055	35	15
Total OI	1,241.211	806	1,648	806	1,236

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$69.87	$69.00	22.6%	7.1%	19.8%	10.5%	0.0%	2.8%	1.1%	7.4K	-730.2K	-6.2K	0.40	11.70	N/A	N/A	25	10	326	480
2010-01-05	$70.29	$69.00	22.8%	7.2%	19.6%	10.8%	26.0%	3.2%	1.1%	9.5K	-855.8K	-6.5K	1.50	10.56	N/A	N/A	20	30	351	490
2010-01-06	$71.28	$68.00	22.5%	7.1%	20.0%	10.3%	0.0%	1.7%	0.9%	858	-1.1M	-6.3K	0.00	16.46	N/A	N/A	2	0	361	520
2010-01-07	$70.97	$69.00	22.4%	7.1%	19.0%	10.2%	25.2%	1.9%	1.3%	4.0K	-1.0M	-6.5K	1.00	17.78	N/A	N/A	40	40	361	521
2010-01-08	$71.74	$71.00	20.3%	7.0%	18.9%	6.6%	0.0%	1.7%	0.9%	-7.3K	-1.3M	-6.4K	0.00	10.90	N/A	N/A	1	0	380	521
2010-01-11	$71.50	$71.00	23.3%	7.2%	18.9%	11.8%	0.0%	2.1%	1.2%	-5.1K	-1.2M	-6.1K	12.80	16.08	N/A	N/A	40	512	381	521
2010-01-12	$70.11	$71.00	24.7%	7.3%	20.5%	14.0%	0.0%	2.0%	1.3%	-374.9K	767.2K	-7.5K	104.00	14.51	N/A	N/A	10	1,040	361	1,033
2010-01-13	$70.75	$71.00	21.8%	7.0%	20.1%	9.2%	0.0%	2.5%	1.6%	-311.0K	910.3K	-12.2K	0.00	16.03	N/A	N/A	0	10	371	1,263
2010-01-14	$70.09	$71.00	24.1%	6.9%	20.1%	13.2%	24.1%	2.6%	1.9%	-275.9K	1.3M	-12.1K	0.20	8.99	N/A	N/A	60	12	371	1,253
2010-01-15	$69.44	$70.00	23.7%	6.8%	20.1%	12.6%	0.0%	2.1%	1.8%	-103.0K	1.8M	-12.0K	0.00	19.18	N/A	N/A	0	0	387	1,261
2010-01-19	$70.63	$70.00	22.1%	6.4%	18.9%	9.9%	23.4%	2.2%	1.6%	-100.9K	209.1K	-11.2K	0.04	16.60	N/A	N/A	24	1	351	928
2010-01-20	$69.54	$70.00	20.2%	5.8%	20.0%	6.6%	20.8%	2.5%	2.6%	-103.1K	523.9K	-11.5K	0.81	14.50	N/A	N/A	52	42	375	928
2010-01-21	$66.65	$69.00	24.1%	6.9%	25.1%	13.2%	24.1%	1.9%	2.2%	-94.5K	1.6M	-12.0K	41.20	34.06	N/A	N/A	25	1,030	422	938
2010-01-22	$65.12	$69.00	27.4%	7.9%	26.2%	18.9%	26.9%	1.3%	3.2%	-104.7K	1.7M	-13.4K	9.48	43.93	N/A	N/A	21	199	422	1,112
2010-01-25	$65.62	$69.00	26.1%	7.5%	25.7%	16.7%	0.0%	1.3%	2.6%	-126.0K	1.8M	-13.5K	14.19	36.89	N/A	N/A	37	525	413	1,195
2010-01-26	$64.96	$69.00	26.4%	7.6%	25.6%	17.2%	0.0%	1.4%	2.3%	-62.0K	1.2M	-9.9K	0.00	41.65	N/A	N/A	30	0	423	810
2010-01-27	$64.61	$69.00	27.2%	7.8%	25.6%	18.6%	27.2%	1.0%	1.4%	-60.1K	1.3M	-9.8K	0.13	38.77	N/A	N/A	16	2	441	810
2010-01-28	$63.30	$69.00	27.9%	8.0%	26.3%	19.8%	15.9%	0.7%	2.2%	-63.8K	1.7M	-9.5K	0.00	58.87	N/A	N/A	60	0	457	809
2010-01-29	$62.29	$69.00	29.0%	8.3%	26.6%	21.7%	28.9%	0.5%	2.3%	-68.8K	2.0M	-8.9K	0.00	52.95	N/A	N/A	0	15	427	809