VAW Options History — February 2010

In February 2010, VAW traded between $61.58 and $66.83. ATM implied volatility averaged 28.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.1% (HV 20d: 30.1%). Max pain ranged from $67.00 to $69.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.93.

Notable Days

2010-02-17: Highest Volume — 125 contracts
2010-02-04: Largest IV spike — 11.6% change
2010-02-08: Highest IV Rank — 30.1%
2010-02-08: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.57	$61.58	$66.83	$64.37	$65.46
Max Pain	$67.42	$67.00	$69.00	$69.00	$67.00
ATM IV	28.1%	23.3%	33.9%	29.8%	23.3%
Expected Move	8.1%	6.7%	9.5%	8.6%	6.7%
HV 20d	30.1%	27.2%	33.7%	29.6%	27.5%
HV 60d	24.6%	23.3%	25.1%	23.7%	24.5%
IV Rank	20.3%	12.9%	30.1%	23.1%	12.9%
IV Percentile	23.7%	9.1%	50.8%	27.0%	9.1%
Term Structure	0.5%	-1.2%	2.3%	-0.2%	1.2%
VWIV	27.5%	23.2%	42.1%	31.7%	23.2%
Skew 25d	4.9%	0.8%	8.1%	2.9%	3.7%
Skew 10d	12.0%	2.1%	16.9%	12.9%	9.2%
Call IV 25d	26.1%	21.7%	30.9%	27.6%	21.7%
Put IV 25d	31.0%	25.4%	38.2%	30.5%	25.4%
Bid-Ask Spread %	62.11	43.13	104.33	43.13	77.06
Gamma HHI	0.12	0.10	0.13	0.11	0.12
Net GEX	-76.7K	-84.2K	-66.8K	-71.1K	-81.2K
Net DEX	1.4M	518.9K	2.4M	1.4M	1.1M
Net VEX	-11.3K	-12.7K	-9.6K	-9.6K	-11.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.93	0.00	13.50	1.15	0.00
Total Volume	32.632	0	125	112	50
Total OI	1,488.526	1,251	1,649	1,251	1,542

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
2010-02-01	$64.37	$69.00	29.8%	8.6%	29.6%	23.1%	0.0%	2.9%	-0.2%	-71.1K	1.4M	-9.6K	1.15	43.13	N/A	N/A	52	60	427	824
2010-02-02	$64.94	$69.00	28.1%	8.1%	27.4%	20.2%	0.0%	3.8%	-0.2%	-67.9K	1.2M	-10.7K	3.00	44.05	N/A	N/A	15	45	474	854
2010-02-03	$64.29	$69.00	28.4%	8.1%	27.2%	20.7%	0.0%	3.2%	0.0%	-74.2K	1.6M	-11.0K	0.00	59.76	N/A	N/A	0	0	489	899
2010-02-04	$61.69	$69.00	31.7%	9.1%	29.2%	26.3%	31.7%	0.8%	0.5%	-72.7K	2.3M	-10.0K	0.00	104.33	N/A	N/A	0	31	489	899
2010-02-05	$62.66	$67.00	31.7%	9.1%	30.3%	26.4%	32.4%	6.7%	-0.5%	-80.9K	2.2M	-10.8K	0.53	58.15	N/A	N/A	32	17	489	928
2010-02-08	$61.58	$67.00	33.9%	9.5%	29.9%	30.1%	0.0%	8.1%	-1.2%	-72.3K	2.4M	-10.2K	0.00	44.86	N/A	N/A	0	30	521	926
2010-02-09	$63.12	$67.00	32.3%	9.3%	32.0%	27.3%	0.0%	7.5%	-1.2%	-77.9K	2.0M	-11.3K	5.00	51.11	N/A	N/A	3	15	521	956
2010-02-10	$62.89	$67.00	31.1%	9.2%	31.6%	25.4%	42.1%	6.9%	-1.0%	-80.2K	2.1M	-11.3K	0.00	47.63	N/A	N/A	0	3	524	971
2010-02-11	$63.85	$67.00	29.7%	8.5%	32.1%	22.8%	27.1%	6.5%	-0.0%	-84.2K	1.8M	-11.4K	0.00	52.54	N/A	N/A	30	0	524	968
2010-02-12	$64.01	$67.00	29.3%	8.4%	32.1%	22.2%	0.0%	6.3%	0.5%	-81.6K	1.7M	-11.6K	0.00	51.48	N/A	N/A	5	0	554	968
2010-02-16	$65.62	$67.00	27.3%	7.8%	33.7%	18.8%	25.5%	5.7%	1.0%	-77.8K	1.1M	-11.2K	0.74	52.05	N/A	N/A	34	25	559	968
2010-02-17	$65.76	$67.00	27.0%	7.7%	32.9%	18.2%	0.0%	4.9%	1.9%	-74.1K	958.5K	-11.5K	3.17	49.86	N/A	N/A	30	95	560	983
2010-02-18	$66.48	$67.00	25.8%	7.4%	33.0%	16.2%	0.0%	4.3%	2.3%	-77.6K	683.0K	-12.7K	0.00	55.29	N/A	N/A	0	0	590	1,059
2010-02-19	$66.83	$67.00	25.0%	7.2%	29.5%	14.7%	23.5%	4.6%	2.3%	-84.0K	518.9K	-12.5K	13.50	67.06	N/A	N/A	2	27	590	1,059
2010-02-22	$66.69	$67.00	24.9%	7.1%	28.2%	14.6%	24.8%	4.5%	1.2%	-66.8K	562.8K	-12.2K	0.00	83.50	N/A	N/A	2	0	537	1,003
2010-02-23	$65.42	$67.00	26.7%	7.7%	28.9%	19.2%	24.9%	4.5%	0.6%	-74.6K	1.1M	-11.9K	0.00	84.69	N/A	N/A	5	0	539	1,003
2010-02-24	$65.52	$67.00	23.8%	6.8%	28.7%	13.8%	23.2%	3.9%	1.3%	-80.0K	1.1M	-11.6K	0.00	72.51	N/A	N/A	10	0	539	1,003
2010-02-25	$65.58	$67.00	23.4%	6.7%	28.6%	13.0%	24.2%	4.0%	1.4%	-78.4K	1.0M	-11.3K	0.00	81.12	N/A	N/A	2	0	540	1,003
2010-02-26	$65.46	$67.00	23.3%	6.7%	27.5%	12.9%	23.2%	3.7%	1.2%	-81.2K	1.1M	-11.1K	0.00	77.06	N/A	N/A	50	0	539	1,003