VAW Options History — March 2010

In March 2010, VAW traded between $66.67 and $71.49. ATM implied volatility averaged 22.4%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.4% (HV 20d: 17.0%). Max pain ranged from $67.00 to $71.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.94.

Notable Days

  • 2010-03-03: Highest Volume — 228 contracts
  • 2010-03-08: Largest IV spike — 7.2% change
  • 2010-03-15: Highest IV Rank — 15.0%
  • 2010-03-10: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.68$66.67$71.49$66.67$70.78
Max Pain$68.04$67.00$71.00$67.00$71.00
ATM IV22.4%20.3%24.4%23.0%20.3%
Expected Move6.5%5.8%7.0%6.6%5.8%
HV 20d17.0%13.1%27.3%27.3%14.8%
HV 60d23.9%23.2%24.5%24.5%23.2%
IV Rank11.4%8.1%15.0%12.2%8.1%
IV Percentile7.9%2.0%15.9%8.7%2.0%
Term Structure1.3%0.4%2.0%0.6%1.9%
VWIV23.1%21.0%27.0%24.5%21.0%
Skew 25d2.4%1.4%3.3%3.3%2.4%
Skew 10d5.1%2.1%12.4%7.7%6.2%
Call IV 25d22.2%19.8%24.5%21.6%20.3%
Put IV 25d24.6%22.3%27.1%24.9%22.8%
Bid-Ask Spread %51.3222.44107.3859.3076.17
Gamma HHI0.170.100.360.120.10
Net GEX-5.1K-89.7K64.8K-75.4K-31.3K
Net DEX-980.8K-2.9M476.0K476.0K-11.3K
Net VEX-10.0K-11.6K-8.7K-10.9K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.0013.001.040.00
Total Volume26.3910228201
Total OI1,407.5227021,8791,547764

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$66.67$67.0023.0%6.6%27.3%12.2%24.5%3.3%0.6%-75.4K476.0K-10.9K0.0059.30N/AN/A0205441,003
2010-03-02$67.46$67.0022.9%6.6%25.2%12.1%22.3%2.8%1.2%-70.3K123.3K-10.8K1.0495.87N/AN/A23245441,023
2010-03-03$68.10$67.0023.0%6.6%25.3%12.2%23.0%2.5%1.5%-68.0K-159.5K-10.8K0.1569.87N/AN/A198305441,047
2010-03-04$68.27$67.0021.8%6.3%24.8%10.1%0.0%2.9%2.0%29.3K-842.1K-11.6K0.00107.38N/AN/A007171,057
2010-03-05$69.22$67.0021.2%6.8%18.8%8.9%0.0%2.5%0.9%42.6K-1.5M-11.3K0.0039.34N/AN/A1007171,057
2010-03-08$69.17$67.0022.7%6.8%18.5%11.7%0.0%2.5%1.3%56.1K-1.6M-10.8K0.0033.12N/AN/A307271,057
2010-03-09$68.92$67.0022.4%6.8%16.9%11.1%0.0%2.4%0.8%64.1K-1.4M-10.6K13.0028.43N/AN/A1137271,057
2010-03-10$68.93$67.0022.7%7.0%15.4%11.7%0.0%2.6%0.9%59.3K-1.4M-10.6K0.0022.44N/AN/A007261,067
2010-03-11$69.18$67.0024.3%7.0%15.1%14.7%0.0%2.1%1.2%62.8K-1.6M-10.2K0.0026.98N/AN/A0107261,067
2010-03-12$69.68$67.0024.3%7.0%14.6%14.7%27.0%1.9%0.4%58.8K-2.0M-9.9K0.0025.59N/AN/A0117261,077
2010-03-15$69.45$67.0024.4%7.0%14.9%15.0%0.0%2.2%1.1%64.8K-1.9M-9.5K0.0029.94N/AN/A1507261,088
2010-03-16$70.47$67.0023.8%6.8%13.3%13.8%0.0%1.6%0.7%32.0K-2.7M-8.7K9.0046.59N/AN/A10907261,088
2010-03-17$70.97$67.0022.9%6.6%13.4%12.1%22.9%1.8%1.3%9.6K-2.9M-9.5K0.0043.92N/AN/A107341,134
2010-03-18$70.45$67.0022.8%6.5%13.7%11.9%0.0%2.7%1.7%-89.7K-2.8M-9.4K0.0035.57N/AN/A0107351,134
2010-03-19$69.60$67.0022.6%6.5%14.6%11.6%0.0%3.1%2.0%-49.4K-2.2M-9.6K1.2034.14N/AN/A25307351,144
2010-03-22$70.50$67.0021.9%6.3%15.0%10.3%21.2%2.9%1.6%-31.4K45.4K-9.3K0.0057.42N/AN/A310233469
2010-03-23$71.49$67.0021.0%6.0%13.1%8.6%21.0%1.6%1.5%-26.0K-147.6K-9.2K0.7754.21N/AN/A1310244469
2010-03-24$71.21$71.0021.6%6.2%13.4%9.7%0.0%1.4%1.1%-25.8K-123.6K-9.5K0.0064.17N/AN/A00257479
2010-03-25$69.75$71.0022.4%6.4%16.0%12.3%0.0%2.6%1.5%-30.2K142.1K-9.6K0.0048.82N/AN/A020257479
2010-03-26$70.26$71.0021.7%6.2%16.0%11.0%0.0%3.0%1.5%-35.3K128.9K-9.7K0.0044.84N/AN/A00257499
2010-03-29$70.99$71.0021.1%6.0%15.2%9.6%0.0%1.7%1.3%-32.5K-30.0K-9.4K0.0061.44N/AN/A00257499
2010-03-30$71.09$71.0020.6%5.9%14.9%8.7%0.0%2.0%1.6%-32.0K-57.9K-9.2K0.0074.90N/AN/A80257499
2010-03-31$70.78$71.0020.3%5.8%14.8%8.1%0.0%2.4%1.9%-31.3K-11.3K-9.4K0.0076.17N/AN/A10265499