VAW Options History — April 2010

In April 2010, VAW traded between $71.51 and $73.91. ATM implied volatility averaged 21.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.2% (HV 20d: 15.7%). Max pain ranged from $71.00 to $72.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 5.99.

Notable Days

  • 2010-04-27: Highest Volume — 50 contracts
  • 2010-04-05: Largest IV spike — 37.8% change
  • 2010-04-05: Highest IV Rank — 24.8%
  • 2010-04-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.66$71.51$73.91$71.90$71.51
Max Pain$71.33$71.00$72.00$71.00$72.00
ATM IV21.9%17.9%28.5%20.7%24.6%
Expected Move6.5%5.9%7.3%5.9%7.0%
HV 20d15.7%12.6%18.4%15.6%18.4%
HV 60d21.5%19.4%23.4%23.4%19.8%
IV Rank11.3%3.1%24.8%8.9%16.7%
IV Percentile12.2%0.4%34.1%2.8%27.8%
Term Structure0.8%-0.2%1.6%1.5%0.7%
VWIV24.4%21.6%26.6%23.8%24.6%
Skew 25d2.6%-11.3%4.6%1.0%3.7%
Skew 10d5.7%-12.5%9.6%3.8%3.7%
Call IV 25d22.5%18.4%34.2%20.7%23.1%
Put IV 25d25.1%20.1%27.2%21.7%26.8%
Bid-Ask Spread %25.7510.78102.89102.8934.20
Gamma HHI0.130.100.210.100.11
Net GEX-25.1K-42.4K-9.9K-26.5K-42.4K
Net DEX-389.5K-652.1K53.6K-242.5K53.6K
Net VEX-8.2K-9.2K-7.3K-9.2K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.990.0040.001.430.00
Total Volume14.0950501720
Total OI767.81692823765798

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$71.90$71.0020.7%5.9%15.6%8.9%0.0%1.0%1.5%-26.5K-242.5K-9.2K1.43102.89N/AN/A710266499
2010-04-05$72.95$71.0028.5%6.5%15.7%24.8%0.0%-11.3%0.5%-22.2K-444.5K-8.9K0.0011.20N/AN/A50273509
2010-04-06$73.16$71.0021.3%6.7%15.6%10.1%0.0%0.7%-0.1%-19.6K-490.9K-8.7K0.0026.54N/AN/A040274509
2010-04-07$72.68$71.0020.3%6.5%15.8%8.1%0.0%2.3%0.5%-40.6K-351.5K-9.0K0.0012.66N/AN/A00274549
2010-04-08$72.84$71.0019.4%6.4%15.8%6.1%0.0%2.7%0.7%-39.1K-392.8K-8.9K10.0011.48N/AN/A110274549
2010-04-09$73.16$71.0018.4%6.4%15.8%4.3%0.0%1.7%0.7%-32.3K-508.5K-8.5K0.0020.24N/AN/A10275539
2010-04-12$72.75$71.0020.3%6.5%16.0%8.1%0.0%4.1%0.6%-34.4K-442.7K-8.5K0.0011.30N/AN/A110276539
2010-04-13$72.63$71.0019.4%6.5%15.9%6.2%0.0%4.2%0.7%-35.6K-415.3K-8.5K10.0013.79N/AN/A110275539
2010-04-14$73.27$71.0017.9%6.5%15.5%3.1%23.8%3.7%0.7%-21.2K-590.4K-8.0K40.0021.66N/AN/A140275529
2010-04-15$73.21$71.0022.4%6.4%15.4%12.4%0.0%3.8%1.1%-9.9K-652.1K-7.8K0.0022.02N/AN/A00276509
2010-04-16$72.02$71.0023.0%6.6%16.4%13.5%0.0%4.1%1.0%-34.3K-415.3K-8.1K0.0015.64N/AN/A100276509
2010-04-19$71.93$71.0022.9%6.6%15.6%13.2%0.0%4.6%1.2%-13.0K-316.7K-7.8K0.0010.78N/AN/A00254438
2010-04-20$72.27$71.0021.6%6.2%15.1%10.8%0.0%4.3%1.5%-11.6K-391.7K-7.6K0.0013.76N/AN/A015254438
2010-04-21$72.30$71.0021.4%6.1%14.4%10.3%21.6%4.4%1.6%-13.6K-351.7K-7.8K0.0012.55N/AN/A01254453
2010-04-22$72.89$72.0020.9%6.0%14.5%9.3%0.0%3.9%1.4%-12.4K-456.0K-7.7K0.0029.57N/AN/A010254454
2010-04-23$73.91$72.0021.2%6.1%12.7%9.9%0.0%3.1%0.6%-12.9K-613.8K-7.3K0.0049.17N/AN/A20254464
2010-04-26$73.86$72.0022.3%6.4%12.6%12.1%23.2%3.1%0.2%-12.0K-614.1K-7.3K0.5046.67N/AN/A2010256464
2010-04-27$71.52$72.0025.3%7.3%17.3%18.3%26.4%2.6%-0.2%-22.7K-130.9K-7.9K0.0031.41N/AN/A050256473
2010-04-28$72.12$72.0024.7%7.1%17.5%17.0%26.6%3.7%0.9%-34.6K-130.4K-8.4K10.0016.88N/AN/A110256523
2010-04-29$72.90$72.0023.2%6.7%17.7%14.0%0.0%3.4%1.0%-36.4K-280.5K-8.1K0.0026.29N/AN/A010255533
2010-04-30$71.51$72.0024.6%7.0%18.4%16.7%24.6%3.7%0.7%-42.4K53.6K-8.5K0.0034.20N/AN/A200255543