VAW Options History — May 2010

In May 2010, VAW traded between $62.44 and $71.84. ATM implied volatility averaged 34.4%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 3.5% (HV 20d: 30.8%). Max pain ranged from $67.00 to $72.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.69.

Notable Days

  • 2010-05-07: Highest Volume — 112 contracts
  • 2010-05-20: Largest IV spike — 29.5% change
  • 2010-05-20: Highest IV Rank — 70.6%
  • 2010-05-20: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.65$62.44$71.84$71.84$65.12
Max Pain$68.42$67.00$72.00$72.00$67.00
ATM IV34.4%24.6%46.7%24.6%32.9%
Expected Move9.8%7.0%13.4%7.0%9.4%
HV 20d30.8%17.6%39.1%17.6%38.9%
HV 60d22.3%17.6%26.3%17.6%26.3%
IV Rank41.1%16.7%70.6%16.7%38.6%
IV Percentile72.0%28.2%99.2%28.2%74.6%
Term Structure-1.1%-6.4%0.9%0.5%0.7%
VWIV33.2%27.4%43.5%43.5%37.1%
Skew 25d8.1%2.0%10.9%3.3%9.7%
Skew 10d15.9%2.8%25.1%3.3%21.6%
Call IV 25d30.0%22.8%39.1%22.8%29.3%
Put IV 25d38.2%26.1%48.4%26.1%39.0%
Bid-Ask Spread %60.0234.3390.3134.3381.32
Gamma HHI0.110.090.130.110.11
Net GEX-39.8K-50.6K-27.5K-32.4K-34.4K
Net DEX967.4K-96.9K2.0M-96.9K1.0M
Net VEX-10.5K-11.9K-8.4K-8.4K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.0015.000.001.00
Total Volume38.36801121320
Total OI1,061.9478181,2408181,095

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$71.84$72.0024.6%7.0%17.6%16.7%0.0%3.3%0.5%-32.4K-96.9K-8.4K0.0034.33N/AN/A130275543
2010-05-04$69.24$72.0028.9%8.3%21.7%25.6%0.0%2.0%0.9%-39.5K471.6K-8.9K15.0051.63N/AN/A460282543
2010-05-05$68.52$72.0030.9%8.8%21.8%29.5%0.0%2.5%-0.7%-38.0K583.8K-8.9K1.0081.09N/AN/A1010284543
2010-05-06$66.49$72.0039.0%11.2%23.8%46.2%0.0%8.1%0.9%-38.3K949.4K-9.2K2.0075.60N/AN/A2040294553
2010-05-07$65.48$69.0042.5%12.0%23.8%60.9%43.5%10.1%-4.1%-36.0K1.1M-9.9K4.6038.10N/AN/A2092314577
2010-05-10$68.72$68.0034.2%9.4%30.5%41.7%28.8%9.6%-1.1%-46.6K639.1K-11.2K0.1135.99N/AN/A9010334669
2010-05-11$68.04$68.0033.4%9.3%30.6%39.7%28.3%9.0%-1.3%-35.1K691.9K-11.6K0.6740.21N/AN/A3020403679
2010-05-12$69.57$68.0028.5%8.3%31.7%28.3%27.4%7.9%0.1%-27.5K190.2K-11.8K0.6742.49N/AN/A3020433699
2010-05-13$68.88$68.0029.4%8.4%31.8%30.3%0.0%7.9%-0.2%-38.3K490.7K-11.9K0.0045.39N/AN/A00443719
2010-05-14$67.05$68.0032.9%9.4%32.6%38.6%33.8%10.2%-1.4%-49.5K1.1M-11.7K0.0249.58N/AN/A501443719
2010-05-17$66.88$67.0032.7%9.4%32.6%38.0%0.0%9.1%-1.1%-50.6K1.1M-11.4K0.1047.45N/AN/A101468720
2010-05-18$65.94$67.0035.3%10.1%32.6%44.1%0.0%10.0%-2.1%-49.0K1.3M-11.4K0.0060.29N/AN/A00478721
2010-05-19$65.51$67.0036.0%10.3%32.6%45.8%31.8%10.9%-1.7%-46.0K1.4M-11.2K0.0069.61N/AN/A250478721
2010-05-20$62.44$67.0046.7%13.4%35.5%70.6%33.8%9.3%-6.4%-34.2K2.0M-10.5K1.2073.53N/AN/A1012498721
2010-05-21$63.94$67.0040.1%11.5%36.5%55.4%0.0%10.5%-2.5%-42.1K1.7M-11.0K0.0061.53N/AN/A00508732
2010-05-24$63.02$67.0038.6%11.1%36.5%51.8%33.8%8.6%-0.6%-42.8K1.5M-10.3K0.0085.62N/AN/A740445652
2010-05-26$63.49$67.0036.4%10.4%35.7%46.7%37.1%7.8%-0.7%-45.9K1.5M-10.1K0.6390.31N/AN/A3220445652
2010-05-27$66.14$67.0029.8%8.5%39.1%31.3%0.0%8.0%0.3%-30.1K785.4K-10.5K0.0076.36N/AN/A50462632
2010-05-28$65.12$67.0032.9%9.4%38.9%38.6%0.0%9.7%0.7%-34.4K1.0M-10.3K1.0081.32N/AN/A1010463632