VAW Options History — June 2010

In June 2010, VAW traded between $60.04 and $66.01. ATM implied volatility averaged 33.8%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 4.4% (HV 20d: 38.1%). Max pain ranged from $62.00 to $67.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2010-06-23: Highest Volume — 67 contracts
  • 2010-06-04: Largest IV spike — 18.1% change
  • 2010-06-30: Highest IV Rank — 72.9%
  • 2010-06-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.57$60.04$66.01$62.98$60.04
Max Pain$62.68$62.00$67.00$67.00$62.00
ATM IV33.8%26.6%42.6%40.3%38.5%
Expected Move9.6%7.6%11.6%11.6%11.0%
HV 20d38.1%32.2%42.2%39.9%32.2%
HV 60d30.0%27.1%31.7%27.1%31.6%
IV Rank45.2%23.8%72.9%55.8%72.9%
IV Percentile72.5%33.7%98.8%96.0%94.4%
Term Structure-0.5%-2.9%1.4%-2.0%-1.0%
VWIV34.0%27.2%39.3%39.3%35.5%
Skew 25d6.8%4.7%9.5%9.1%4.7%
Skew 10d10.7%5.2%20.8%20.8%16.4%
Call IV 25d30.4%25.6%34.9%34.8%33.7%
Put IV 25d37.1%31.6%43.9%43.9%38.4%
Bid-Ask Spread %50.6919.7695.0674.6092.52
Gamma HHI0.130.100.190.130.10
Net GEX-31.7K-62.0K-3.4K-43.6K-9.3K
Net DEX1.1M378.1K2.2M1.6M1.1M
Net VEX-8.5K-10.0K-7.6K-9.6K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.001.501.000.00
Total Volume19.1360672010
Total OI984.0916201,1481,115814

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$62.98$67.0040.3%11.6%39.9%55.8%0.0%9.1%-2.0%-43.6K1.6M-9.6K1.0074.60N/AN/A1010473642
2010-06-02$64.74$67.0033.7%9.7%41.5%40.4%0.0%9.5%0.3%-38.0K1.1M-10.0K0.0095.06N/AN/A00483642
2010-06-03$64.34$67.0034.4%9.9%39.8%42.0%0.0%9.1%-0.3%-44.0K1.2M-9.7K0.0084.11N/AN/A00483642
2010-06-04$61.61$62.0040.6%11.0%42.2%56.6%0.0%5.4%-2.2%-50.2K1.9M-8.8K0.0037.50N/AN/A30483642
2010-06-07$60.49$62.0042.6%11.5%41.5%61.1%0.0%5.3%-2.9%-51.6K2.2M-7.8K0.0043.26N/AN/A370480642
2010-06-08$61.61$62.0037.2%10.5%42.0%48.5%0.0%5.2%-1.2%-59.1K1.9M-8.4K0.1028.43N/AN/A212495642
2010-06-09$61.52$62.0039.2%10.7%37.4%53.3%39.3%6.1%-1.4%-60.2K2.0M-8.2K0.0035.96N/AN/A054492640
2010-06-10$63.79$62.0033.7%9.7%40.2%40.4%31.4%6.5%-0.2%-58.8K1.4M-8.8K0.0019.76N/AN/A220492644
2010-06-11$64.75$62.0031.5%9.0%39.7%35.2%0.0%7.0%0.3%-51.9K1.1M-9.0K0.0026.07N/AN/A00504644
2010-06-14$64.21$62.0032.8%9.4%39.6%38.3%36.1%7.3%-0.7%-62.0K1.3M-8.5K1.5026.70N/AN/A812504644
2010-06-15$65.95$62.0029.5%8.5%40.0%30.6%0.0%5.3%0.4%-24.3K655.6K-8.4K0.0040.75N/AN/A40512632
2010-06-16$65.78$62.0029.2%8.4%40.0%29.8%0.0%5.3%0.3%-26.3K689.6K-8.3K0.0034.22N/AN/A00512632
2010-06-17$65.53$62.0028.1%8.1%39.7%27.4%0.0%6.8%1.3%-25.7K732.0K-8.0K0.0034.08N/AN/A20512632
2010-06-18$65.85$62.0026.6%7.6%39.7%23.8%0.0%5.9%1.4%-29.9K707.2K-8.1K0.0037.91N/AN/A50514632
2010-06-21$66.01$62.0027.9%8.0%35.4%26.9%0.0%5.6%0.3%-14.9K378.1K-7.8K0.3036.79N/AN/A3711258362
2010-06-22$64.44$62.0031.2%8.9%35.7%34.5%27.2%8.7%-0.4%-13.1K580.6K-8.0K0.0053.19N/AN/A30285373
2010-06-23$64.47$62.0030.9%8.9%35.2%47.9%0.0%7.8%0.1%-12.4K578.6K-7.9K0.0043.96N/AN/A670288373
2010-06-24$62.80$62.0033.3%9.5%36.5%55.8%0.0%7.9%-0.4%-5.6K660.9K-8.2K0.9169.25N/AN/A1110350373
2010-06-25$63.72$62.0031.1%8.9%33.6%48.6%0.0%7.7%0.4%-3.4K529.9K-8.6K0.0050.98N/AN/A00360383
2010-06-28$63.07$62.0032.7%9.4%33.3%53.8%34.3%7.7%0.1%-4.9K646.0K-8.3K0.5761.57N/AN/A3520360383
2010-06-29$60.76$62.0037.9%10.9%33.8%71.2%35.5%4.8%-2.1%-8.1K916.9K-8.0K0.3588.51N/AN/A207394403
2010-06-30$60.04$62.0038.5%11.0%32.2%72.9%0.0%4.7%-1.0%-9.3K1.1M-7.6K0.0092.52N/AN/A100404410