VAW Options History — July 2010

In July 2010, VAW traded between $59.18 and $67.77. ATM implied volatility averaged 28.6%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.8% (HV 20d: 30.3%). Max pain ranged from $58.00 to $66.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2010-07-14: Highest Volume — 80 contracts
  • 2010-07-07: Largest IV drop — 19.6% change
  • 2010-07-01: Highest IV Rank — 67.5%
  • 2010-07-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.12$59.18$67.77$59.63$67.21
Max Pain$63.62$58.00$66.00$62.00$65.00
ATM IV28.6%24.1%36.8%36.8%25.2%
Expected Move8.4%7.2%10.6%10.6%7.2%
HV 20d30.3%27.3%33.0%32.2%27.3%
HV 60d33.7%31.5%35.0%31.6%33.7%
IV Rank40.3%25.5%67.5%67.5%29.3%
IV Percentile47.1%26.2%90.1%90.1%31.0%
Term Structure1.1%-0.3%2.1%-0.2%2.1%
VWIV28.9%23.3%37.1%36.4%23.3%
Skew 25d6.6%3.9%8.5%3.9%5.8%
Skew 10d10.9%8.5%16.4%15.6%11.1%
Call IV 25d26.5%23.3%32.9%32.9%23.3%
Put IV 25d33.1%29.1%37.1%36.8%29.1%
Bid-Ask Spread %46.2326.13102.48102.4848.18
Gamma HHI0.110.080.140.110.11
Net GEX-4.4K-29.1K30.1K-12.3K5.7K
Net DEX567.5K-240.6K1.4M1.1M-88.1K
Net VEX-9.4K-10.6K-6.8K-7.3K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.009.839.830.00
Total Volume27.04808006
Total OI953.5718041,0548041,028

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$59.63$62.0036.8%10.6%32.2%67.5%0.0%3.9%-0.2%-12.3K1.1M-7.3K0.00102.48N/AN/A00394410
2010-07-02$59.32$62.0034.6%9.9%28.6%60.3%36.4%5.3%1.9%-14.8K1.2M-6.9K0.0093.63N/AN/A040394410
2010-07-06$59.18$65.0036.5%10.4%27.9%66.6%37.1%5.9%-0.3%-29.1K1.4M-6.8K0.0041.24N/AN/A010394450
2010-07-07$61.57$58.0029.4%8.8%30.8%43.0%32.2%7.6%1.1%-23.0K1.0M-7.8K9.8331.82N/AN/A659394460
2010-07-08$62.55$60.0027.3%8.5%31.3%36.0%0.0%7.8%0.7%-20.2K882.8K-8.6K0.0027.84N/AN/A024396504
2010-07-09$64.02$60.0024.4%8.1%29.6%26.6%25.3%7.5%1.3%-1.7K598.8K-9.3K0.0032.99N/AN/A710396528
2010-07-12$63.17$60.0029.1%8.6%29.5%42.2%0.0%7.8%0.7%-5.7K792.1K-8.9K0.0028.98N/AN/A00425528
2010-07-13$64.69$60.0027.6%8.1%30.6%37.2%27.2%6.9%1.2%30.1K402.5K-9.3K0.3730.92N/AN/A5420425528
2010-07-14$64.60$66.0024.1%8.1%29.0%25.5%27.5%6.8%1.3%25.6K472.9K-9.5K1.6726.13N/AN/A3050443548
2010-07-15$64.59$66.0028.4%8.2%29.0%39.9%0.0%7.5%1.2%23.3K609.7K-10.3K0.0036.06N/AN/A00456598
2010-07-16$62.59$66.0030.6%8.8%30.9%46.9%0.0%8.5%1.5%-24.7K1.1M-9.7K0.0036.03N/AN/A200456598
2010-07-19$62.73$66.0030.1%8.6%30.9%45.3%29.1%8.2%1.4%-21.2K1.1M-9.4K0.0045.21N/AN/A130406531
2010-07-20$64.58$65.0027.3%7.8%32.8%36.1%27.8%7.5%1.2%-12.7K676.5K-10.0K0.4054.42N/AN/A2510417531
2010-07-21$64.23$65.0029.1%8.4%31.7%42.1%27.3%7.2%0.7%-19.1K774.8K-9.9K0.4248.73N/AN/A2410407541
2010-07-22$65.90$65.0026.8%7.7%33.0%34.5%0.0%7.3%1.0%-7.9K330.6K-10.5K0.0033.89N/AN/A00431551
2010-07-23$67.36$65.0025.9%7.4%32.2%31.5%26.2%4.6%1.8%-2.1K-69.5K-10.6K0.0037.68N/AN/A430431551
2010-07-26$67.77$65.0025.9%7.4%31.9%31.4%30.2%4.0%1.2%4.5K-240.6K-10.5K0.0051.47N/AN/A270444551
2010-07-27$67.25$65.0027.1%7.8%31.8%35.3%28.8%5.8%1.3%7.2K-136.5K-10.6K0.9254.37N/AN/A1312463551
2010-07-28$66.74$65.0027.2%7.8%28.3%35.6%26.0%6.3%1.0%2.5K19.7K-10.6K0.0043.48N/AN/A10465563
2010-07-29$66.86$65.0026.4%7.6%27.7%33.3%0.0%6.0%1.5%3.1K-3.8K-10.5K0.0065.27N/AN/A00465563
2010-07-30$67.21$65.0025.2%7.2%27.3%29.3%23.3%5.8%2.1%5.7K-88.1K-10.3K0.0048.18N/AN/A60465563