VAW Options History — August 2010

In August 2010, VAW traded between $64.01 and $68.91. ATM implied volatility averaged 26.9%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 2.3% (HV 20d: 24.6%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.48.

Notable Days

  • 2010-08-04: Highest Volume — 300 contracts
  • 2010-08-11: Largest IV spike — 16.4% change
  • 2010-08-24: Highest IV Rank — 46.6%
  • 2010-08-24: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.59$64.01$68.91$68.91$65.38
Max Pain$67.45$65.00$68.00$65.00$68.00
ATM IV26.9%22.2%30.5%23.9%28.4%
Expected Move7.8%6.7%8.7%6.8%8.2%
HV 20d24.6%22.0%28.8%27.7%23.7%
HV 60d30.8%27.2%34.0%34.0%27.2%
IV Rank34.8%19.4%46.6%24.7%39.9%
IV Percentile43.5%14.7%71.4%25.8%52.4%
Term Structure1.7%0.9%2.6%1.6%1.8%
VWIV27.4%24.6%31.9%25.8%24.6%
Skew 25d6.7%3.7%8.4%3.7%5.8%
Skew 10d13.7%9.1%17.1%9.1%14.6%
Call IV 25d24.6%22.0%27.3%23.9%25.5%
Put IV 25d31.3%27.3%35.2%27.5%31.3%
Bid-Ask Spread %58.9636.5280.9676.6466.85
Gamma HHI0.140.120.180.130.17
Net GEX-47.5K-157.0K67.2K16.7K-131.6K
Net DEX627.5K-1.4M2.8M-671.8K1.8M
Net VEX-15.7K-18.6K-9.8K-9.9K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.0037.505.000.00
Total Volume69.7270300121
Total OI1,719.1361,0312,0941,0312,067

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$68.91$65.0023.9%6.8%27.7%24.7%0.0%3.7%1.6%16.7K-671.8K-9.9K5.0076.64N/AN/A210468563
2010-08-03$67.82$65.0025.1%7.2%28.8%28.8%0.0%5.7%1.0%10.8K-291.6K-10.1K0.0078.63N/AN/A010468573
2010-08-04$68.46$65.0024.8%7.1%26.1%28.0%25.8%5.4%1.1%16.4K-534.3K-9.8K0.0074.45N/AN/A3000468563
2010-08-05$68.61$65.0023.5%6.7%25.8%23.7%0.0%4.9%1.5%67.2K-1.4M-13.9K4.5380.96N/AN/A30136746563
2010-08-06$68.40$68.0022.9%7.3%25.0%21.5%27.5%7.1%1.9%56.9K-1.1M-15.9K1.1036.52N/AN/A3033776676
2010-08-09$68.76$68.0022.2%7.1%24.2%19.4%25.6%7.2%2.0%58.3K-1.3M-16.1K0.0038.09N/AN/A0119806705
2010-08-10$68.00$68.0023.6%7.4%23.6%23.9%0.0%6.8%2.6%15.2K-567.6K-17.2K0.0043.83N/AN/A10806824
2010-08-11$65.76$68.0027.5%8.1%26.8%36.7%0.0%7.9%1.8%-4.0K598.9K-16.3K0.0054.57N/AN/A00807824
2010-08-12$66.05$68.0028.6%8.2%26.9%40.4%0.0%8.1%2.0%-383475.7K-16.1K0.0049.04N/AN/A600807824
2010-08-13$65.70$68.0028.9%8.3%24.1%41.3%28.8%8.4%2.0%7.1K327.2K-16.0K0.0043.99N/AN/A070858824
2010-08-16$66.00$68.0028.7%8.2%24.1%40.9%28.8%7.9%2.1%-11.8K407.1K-16.1K37.5047.83N/AN/A4150858894
2010-08-17$67.68$68.0026.6%7.6%23.6%33.7%26.7%7.6%2.4%-44.0K-206.7K-17.5K1.7451.51N/AN/A42738621,044
2010-08-18$67.91$68.0026.6%7.6%23.4%33.7%28.3%7.3%2.1%-59.7K-289.2K-18.6K0.0051.58N/AN/A0859041,117
2010-08-19$66.38$68.0029.5%8.4%23.5%43.2%0.0%7.3%1.3%-98.8K1.0M-18.4K0.0057.02N/AN/A009041,190
2010-08-20$66.15$68.0027.9%8.0%22.0%38.1%27.0%6.7%2.5%-108.9K1.2M-18.1K0.0058.91N/AN/A4209041,190
2010-08-23$65.43$68.0028.5%8.2%22.2%40.1%27.5%7.0%1.2%-157.0K2.2M-16.7K0.4762.21N/AN/A70337841,126
2010-08-24$64.01$68.0030.5%8.7%23.2%46.6%26.9%7.9%1.4%-126.9K2.8M-16.1K12.0050.04N/AN/A1128541,119
2010-08-25$64.23$68.0029.9%8.6%23.2%44.5%29.0%6.9%1.5%-135.9K2.8M-16.1K0.2557.25N/AN/A55148541,131
2010-08-26$64.23$68.0030.1%8.6%23.2%45.4%31.9%6.3%0.9%-127.0K2.7M-16.3K0.7768.04N/AN/A13108961,142
2010-08-27$66.07$68.0026.1%7.5%25.5%32.0%25.8%5.3%2.0%-148.3K1.5M-17.2K8.3377.08N/AN/A3258931,132
2010-08-30$65.05$68.0028.3%8.1%24.0%39.3%24.6%5.9%1.5%-140.1K2.2M-16.0K0.0072.02N/AN/A10008961,111
2010-08-31$65.38$68.0028.4%8.2%23.7%39.9%0.0%5.8%1.8%-131.6K1.8M-16.6K0.0066.85N/AN/A109561,111