VAW Options History — September 2010

In September 2010, VAW traded between $67.43 and $71.80. ATM implied volatility averaged 23.1%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.3% (HV 20d: 21.7%). Max pain ranged from $65.00 to $68.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 4.04.

Notable Days

  • 2010-09-13: Highest Volume — 326 contracts
  • 2010-09-07: Largest IV spike — 19.3% change
  • 2010-09-01: Highest IV Rank — 29.5%
  • 2010-09-07: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.05$67.43$71.80$67.43$70.90
Max Pain$66.29$65.00$68.00$68.00$68.00
ATM IV23.1%20.1%25.3%25.3%22.7%
Expected Move6.7%5.8%7.5%7.3%6.5%
HV 20d21.7%14.1%27.0%26.1%14.1%
HV 60d25.6%22.8%27.7%27.6%22.8%
IV Rank22.2%12.4%29.5%29.5%21.0%
IV Percentile22.6%2.4%35.3%34.1%23.0%
Term Structure2.0%1.4%2.6%2.1%1.7%
VWIV22.3%13.9%30.5%19.9%23.6%
Skew 25d4.2%2.9%5.3%4.9%4.8%
Skew 10d8.2%5.1%15.4%15.4%5.1%
Call IV 25d22.5%20.1%24.6%22.8%20.8%
Put IV 25d26.7%23.0%29.9%27.6%25.7%
Bid-Ask Spread %56.2325.17103.2786.5588.76
Gamma HHI0.240.160.500.170.22
Net GEX-71.7K-447.4K156.0K-125.8K153.9K
Net DEX-1.9M-2.9M114.1K114.1K-2.6M
Net VEX-12.9K-17.2K-10.2K-17.2K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.040.0043.000.001.70
Total Volume56.61903263227
Total OI1,791.1439382,6542,0681,108

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$67.43$68.0025.3%7.3%26.1%29.5%19.9%4.9%2.1%-125.8K114.1K-17.2K0.0086.55N/AN/A3209571,111
2010-09-02$68.25$68.0023.9%6.8%26.5%24.7%13.9%4.3%2.1%-103.4K-706.2K-17.1K0.00103.27N/AN/A209831,111
2010-09-03$69.06$65.0020.1%6.9%26.8%12.4%25.0%3.9%2.5%-81.2K-1.6M-16.1K1.3634.45N/AN/A22309831,111
2010-09-07$68.44$65.0024.0%7.5%27.0%25.3%0.0%5.3%1.6%-134.3K-818.1K-15.6K6.2525.17N/AN/A4259651,141
2010-09-08$68.86$65.0022.4%7.3%26.7%20.1%30.5%4.8%1.4%-122.8K-1.3M-15.2K0.0030.55N/AN/A0619691,156
2010-09-09$68.72$65.0025.1%7.2%23.6%28.8%0.0%5.1%2.1%-184.3K-987.7K-15.2K0.0033.90N/AN/A02609691,216
2010-09-10$69.09$65.0025.0%7.2%23.6%28.5%0.0%4.3%1.9%-301.7K-1.2M-15.1K0.0028.84N/AN/A0139691,402
2010-09-13$70.27$65.0024.4%7.0%23.9%26.7%0.0%3.3%1.5%-126.1K-2.6M-13.4K8.0645.76N/AN/A362909691,405
2010-09-14$70.23$65.0024.1%6.9%24.0%25.5%0.0%3.9%2.4%-433.3K-2.0M-13.5K3.0039.78N/AN/A139741,680
2010-09-15$70.18$65.0024.3%7.0%22.5%26.4%0.0%3.8%2.1%-447.4K-2.0M-13.1K0.0039.58N/AN/A109731,677
2010-09-16$70.50$65.0023.8%6.8%22.6%24.6%0.0%3.5%2.3%-333.8K-2.8M-12.2K0.0044.03N/AN/A809741,677
2010-09-17$70.49$65.0023.5%6.7%20.6%23.4%0.0%3.6%2.5%-364.8K-2.1M-12.4K0.0047.18N/AN/A2809741,677
2010-09-20$71.03$65.0022.4%6.4%20.5%20.1%0.0%3.3%2.1%111.3K-2.2M-10.9K43.0054.44N/AN/A286670322
2010-09-21$70.66$65.0022.6%6.5%20.1%20.4%24.3%4.9%1.6%120.1K-2.2M-10.4K1.2653.97N/AN/A89112670268
2010-09-22$70.78$68.0021.5%6.2%17.7%16.8%21.2%4.3%2.6%126.9K-2.3M-10.9K0.0052.00N/AN/A150729340
2010-09-23$70.07$68.0023.1%6.6%18.5%22.4%21.2%5.1%1.9%128.1K-2.1M-10.9K0.0056.63N/AN/A240734340
2010-09-24$71.80$68.0020.2%5.8%19.7%12.5%21.2%2.9%2.4%152.2K-2.9M-10.6K0.0081.27N/AN/A50758340
2010-09-27$71.49$68.0022.5%6.4%18.1%20.2%0.0%3.7%1.7%150.4K-2.8M-10.4K0.0078.29N/AN/A110760340
2010-09-28$71.70$68.0021.3%6.1%16.5%16.1%0.0%4.0%2.0%156.0K-2.9M-10.3K0.0079.06N/AN/A00766340
2010-09-29$71.15$68.0022.4%6.4%17.1%20.0%0.0%4.8%2.2%155.1K-2.7M-10.3K0.0077.35N/AN/A02766340
2010-09-30$70.90$68.0022.7%6.5%14.1%21.0%23.6%4.8%1.7%153.9K-2.6M-10.2K1.7088.76N/AN/A1017766342