VAW Options History — October 2010

In October 2010, VAW traded between $70.69 and $75.90. ATM implied volatility averaged 22.4%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.9% (HV 20d: 18.5%). Max pain ranged from $68.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.71.

Notable Days

  • 2010-10-21: Highest Volume — 60 contracts
  • 2010-10-13: Largest IV spike — 64.7% change
  • 2010-10-13: Highest IV Rank — 59.6%
  • 2010-10-29: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.23$70.69$75.90$71.69$75.65
Max Pain$70.53$68.00$75.00$68.00$75.00
ATM IV22.4%19.4%34.4%20.1%25.1%
Expected Move6.4%5.8%7.2%5.8%7.2%
HV 20d18.5%14.0%21.3%14.0%20.1%
HV 60d21.5%20.3%22.9%22.7%20.6%
IV Rank19.9%10.2%59.6%12.3%29.0%
IV Percentile21.2%2.4%91.3%2.4%49.2%
Term Structure1.3%-0.3%2.9%2.9%-0.3%
VWIV22.8%20.8%26.4%26.4%26.1%
Skew 25d3.7%2.4%4.9%3.5%3.7%
Skew 10d6.2%4.1%8.7%5.7%7.2%
Call IV 25d21.8%19.3%24.4%19.3%24.4%
Put IV 25d25.5%22.8%28.1%22.8%28.1%
Bid-Ask Spread %39.2212.1891.9391.9350.10
Gamma HHI0.260.210.320.230.21
Net GEX130.0K89.8K161.3K157.7K133.4K
Net DEX-3.2M-4.2M-2.0M-2.9M-3.0M
Net VEX-8.3K-10.0K-7.5K-10.0K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.710.0025.0017.500.57
Total Volume15.19060010
Total OI1,014.6198311,1681,123919

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$71.69$68.0020.1%5.8%14.0%12.3%0.0%3.5%2.9%157.7K-2.9M-10.0K0.0091.93N/AN/A00769354
2010-10-04$70.69$0.0022.0%6.8%14.7%18.7%0.0%4.1%1.4%159.9K-2.5M-9.7K0.0012.18N/AN/A00769354
2010-10-05$72.63$0.0020.3%6.4%16.8%13.2%0.0%3.7%0.7%161.3K-3.4M-9.1K0.0024.72N/AN/A00769354
2010-10-06$73.13$0.0020.2%6.5%16.9%12.5%0.0%3.9%1.3%158.2K-3.6M-8.7K17.5025.34N/AN/A235769354
2010-10-07$72.60$0.0021.0%6.6%17.2%15.2%0.0%4.2%0.9%157.2K-3.4M-9.1K0.0022.90N/AN/A00771374
2010-10-08$74.00$0.0019.4%6.3%18.1%10.2%0.0%3.4%1.5%142.3K-3.9M-8.4K0.0035.07N/AN/A10771374
2010-10-11$74.01$0.0020.9%6.5%17.4%15.0%26.4%3.7%1.6%137.5K-4.0M-8.1K25.0027.23N/AN/A125772374
2010-10-12$74.15$69.0020.9%6.4%17.4%14.9%0.0%3.9%1.6%123.5K-3.9M-8.3K0.0038.93N/AN/A00758399
2010-10-13$75.43$69.0034.4%6.3%18.1%59.6%21.9%2.8%1.4%105.1K-4.2M-7.7K0.0038.39N/AN/A120757399
2010-10-14$74.77$69.0022.8%6.5%18.6%21.3%0.0%4.1%1.4%89.8K-4.0M-8.0K0.0034.90N/AN/A100759399
2010-10-15$75.01$69.0022.2%6.4%18.5%19.3%0.0%3.7%1.6%115.3K-4.1M-8.1K0.5031.80N/AN/A2010769399
2010-10-18$75.20$69.0021.6%6.2%18.5%17.3%0.0%3.8%1.7%93.7K-2.4M-7.8K0.0045.94N/AN/A00537294
2010-10-19$73.55$69.0022.5%6.5%20.3%20.4%21.7%4.9%1.5%100.7K-2.0M-8.2K0.1935.95N/AN/A275537294
2010-10-20$75.06$69.0021.5%6.2%21.3%16.9%20.8%3.5%1.7%105.1K-2.5M-7.8K0.0043.00N/AN/A200557299
2010-10-21$74.96$69.0021.3%6.1%20.9%16.2%20.9%3.6%1.6%117.0K-2.5M-7.9K2.7546.93N/AN/A1644577299
2010-10-22$74.55$69.0021.1%6.1%19.5%15.8%21.1%3.6%1.4%130.0K-2.5M-8.0K0.0036.52N/AN/A170593271
2010-10-25$75.90$69.0021.9%6.3%20.2%18.3%22.1%2.4%0.9%132.5K-2.9M-7.5K0.6755.53N/AN/A64604271
2010-10-26$75.73$75.0022.2%6.4%20.3%19.1%0.0%3.2%1.2%132.7K-2.9M-7.5K1.0046.47N/AN/A1010610275
2010-10-27$75.18$75.0024.0%6.9%20.2%25.3%24.6%4.8%0.5%137.5K-2.8M-7.8K0.5738.70N/AN/A2112620265
2010-10-28$74.98$75.0024.8%7.1%20.2%27.7%0.0%4.3%0.3%140.3K-2.7M-8.0K0.0041.11N/AN/A01641277
2010-10-29$75.65$75.0025.1%7.2%20.1%29.0%26.1%3.7%-0.3%133.4K-3.0M-7.7K0.0050.10N/AN/A010641278