VAW Options History — November 2010

In November 2010, VAW traded between $75.08 and $79.30. ATM implied volatility averaged 24.4%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.0% (HV 20d: 20.4%). 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 17 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2010-11-16: Highest Volume — 106 contracts
  • 2010-11-12: Largest IV spike — 13.7% change
  • 2010-11-30: Highest IV Rank — 36.2%
  • 2010-11-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.18$75.08$79.30$75.63$76.93
Max Pain$69.33$68.00$75.00$75.00$68.00
ATM IV24.4%21.1%27.3%25.9%27.3%
Expected Move7.0%6.4%7.8%7.4%7.8%
HV 20d20.4%17.2%22.4%19.1%22.2%
HV 60d19.9%18.7%20.6%20.6%18.7%
IV Rank26.5%15.6%36.2%31.6%36.2%
IV Percentile43.2%10.7%67.5%52.0%67.5%
Term Structure1.1%-1.3%3.3%-0.6%0.6%
VWIV25.7%21.9%34.0%24.7%28.1%
Skew 25d4.8%0.7%6.6%3.7%6.3%
Skew 10d10.1%3.7%15.3%6.6%10.7%
Call IV 25d22.9%20.4%25.6%25.2%24.7%
Put IV 25d27.6%24.5%31.1%28.8%30.9%
Bid-Ask Spread %70.5451.21103.4651.2178.16
Gamma HHI0.220.200.290.210.25
Net GEX144.4K116.3K204.6K134.0K142.5K
Net DEX-3.5M-4.2M-2.7M-2.9M-3.4M
Net VEX-5.8K-7.5K-4.6K-7.5K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0010.000.000.42
Total Volume15.619010600
Total OI956.2869141,006929957

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$75.63$75.0025.9%7.4%19.1%31.6%0.0%3.7%-0.6%134.0K-2.9M-7.5K0.0051.21N/AN/A00641288
2010-11-02$76.39$75.0026.6%7.6%17.2%33.6%0.0%3.5%-1.3%136.6K-3.2M-7.0K0.0067.34N/AN/A00641288
2010-11-03$76.22$75.0024.7%7.1%17.2%27.6%24.7%3.5%-0.5%141.3K-3.2M-6.9K0.0062.70N/AN/A100641288
2010-11-04$78.69$75.0023.9%6.9%19.8%24.9%0.0%0.7%-0.2%124.2K-4.0M-5.4K0.00103.46N/AN/A00651288
2010-11-05$78.94$68.0021.1%6.4%19.0%15.6%34.0%3.2%2.3%119.0K-4.1M-5.3K0.3354.16N/AN/A62651288
2010-11-08$79.30$68.0021.5%6.4%19.0%17.0%22.2%3.4%2.4%116.4K-4.2M-4.7K10.0063.23N/AN/A110651288
2010-11-09$77.97$68.0023.1%6.8%20.3%22.3%27.1%5.7%1.7%137.4K-3.8M-5.7K0.0056.95N/AN/A019652298
2010-11-10$78.48$68.0022.9%7.0%19.6%21.7%25.5%4.9%1.7%129.5K-4.0M-5.3K0.0055.60N/AN/A020652295
2010-11-11$79.09$68.0023.4%6.7%19.3%23.2%0.0%5.1%1.9%116.3K-4.1M-5.1K0.0063.79N/AN/A00652315
2010-11-12$77.27$68.0026.6%7.6%21.4%33.8%0.0%5.9%1.3%140.7K-3.5M-6.2K0.0064.33N/AN/A00652315
2010-11-15$76.71$68.0025.8%7.4%21.6%31.2%26.7%5.8%1.7%163.3K-3.4M-5.9K0.5371.83N/AN/A3217652315
2010-11-16$75.08$68.0027.1%7.8%21.5%35.3%26.9%6.6%1.1%181.8K-2.7M-6.5K0.2371.76N/AN/A8620664312
2010-11-17$75.10$68.0025.9%7.4%20.3%31.5%0.0%6.3%1.6%176.6K-2.7M-7.0K0.0066.98N/AN/A00667332
2010-11-18$76.61$68.0023.4%6.7%21.4%23.1%23.7%5.4%2.8%204.6K-3.4M-6.2K0.0075.51N/AN/A220667332
2010-11-19$77.12$68.0022.2%6.4%21.4%19.2%22.2%4.6%3.3%185.4K-3.7M-5.7K0.0074.85N/AN/A010674332
2010-11-22$77.49$68.0022.3%6.4%20.5%19.6%21.9%3.9%0.7%121.3K-3.6M-4.6K0.6283.54N/AN/A3421602312
2010-11-23$76.25$68.0024.3%7.0%21.4%26.3%25.5%5.2%0.6%148.4K-3.1M-5.9K0.4281.11N/AN/A125625333
2010-11-24$77.62$68.0023.0%6.6%22.1%21.9%0.0%5.2%0.5%130.2K-3.6M-5.2K0.0086.54N/AN/A00629328
2010-11-26$76.86$68.0025.2%7.2%22.4%29.2%0.0%5.9%1.4%142.0K-3.3M-5.3K0.0081.54N/AN/A00629328
2010-11-29$76.98$68.0026.2%7.5%22.2%32.5%28.1%5.8%0.6%141.8K-3.4M-5.0K0.0066.71N/AN/A01629328
2010-11-30$76.93$68.0027.3%7.8%22.2%36.2%0.0%6.3%0.6%142.5K-3.4M-5.0K0.0078.16N/AN/A00629328