VAW Options History — December 2010

In December 2010, VAW traded between $79.01 and $83.63. ATM implied volatility averaged 26.5%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.2% (HV 20d: 18.3%). Max pain ranged from $68.00 to $82.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.06.

Notable Days

  • 2010-12-06: Highest Volume — 15 contracts
  • 2010-12-17: Largest IV drop — 61.8% change
  • 2010-12-16: Highest IV Rank — 100.0%
  • 2010-12-10: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.52$79.01$83.63$79.01$82.60
Max Pain$74.40$68.00$82.00$68.00$82.00
ATM IV26.5%19.6%58.6%23.6%23.1%
Expected Move6.4%5.6%8.5%6.8%6.6%
HV 20d18.3%12.5%24.2%23.9%12.5%
HV 60d19.2%18.1%19.4%19.3%18.1%
IV Rank28.1%4.2%100.0%24.1%12.7%
IV Percentile37.4%2.0%100.0%41.3%37.7%
Term Structure1.5%-13.3%5.5%1.5%0.1%
VWIV27.8%19.9%39.9%35.7%19.9%
Skew 25d2.6%-15.5%5.1%4.5%5.1%
Skew 10d6.7%-18.1%12.4%8.1%9.7%
Call IV 25d22.5%18.9%37.6%22.5%22.5%
Put IV 25d25.1%21.7%27.7%27.0%27.7%
Bid-Ask Spread %53.607.34122.6193.527.99
Gamma HHI0.150.100.220.210.10
Net GEX15.2K-11.7K107.8K107.8K-10.8K
Net DEX-2.7M-4.6M88.0K-4.1M85.5K
Net VEX-1.8K-3.8K-1.2K-3.8K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.330.000.33
Total Volume1.8101500
Total OI614.667124957957125

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$79.01$68.0023.6%6.8%23.9%24.1%0.0%4.5%1.5%107.8K-4.1M-3.8K0.0093.52N/AN/A00629328
2010-12-02$80.07$68.0022.2%6.4%24.2%19.2%35.7%3.0%2.5%73.6K-4.4M-3.0K0.00102.31N/AN/A100624328
2010-12-03$80.83$68.0021.1%6.0%21.7%15.5%0.0%1.8%3.8%42.8K-4.5M-2.4K0.00110.22N/AN/A00614328
2010-12-06$80.95$68.0021.9%6.3%21.7%18.2%21.9%2.1%3.0%33.3K-4.6M-2.1K0.00113.57N/AN/A150614328
2010-12-07$80.91$68.0023.0%6.6%21.7%21.8%39.9%1.6%2.1%34.6K-4.5M-2.1K0.00114.57N/AN/A30611328
2010-12-08$80.25$68.0022.1%6.3%20.9%18.8%0.0%2.4%3.0%32.9K-4.3M-2.1K0.00111.33N/AN/A00594328
2010-12-09$80.54$68.0021.4%6.1%20.9%16.6%0.0%1.5%3.1%32.3K-4.4M-2.0K0.00117.74N/AN/A00594328
2010-12-10$81.28$68.0029.6%8.5%20.9%43.6%0.0%-15.5%-13.3%17.0K-4.5M-1.8K0.00122.61N/AN/A50594328
2010-12-13$81.56$74.0036.9%7.0%18.8%67.8%0.0%2.3%2.1%13.1K-4.3M-1.7K0.0034.27N/AN/A00564328
2010-12-14$81.71$74.0040.0%6.9%18.4%76.9%0.0%2.0%1.9%7.9K-4.3M-1.5K0.0030.45N/AN/A00551328
2010-12-15$81.19$74.0043.9%6.8%16.4%90.6%0.0%4.7%1.5%16.3K-4.2M-1.7K0.0022.49N/AN/A00547328
2010-12-16$81.91$74.0058.6%6.7%16.5%100.0%0.0%4.4%1.6%9.9K-4.2M-1.6K0.0022.42N/AN/A00547328
2010-12-17$82.49$74.0022.4%6.4%15.4%11.1%21.4%4.0%2.0%-11.7K-4.3M-1.5K0.0024.80N/AN/A10547328
2010-12-20$82.72$0.0019.6%5.6%15.4%4.2%19.9%2.8%1.9%-11.4K270-1.5K0.3344.66N/AN/A3124109
2010-12-21$83.63$82.0019.8%5.7%15.6%4.6%0.0%3.7%5.5%-11.3K-11.5K-1.2K0.0010.14N/AN/A0022110
2010-12-22$81.80$82.0020.4%5.8%16.8%6.2%0.0%4.5%2.5%-11.5K88.0K-1.5K0.008.52N/AN/A0015110
2010-12-23$81.96$82.0021.1%6.0%15.9%7.8%0.0%4.7%2.6%-11.3K86.2K-1.5K0.009.18N/AN/A0015110
2010-12-27$81.91$82.0021.9%6.3%15.2%9.8%0.0%4.7%2.4%-11.3K85.9K-1.4K0.009.18N/AN/A0015110
2010-12-28$82.09$82.0022.1%6.3%15.2%10.2%0.0%5.0%2.6%-11.3K83.9K-1.4K0.007.34N/AN/A0014110
2010-12-29$82.57$82.0022.0%6.3%15.2%10.2%0.0%5.1%0.1%-10.9K83.0K-1.4K0.008.28N/AN/A0015110
2010-12-30$82.60$82.0023.1%6.6%12.5%12.7%0.0%5.1%0.1%-10.8K85.5K-1.4K0.007.99N/AN/A0015110