VAW Options History — January 2011

In January 2011, VAW traded between $80.52 and $84.09. ATM implied volatility averaged 22.4%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.6% (HV 20d: 13.8%). Max pain ranged from $82.00 to $82.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days.

Notable Days

  • 2011-01-07: Highest Volume — 10 contracts
  • 2011-01-28: Largest IV spike — 8.7% change
  • 2011-01-04: Highest IV Rank — 16.9%
  • 2011-01-04: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.54$80.52$84.09$83.25$82.76
Max Pain$82.00$82.00$82.00$82.00$82.00
ATM IV22.4%20.1%24.8%24.7%22.5%
Expected Move6.4%5.8%7.1%7.1%6.4%
HV 20d13.8%11.7%17.9%12.0%17.9%
HV 60d17.7%16.6%18.4%18.2%18.4%
IV Rank11.1%5.4%16.9%16.7%11.3%
IV Percentile26.5%3.2%52.8%51.6%31.0%
Term Structure0.3%-1.7%2.0%0.0%-1.7%
VWIV24.5%24.5%24.5%24.5%24.5%
Skew 25d5.5%4.8%6.9%5.2%6.3%
Skew 10d9.6%8.6%11.1%9.2%10.7%
Call IV 25d20.7%18.0%23.6%23.6%19.5%
Put IV 25d26.2%22.8%28.9%28.9%25.9%
Bid-Ask Spread %12.406.3121.119.4913.43
Gamma HHI0.130.100.160.100.16
Net GEX-14.8K-18.2K-10.3K-10.3K-16.6K
Net DEX90.4K51.6K141.8K74.8K75.2K
Net VEX-1.3K-1.4K-1.0K-1.4K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.501000
Total OI132.5125135125135

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$83.25$82.0024.7%7.1%12.0%16.7%0.0%5.2%0.0%-10.3K74.8K-1.4K0.009.49N/AN/A0015110
2011-01-04$82.64$82.0024.8%7.1%12.1%16.9%0.0%5.4%-0.6%-10.8K85.1K-1.4K0.008.54N/AN/A0015110
2011-01-05$82.78$82.0023.7%6.8%12.1%14.2%0.0%5.1%-0.4%-10.6K75.0K-1.4K0.0016.45N/AN/A0015110
2011-01-06$82.44$82.0024.0%6.9%12.2%14.9%0.0%5.3%1.8%-10.7K72.8K-1.3K0.0010.04N/AN/A0015110
2011-01-07$82.26$82.0024.5%7.0%11.8%16.3%24.5%5.5%1.8%-10.9K78.2K-1.3K0.006.31N/AN/A01015110
2011-01-10$82.39$82.0024.3%7.0%11.8%15.9%0.0%5.4%1.4%-15.0K110.3K-1.4K0.0011.36N/AN/A0015120
2011-01-11$83.07$82.0023.0%6.6%11.7%12.6%0.0%5.4%-0.7%-14.9K100.0K-1.4K0.0013.29N/AN/A0015120
2011-01-12$83.98$82.0022.3%6.4%12.2%10.7%0.0%5.1%-0.6%-14.2K77.7K-1.3K0.0010.80N/AN/A0015120
2011-01-13$83.35$82.0022.3%6.4%12.6%10.7%0.0%5.0%-0.5%-14.6K84.9K-1.3K0.0017.46N/AN/A0015120
2011-01-14$83.49$82.0022.0%6.3%12.3%10.0%0.0%5.0%-0.9%-14.7K82.2K-1.3K0.0010.98N/AN/A0015120
2011-01-18$84.09$82.0021.6%6.2%12.2%9.0%0.0%4.8%-0.9%-14.5K62.9K-1.2K0.0014.06N/AN/A0015120
2011-01-19$81.96$82.0021.9%6.3%15.3%9.8%0.0%5.5%1.8%-16.4K103.5K-1.3K0.0010.79N/AN/A0015120
2011-01-20$80.73$82.0022.0%6.3%16.1%10.1%0.0%6.0%1.8%-17.6K138.1K-1.3K0.0013.93N/AN/A0015120
2011-01-21$80.52$82.0021.0%6.0%15.4%7.5%0.0%6.0%2.0%-18.2K141.8K-1.3K0.0012.50N/AN/A0015120
2011-01-24$81.50$82.0020.8%6.0%14.2%7.1%0.0%6.0%1.5%-17.8K111.7K-1.2K0.0011.21N/AN/A0015120
2011-01-25$81.65$82.0020.2%5.8%14.2%5.7%0.0%5.5%1.7%-18.1K106.1K-1.2K0.0010.05N/AN/A0015120
2011-01-26$83.43$82.0020.1%5.8%16.2%5.4%0.0%4.8%-1.3%-15.8K51.6K-1.0K0.0010.75N/AN/A0015120
2011-01-27$82.89$82.0020.4%5.9%16.4%6.2%0.0%5.4%-1.1%-16.4K66.7K-1.1K0.0015.55N/AN/A0015120
2011-01-28$81.62$82.0022.2%6.4%17.2%10.6%0.0%6.9%1.6%-17.7K110.2K-1.2K0.0021.11N/AN/A0015120
2011-01-31$82.76$82.0022.5%6.4%17.9%11.3%0.0%6.3%-1.7%-16.6K75.2K-1.1K0.0013.43N/AN/A0015120