VAW Options History — February 2011 In February 2011, VAW traded between $83.02 and $87.86. ATM implied volatility averaged 23.4%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.4% (HV 20d: 19.9%). Max pain ranged from $80.00 to $82.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2011-02-08 : Highest Volume — 17 contracts2011-02-10 : Largest IV drop — 26.4% change2011-02-08 : Highest IV Rank — 27.4%2011-02-02 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $85.40 $83.02 $87.86 $85.02 $85.19 Max Pain $80.32 $80.00 $82.00 $82.00 $80.00 ATM IV 23.4% 20.2% 29.0% 24.7% 20.6% Expected Move 6.3% 5.8% 7.3% 7.1% 5.9% HV 20d 19.9% 16.8% 22.0% 20.2% 20.7% HV 60d 17.4% 16.3% 19.1% 19.1% 17.7% IV Rank 13.5% 5.7% 27.4% 16.6% 6.7% IV Percentile 36.2% 5.2% 76.6% 52.8% 8.7% Term Structure -0.8% -7.7% 5.1% -5.5% -0.2% VWIV 19.5% 19.5% 19.5% 19.5% 19.5% Skew 25d 4.3% 2.7% 6.7% 4.2% 4.8% Skew 10d 8.2% 5.8% 11.3% 8.3% 5.8% Call IV 25d 20.5% 19.2% 22.9% 20.2% 19.2% Put IV 25d 24.8% 23.0% 29.6% 24.4% 23.9% Bid-Ask Spread % 80.30 57.94 96.57 73.31 82.09 Gamma HHI 0.23 0.15 0.36 0.15 0.36 Net GEX -2.6K -13.0K 7.9K -12.8K 7.9K Net DEX -47.6K -140.6K 18.4K 13.4K -70.6K Net VEX -858 -981 -735 -893 -762 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.895 0 17 0 0 Total OI 143.737 135 152 135 141
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-02-01 $85.02 $82.00 24.7% 7.1% 20.2% 16.6% 0.0% 4.2% -5.5% -12.8K 13.4K -893 0.00 73.31 N/A N/A 0 0 15 120 2011-02-02 $84.76 $82.00 25.5% 7.3% 20.0% 18.7% 0.0% 4.2% -6.6% -13.0K 18.4K -903 0.00 78.35 N/A N/A 0 0 15 120 2011-02-03 $85.01 $82.00 25.3% 7.3% 20.0% 18.3% 0.0% 4.1% -7.7% -12.6K 11.7K -885 0.00 88.02 N/A N/A 0 0 15 120 2011-02-04 $85.06 $80.00 24.2% 5.8% 19.9% 15.5% 0.0% 4.0% -1.8% -12.8K 5.7K -844 0.00 73.71 N/A N/A 0 0 15 120 2011-02-07 $85.52 $80.00 27.2% 6.0% 19.9% 22.9% 0.0% 3.7% -2.4% -11.3K -5.7K -794 0.00 66.25 N/A N/A 0 0 15 120 2011-02-08 $85.91 $80.00 29.0% 5.9% 19.9% 27.4% 19.5% 3.6% -1.8% -10.1K -12.6K -777 0.00 78.65 N/A N/A 17 0 15 120 2011-02-09 $85.04 $80.00 28.3% 5.9% 20.2% 25.6% 0.0% 4.0% -1.6% -3.4K -54.4K -981 0.00 84.81 N/A N/A 0 0 32 120 2011-02-10 $85.37 $80.00 20.8% 6.0% 19.9% 7.3% 0.0% 3.9% -2.1% -2.6K -61.8K -963 0.00 57.94 N/A N/A 0 0 32 120 2011-02-11 $85.89 $80.00 21.0% 6.0% 19.7% 7.5% 0.0% 3.9% -1.4% -479 -76.2K -945 0.00 82.55 N/A N/A 0 0 32 120 2011-02-14 $86.81 $80.00 20.6% 5.9% 20.0% 6.6% 0.0% 3.5% -0.8% 2.1K -102.7K -862 0.00 83.40 N/A N/A 0 0 32 120 2011-02-15 $85.98 $80.00 21.8% 6.3% 20.3% 9.6% 0.0% 4.0% -1.6% 388 -80.9K -887 0.00 82.08 N/A N/A 0 0 32 120 2011-02-16 $87.10 $80.00 20.2% 5.8% 18.1% 5.7% 0.0% 3.4% -0.3% 4.0K -113.9K -815 0.00 78.72 N/A N/A 0 0 32 120 2011-02-17 $87.86 $80.00 20.5% 5.9% 16.8% 6.3% 0.0% 2.7% -0.3% 5.6K -140.6K -735 0.00 76.18 N/A N/A 0 0 32 120 2011-02-18 $87.04 $80.00 20.7% 5.9% 17.4% 6.8% 0.0% 3.8% -0.1% 4.5K -113.3K -796 0.00 79.11 N/A N/A 0 0 32 120 2011-02-22 $84.13 $80.00 24.1% 6.9% 21.6% 15.3% 0.0% 6.1% 4.0% 1.4K -41.0K -881 0.00 88.82 N/A N/A 0 0 32 109 2011-02-23 $83.40 $80.00 24.4% 7.0% 22.0% 16.0% 0.0% 6.7% 4.2% -404 -18.4K -889 0.00 87.51 N/A N/A 0 0 32 109 2011-02-24 $83.02 $80.00 23.6% 6.8% 20.6% 14.0% 0.0% 6.5% 5.1% -661 -8.5K -900 0.00 87.52 N/A N/A 0 0 32 109 2011-02-25 $84.52 $80.00 21.5% 6.2% 21.5% 8.8% 0.0% 5.3% 4.9% 4.6K -53.0K -787 0.00 96.57 N/A N/A 0 0 32 109 2011-02-28 $85.19 $80.00 20.6% 5.9% 20.7% 6.7% 0.0% 4.8% -0.2% 7.9K -70.6K -762 0.00 82.09 N/A N/A 0 0 32 109
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