VAW Options History — March 2011

In March 2011, VAW traded between $80.51 and $87.36. ATM implied volatility averaged 25.9%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.7% (HV 20d: 22.2%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-03-30: Highest Volume — 20 contracts
  • 2011-03-18: Largest IV spike — 58.9% change
  • 2011-03-18: Highest IV Rank — 52.5%
  • 2011-03-11: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.86$80.51$87.36$83.47$87.36
Max Pain$76.96$75.00$80.00$80.00$75.00
ATM IV25.9%20.2%39.3%21.8%25.4%
Expected Move7.3%5.8%8.8%6.3%7.3%
HV 20d22.2%19.3%25.2%21.7%19.5%
HV 60d19.0%17.3%19.9%17.5%19.7%
IV Rank19.8%5.6%52.5%9.6%18.5%
IV Percentile53.1%4.8%96.4%22.6%60.7%
Term Structure3.6%-8.6%7.6%6.5%-8.6%
VWIV24.6%17.3%31.8%17.3%31.8%
Skew 25d5.3%0.7%12.7%6.2%5.0%
Skew 10d8.0%2.9%19.3%11.3%6.9%
Call IV 25d22.8%16.8%29.7%21.1%22.9%
Put IV 25d28.1%23.6%33.5%27.3%27.9%
Bid-Ask Spread %49.9519.0499.9984.2031.25
Gamma HHI0.280.210.400.250.27
Net GEX-3.3K-14.5K10.4K1.5K-3.1K
Net DEX-17.2K-76.8K51.8K-23.0K-59.8K
Net VEX-583-773-291-773-291
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.60902000
Total OI100.6964614114146

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$83.47$80.0021.8%6.3%21.7%9.6%0.0%6.2%6.5%1.5K-23.0K-7730.0084.20N/AN/A0032109
2011-03-02$83.70$80.0021.6%6.2%19.3%9.2%0.0%5.7%6.7%2.6K-27.5K-7710.0075.28N/AN/A0032109
2011-03-03$85.41$80.0020.2%5.8%20.7%5.6%0.0%4.8%0.8%10.4K-76.8K-7190.0058.49N/AN/A0032109
2011-03-04$84.96$80.0020.3%5.8%20.7%6.0%0.0%5.5%5.0%8.8K-65.0K-6980.0068.80N/AN/A0032109
2011-03-07$83.43$80.0021.9%6.3%21.7%9.9%0.0%5.9%6.7%1.7K-17.8K-7010.0074.00N/AN/A0032109
2011-03-08$84.22$80.0021.3%6.1%21.9%8.3%0.0%5.9%6.7%5.7K-37.9K-6650.0073.27N/AN/A0032109
2011-03-09$83.02$80.0026.4%7.6%22.3%20.9%0.0%8.9%7.6%-301-7.7K-7010.0093.23N/AN/A0032109
2011-03-10$81.04$80.0028.0%8.0%23.5%24.9%17.3%12.7%0.9%-8.5K41.8K-7230.0099.99N/AN/A17032109
2011-03-11$82.09$80.0030.9%8.8%24.1%31.8%0.0%8.2%-8.6%-8.9K21.0K-6610.0094.89N/AN/A0020109
2011-03-14$82.25$75.0037.3%8.3%23.9%47.7%0.0%1.7%0.0%-8.8K16.2K-6400.0019.04N/AN/A0020109
2011-03-15$82.05$75.0025.3%8.4%23.4%18.1%0.0%2.0%0.0%-10.8K20.0K-6310.0022.94N/AN/A0020109
2011-03-16$80.51$75.0033.1%8.5%24.0%37.3%0.0%3.8%0.0%-14.5K51.8K-6690.0024.53N/AN/A0020109
2011-03-17$81.70$75.0024.7%8.4%24.2%16.8%0.0%2.7%0.0%-13.1K16.6K-6060.0027.25N/AN/A0020109
2011-03-18$82.30$75.0039.3%8.1%24.1%52.5%0.0%2.1%0.0%-9.2K4.1K-5860.0026.49N/AN/A0020109
2011-03-21$83.84$75.0024.2%6.9%25.2%15.4%0.0%6.4%0.0%-4.0K-16.5K-5140.0036.96N/AN/A001135
2011-03-22$83.61$75.0026.8%7.7%22.2%21.9%0.0%0.7%0.0%-4.0K-17.4K-5100.0030.01N/AN/A001135
2011-03-23$84.65$75.0024.2%6.9%22.4%15.5%0.0%4.9%0.0%-3.9K-25.3K-4830.0036.54N/AN/A001135
2011-03-24$85.11$75.0024.5%7.0%22.3%16.1%0.0%5.3%0.0%-3.8K-28.4K-4670.0037.63N/AN/A001135
2011-03-25$85.64$75.0025.2%7.2%21.5%17.9%0.0%5.3%0.0%-3.6K-31.6K-4530.0034.68N/AN/A001135
2011-03-28$85.22$75.0025.0%7.2%21.4%17.4%0.0%5.7%0.0%-3.7K-29.5K-4570.0036.97N/AN/A001135
2011-03-29$86.10$75.0024.7%7.1%20.3%16.7%0.0%5.2%0.0%-3.6K-45.5K-3710.0029.81N/AN/A001135
2011-03-30$87.10$75.0024.7%7.1%20.6%16.7%31.8%6.3%0.0%-3.1K-57.3K-3200.0032.56N/AN/A0201135
2011-03-31$87.36$75.0025.4%7.3%19.5%18.5%0.0%5.0%0.0%-3.1K-59.8K-2910.0031.25N/AN/A001135