VAW Options History — April 2011 In April 2011, VAW traded between $84.86 and $89.61. ATM implied volatility averaged 26.0%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 10.4% (HV 20d: 15.5%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 0 of 20 trading days.
Notable Days 2011-04-27 : Largest IV drop — 6.6% change2011-04-29 : Highest IV Rank — 21.3%2011-04-29 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $87.58 $84.86 $89.61 $87.83 $89.61 Max Pain $75.00 $75.00 $75.00 $75.00 $75.00 ATM IV 26.0% 24.6% 27.8% 25.2% 27.8% Expected Move 7.4% 7.1% 8.0% 7.2% 8.0% HV 20d 15.5% 13.9% 19.4% 19.4% 14.7% HV 60d 19.5% 18.2% 20.2% 19.7% 18.2% IV Rank 18.2% 13.3% 21.3% 18.0% 21.3% IV Percentile 60.9% 47.6% 71.4% 58.3% 71.4% Skew 25d 3.4% -0.4% 4.9% 4.9% 1.7% Skew 10d 5.3% -0.4% 8.5% 7.9% 1.7% Call IV 25d 24.3% 22.7% 26.9% 22.8% 26.9% Put IV 25d 27.7% 26.4% 28.7% 27.7% 28.7% Bid-Ask Spread % 43.01 29.87 94.36 29.87 52.32 Gamma HHI 0.27 0.27 0.28 0.27 0.27 Net GEX -2.9K -3.8K -1.8K -3.1K -2.1K Net DEX -61.1K -81.5K -44.6K -52.0K -77.6K Net VEX -263 -348 -126 -348 -156 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 46 46 46 46 46
Daily Data (20 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 2011-04-01 $87.83 $75.00 25.2% 7.2% 19.4% 18.0% 0.0% 4.9% 0.0% -3.1K -52.0K -348 0.00 29.87 N/A N/A 0 0 11 35 2011-04-04 $88.41 $75.00 26.0% 7.4% 17.9% 19.8% 0.0% 4.6% 0.0% -2.8K -55.6K -326 0.00 34.24 N/A N/A 0 0 11 35 2011-04-05 $89.41 $75.00 26.2% 7.5% 18.0% 20.3% 0.0% 4.3% 0.0% -2.6K -61.9K -288 0.00 36.06 N/A N/A 0 0 11 35 2011-04-06 $88.77 $75.00 26.3% 7.5% 17.3% 20.6% 0.0% 4.3% 0.0% -2.7K -58.4K -310 0.00 31.55 N/A N/A 0 0 11 35 2011-04-07 $88.66 $75.00 26.3% 7.5% 14.1% 20.5% 0.0% 4.9% 0.0% -2.8K -57.8K -316 0.00 37.43 N/A N/A 0 0 11 35 2011-04-08 $88.01 $75.00 26.4% 7.6% 14.3% 20.8% 0.0% 4.1% 0.0% -3.0K -54.5K -314 0.00 31.25 N/A N/A 0 0 11 35 2011-04-11 $86.76 $75.00 26.2% 7.5% 15.6% 20.5% 0.0% 4.6% 0.0% -3.2K -58.2K -281 0.00 35.78 N/A N/A 0 0 11 35 2011-04-12 $85.50 $75.00 25.6% 7.4% 16.7% 19.0% 0.0% 4.5% 0.0% -3.3K -64.3K -241 0.00 34.54 N/A N/A 0 0 11 35 2011-04-13 $85.29 $75.00 25.4% 7.3% 14.9% 18.5% 0.0% 4.8% 0.0% -3.8K -44.6K -335 0.00 33.81 N/A N/A 0 0 11 35 2011-04-14 $85.50 $75.00 25.3% 7.3% 14.2% 18.3% 0.0% 3.8% 0.0% -3.5K -54.2K -298 0.00 37.33 N/A N/A 0 0 11 35 2011-04-15 $86.04 $75.00 24.8% 7.1% 14.2% 13.7% 0.0% 3.5% 0.0% -3.4K -57.8K -272 0.00 36.93 N/A N/A 0 0 11 35 2011-04-18 $84.86 $75.00 24.6% 7.1% 13.9% 13.3% 0.0% 3.8% 0.0% -3.8K -45.9K -322 0.00 40.66 N/A N/A 0 0 11 35 2011-04-19 $86.24 $75.00 25.0% 7.2% 14.9% 14.1% 0.0% 2.8% 0.0% -3.3K -54.1K -289 0.00 41.33 N/A N/A 0 0 11 35 2011-04-20 $87.32 $75.00 25.7% 7.4% 14.9% 15.9% 0.0% 2.2% 0.0% -3.0K -61.5K -255 0.00 40.83 N/A N/A 0 0 11 35 2011-04-21 $88.31 $75.00 25.9% 7.4% 15.2% 16.6% 0.0% 1.9% 0.0% -2.6K -67.7K -222 0.00 51.02 N/A N/A 0 0 11 35 2011-04-25 $87.96 $75.00 26.5% 7.6% 15.3% 18.0% 0.0% 2.4% 0.0% -2.7K -67.3K -214 0.00 50.16 N/A N/A 0 0 11 35 2011-04-26 $88.89 $75.00 27.6% 7.9% 15.4% 20.8% 0.0% 1.4% 0.0% -2.4K -72.7K -185 0.00 57.36 N/A N/A 0 0 11 35 2011-04-27 $89.06 $75.00 25.8% 7.4% 15.1% 16.2% 0.0% 3.6% 0.0% -2.3K -75.2K -165 0.00 53.48 N/A N/A 0 0 11 35 2011-04-28 $89.15 $75.00 26.7% 7.7% 14.7% 18.6% 0.0% -0.4% 0.0% -1.8K -81.5K -126 0.00 94.36 N/A N/A 0 0 11 35 2011-04-29 $89.61 $75.00 27.8% 8.0% 14.7% 21.3% 0.0% 1.7% 0.0% -2.1K -77.6K -156 0.00 52.32 N/A N/A 0 0 11 35
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