VAW Options History — May 2011

In May 2011, VAW traded between $83.51 and $88.92. ATM implied volatility averaged 28.3%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 10.6% (HV 20d: 17.7%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 0 of 21 trading days.

Notable Days

  • 2011-05-27: Largest IV drop — 10.7% change
  • 2011-05-10: Highest IV Rank — 25.8%
  • 2011-05-10: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.72$83.51$88.92$88.92$87.13
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV28.3%25.5%29.5%28.1%25.5%
Expected Move8.1%7.3%8.5%8.0%7.3%
HV 20d17.7%15.0%19.5%15.0%19.5%
HV 60d18.7%17.7%19.6%18.2%17.8%
IV Rank22.7%15.4%25.8%22.0%15.4%
IV Percentile73.9%54.4%81.0%72.6%54.4%
Skew 25d-1.5%-18.3%3.9%0.3%-15.0%
Skew 10d0.2%-18.3%5.9%0.3%-15.0%
Call IV 25d29.1%26.1%34.8%27.9%33.0%
Put IV 25d27.6%16.5%30.8%28.2%18.0%
Bid-Ask Spread %71.9248.63121.8569.12117.67
Gamma HHI0.290.270.460.280.46
Net GEX-3.2K-4.5K-937-2.3K-937
Net DEX-66.0K-92.8K-52.7K-76.4K-92.8K
Net VEX-159-242-16-157-16
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI4646464646

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$88.92$75.0028.1%8.0%15.0%22.0%0.0%0.3%0.0%-2.3K-76.4K-1570.0069.12N/AN/A001135
2011-05-03$87.79$75.0028.1%8.1%15.5%22.2%0.0%1.2%0.0%-2.7K-68.5K-1890.0062.24N/AN/A001135
2011-05-04$86.24$75.0027.4%7.9%16.1%20.4%0.0%2.6%0.0%-3.2K-59.2K-2290.0048.68N/AN/A001135
2011-05-05$85.44$75.0029.4%8.4%16.2%25.5%0.0%2.6%0.0%-3.6K-56.2K-2230.0048.63N/AN/A001135
2011-05-06$86.07$75.0029.3%8.4%16.5%25.1%0.0%2.6%0.0%-3.4K-54.3K-2420.0061.39N/AN/A001135
2011-05-09$87.35$75.0028.3%8.1%17.3%22.7%0.0%3.9%0.0%-2.8K-66.0K-1890.0060.34N/AN/A001135
2011-05-10$88.05$75.0029.5%8.5%16.7%25.8%0.0%0.4%0.0%-2.4K-74.7K-1420.0062.37N/AN/A001135
2011-05-11$85.88$75.0029.1%8.3%18.3%24.6%0.0%1.7%0.0%-3.3K-59.0K-2100.0059.76N/AN/A001135
2011-05-12$85.88$75.0028.6%8.2%18.3%23.4%0.0%1.2%0.0%-3.3K-61.2K-1820.0055.26N/AN/A001135
2011-05-13$84.75$75.0028.9%8.3%18.9%24.1%0.0%0.7%0.0%-3.8K-53.6K-2030.0057.62N/AN/A001135
2011-05-16$84.32$75.0029.3%8.4%18.8%25.1%0.0%0.6%0.0%-4.0K-52.7K-2100.0060.03N/AN/A001135
2011-05-17$83.57$75.0027.8%8.0%18.4%21.2%0.0%1.3%0.0%-4.3K-57.3K-1750.0049.12N/AN/A001135
2011-05-18$85.26$75.0028.5%8.2%18.9%23.2%0.0%-0.0%0.0%-3.4K-63.2K-1660.0065.65N/AN/A001135
2011-05-19$85.25$75.0028.7%8.2%18.3%23.7%0.0%-0.7%0.0%-3.3K-66.4K-1480.0073.40N/AN/A001135
2011-05-20$84.46$75.0029.0%8.3%17.9%24.5%0.0%-0.5%0.0%-3.8K-60.0K-1660.0062.00N/AN/A001135
2011-05-23$83.51$75.0027.7%7.9%18.2%21.1%0.0%-2.1%0.0%-4.5K-61.3K-1470.0081.42N/AN/A001135
2011-05-24$83.80$75.0028.6%8.2%17.7%23.5%0.0%-4.2%0.0%-4.0K-63.4K-1350.0074.37N/AN/A001135
2011-05-25$84.95$75.0028.5%8.2%18.6%23.2%0.0%-2.6%0.0%-3.0K-75.9K-910.00101.35N/AN/A001135
2011-05-26$85.23$75.0028.7%8.2%18.6%23.8%0.0%-6.2%0.0%-2.7K-78.0K-800.00118.10N/AN/A001135
2011-05-27$86.17$75.0025.7%7.4%19.0%15.9%0.0%-18.3%0.0%-1.8K-86.7K-470.00121.85N/AN/A001135
2011-05-31$87.13$75.0025.5%7.3%19.5%15.4%0.0%-15.0%0.0%-937-92.8K-160.00117.67N/AN/A001135