VAW Options History — June 2011

In June 2011, VAW traded between $81.77 and $84.55. ATM implied volatility averaged 33.1%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 12.1% (HV 20d: 21.0%). Max pain ranged from $78.00 to $78.00. Net GEX was positive for 0 of 6 trading days.

Notable Days

  • 2011-06-06: Largest IV spike — 4.7% change
  • 2011-06-07: Highest IV Rank — 37.4%
  • 2011-06-07: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.17$81.77$84.55$84.55$81.77
Max Pain$78.00$78.00$78.00$78.00$78.00
ATM IV33.1%31.9%34.1%33.6%32.9%
Expected Move9.5%9.1%9.8%9.6%9.4%
HV 20d21.0%20.3%21.7%21.7%20.3%
HV 60d18.2%17.8%18.5%18.5%17.9%
IV Rank34.9%31.8%37.4%36.1%34.4%
IV Percentile92.1%90.5%94.0%92.1%92.1%
Skew 25d-9.8%-15.0%-7.1%-8.5%-10.7%
Skew 10d-9.8%-18.1%-5.8%-8.4%-10.7%
Call IV 25d38.0%36.6%41.6%37.9%38.3%
Put IV 25d28.2%26.6%29.9%29.3%27.6%
Bid-Ask Spread %113.9198.09128.32113.54116.86
Gamma HHI0.470.440.550.440.48
Net GEX-4.3K-5.6K-3.2K-3.5K-5.6K
Net DEX6.6K2.8K10.0K5.2K10.0K
Net VEX-53-60-40-59-52
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI3636363636

Daily Data (6 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$84.55$78.0033.6%9.6%21.7%36.1%0.0%-8.5%0.0%-3.5K5.2K-590.00113.54N/AN/A00135
2011-06-02$84.53$78.0032.7%9.4%20.8%33.8%0.0%-7.8%0.0%-3.2K2.8K-490.0098.09N/AN/A00135
2011-06-03$83.30$78.0031.9%9.1%21.2%31.8%0.0%-9.7%0.0%-4.2K7.2K-600.00117.90N/AN/A00135
2011-06-06$82.25$78.0033.4%9.6%21.3%35.6%0.0%-7.1%0.0%-5.2K9.9K-600.00108.76N/AN/A00135
2011-06-07$82.63$78.0034.1%9.8%20.5%37.4%0.0%-15.0%0.0%-4.2K4.6K-400.00128.32N/AN/A00135
2011-06-08$81.77$78.0032.9%9.4%20.3%34.4%0.0%-10.7%0.0%-5.6K10.0K-520.00116.86N/AN/A00135