VAW Options History — April 2013 In April 2013, VAW traded between $83.66 and $88.58. ATM implied volatility averaged 18.4%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 14.9% (HV 20d: 33.3%). Net GEX was positive for 4 of 16 trading days. Term structure was in contango for 15 of 16 days. Put/call ratio averaged 0.00.
Notable Days 2013-04-24 : Highest Volume — 2 contracts2013-04-10 : Largest IV spike — 174.2% change2013-04-10 : Highest IV Rank — 63.7%2013-04-18 : Largest Expected Move — 5.6%Monthly Statistics Metric Avg Min Max Open Close Price $86.51 $83.66 $88.58 $87.31 $88.58 ATM IV 18.4% 14.3% 43.0% 15.7% 15.5% Expected Move 4.8% 4.1% 5.6% 4.5% 4.5% HV 20d 33.3% 30.2% 34.9% 30.6% 33.2% HV 60d 23.5% 21.8% 24.3% 22.4% 24.2% IV Rank 8.1% 0.0% 63.7% 0.0% 2.8% IV Percentile 7.3% 0.0% 99.2% 0.0% 0.8% Term Structure 0.8% -0.0% 2.1% 1.5% 0.9% Skew 25d 2.4% -6.0% 4.1% 3.4% 3.4% Skew 10d 6.4% 1.5% 11.8% 5.8% 7.8% Call IV 25d 15.9% 13.5% 24.4% 13.6% 14.8% Put IV 25d 18.4% 16.6% 20.1% 17.1% 18.2% Bid-Ask Spread % 48.19 36.04 74.76 54.18 51.36 Gamma HHI 0.75 0.50 1.00 1.00 0.50 Net GEX 194 0 1.0K 0 1.0K Net DEX -2.9K -14.9K 0 0 -14.9K Net VEX -19 -101 0 0 -101 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 0.25 0 2 0 0 Total OI 0.75 0 4 0 4
Daily Data (16 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 2013-04-09 $87.31 $0.00 15.7% 4.5% 30.6% 0.0% 0.0% 3.4% 1.5% 0 0 0 0.00 54.18 N/A N/A 0 0 0 0 2013-04-10 $88.00 $0.00 43.0% 4.3% 30.7% 63.7% 0.0% 2.9% 1.8% 0 0 0 0.00 60.40 N/A N/A 0 0 0 0 2013-04-11 $88.27 $0.00 14.9% 4.3% 30.2% 0.0% 0.0% 3.7% 1.8% 0 0 0 0.00 48.76 N/A N/A 0 0 0 0 2013-04-12 $87.21 $0.00 15.7% 4.5% 30.5% 1.7% 0.0% 2.9% 2.1% 0 0 0 0.00 50.24 N/A N/A 0 0 0 0 2013-04-15 $83.66 $0.00 18.8% 5.4% 34.0% 8.9% 0.0% 0.7% 0.1% 0 0 0 0.00 46.58 N/A N/A 0 0 0 0 2013-04-16 $85.36 $0.00 17.3% 5.0% 34.0% 5.5% 0.0% 3.1% 0.8% 0 0 0 0.00 43.53 N/A N/A 0 0 0 0 2013-04-17 $83.96 $0.00 18.7% 5.4% 34.5% 8.6% 0.0% 2.7% 0.3% 0 0 0 0.00 41.15 N/A N/A 0 0 0 0 2013-04-18 $83.69 $0.00 19.5% 5.6% 34.4% 10.4% 0.0% 1.9% 0.3% 0 0 0 0.00 49.38 N/A N/A 0 0 0 0 2013-04-19 $84.76 $0.00 17.7% 5.1% 34.4% 6.5% 0.0% 3.2% 0.7% 0 0 0 0.00 37.20 N/A N/A 0 0 0 0 2013-04-22 $85.48 $0.00 17.6% 5.0% 34.5% 6.2% 0.0% 2.6% 0.1% 0 0 0 0.00 36.04 N/A N/A 0 0 0 0 2013-04-23 $86.32 $0.00 17.2% 4.9% 34.4% 5.2% 0.0% 4.1% 0.1% 0 0 0 0.00 39.61 N/A N/A 0 0 0 0 2013-04-24 $87.71 $0.00 15.8% 4.5% 34.8% 2.0% 0.0% 4.0% 0.7% 0 0 0 0.00 45.69 N/A N/A 2 0 0 0 2013-04-25 $88.39 $0.00 16.7% 4.8% 34.7% 4.2% 0.0% 3.1% -0.0% 504 -9.0K -53 0.00 44.55 N/A N/A 0 0 2 0 2013-04-26 $87.20 $0.00 14.3% 4.1% 34.9% 0.0% 0.0% -6.0% 0.9% 510 -8.2K -52 0.00 74.76 N/A N/A 2 0 2 0 2013-04-29 $88.24 $0.00 16.3% 4.7% 33.2% 4.4% 0.0% 3.3% 0.4% 1.0K -14.5K -99 0.00 47.64 N/A N/A 0 0 4 0 2013-04-30 $88.58 $0.00 15.5% 4.5% 33.2% 2.8% 0.0% 3.4% 0.9% 1.0K -14.9K -101 0.00 51.36 N/A N/A 0 0 4 0
« Mar 2013 | All History | May 2013 » Home VAW History April 2013