VAW Options History — May 2013

In May 2013, VAW traded between $86.85 and $92.53. ATM implied volatility averaged 15.9%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 4.4% (HV 20d: 20.3%). Max pain ranged from $89.00 to $89.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.14.

Notable Days

2013-05-29: Highest Volume — 23 contracts
2013-05-16: Largest IV spike — 35.7% change
2013-05-16: Highest IV Rank — 13.1%
2013-05-16: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.80	$86.85	$92.53	$86.85	$90.58
Max Pain	$89.00	$89.00	$89.00	$89.00	$89.00
ATM IV	15.9%	13.4%	19.4%	17.7%	16.8%
Expected Move	4.7%	4.2%	5.6%	5.1%	4.8%
HV 20d	20.3%	12.6%	33.6%	33.6%	13.8%
HV 60d	24.3%	23.8%	24.8%	24.5%	24.0%
IV Rank	4.8%	0.0%	13.1%	7.5%	7.3%
IV Percentile	4.4%	0.0%	9.9%	4.4%	9.9%
Term Structure	1.1%	-2.3%	4.0%	-2.3%	0.7%
VWIV	17.0%	10.4%	20.4%	16.3%	10.4%
Skew 25d	2.9%	2.2%	4.3%	4.3%	2.6%
Skew 10d	6.4%	-1.9%	12.2%	11.3%	-1.9%
Call IV 25d	15.3%	14.3%	16.6%	16.2%	15.6%
Put IV 25d	18.2%	16.6%	20.6%	20.6%	18.2%
Bid-Ask Spread %	53.20	28.10	100.41	38.93	67.87
Gamma HHI	0.30	0.19	0.50	0.50	0.19
Net GEX	3.8K	-495	9.7K	974	431
Net DEX	-52.6K	-135.4K	-13.2K	-13.2K	-21.7K
Net VEX	-295	-698	-95	-95	-698
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.14	0.00	22.00	0.25	0.00
Total Volume	4.455	0	23	0	5
Total OI	20.682	4	49	4	49

Daily Data (22 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
2013-05-01	$86.85	$0.00	17.7%	5.1%	33.6%	7.5%	0.0%	4.3%	-2.3%	974	-13.2K	-95	0.00	38.93	N/A	N/A	0	0	4	0
2013-05-02	$87.64	$0.00	16.6%	4.7%	33.2%	5.0%	0.0%	3.7%	0.6%	1.0K	-14.1K	-97	0.00	45.48	N/A	N/A	0	0	4	0
2013-05-03	$89.24	$0.00	15.2%	4.4%	33.6%	1.9%	0.0%	2.4%	1.0%	1.1K	-16.3K	-101	0.00	61.02	N/A	N/A	0	0	4	0
2013-05-06	$89.55	$0.00	14.9%	4.5%	33.2%	1.4%	16.3%	3.0%	0.9%	1.1K	-16.3K	-102	0.25	28.10	N/A	N/A	8	2	4	0
2013-05-07	$90.31	$89.00	15.2%	4.5%	24.3%	2.0%	12.3%	3.0%	0.9%	7.3K	-53.3K	-204	0.00	43.53	N/A	N/A	3	0	12	2
2013-05-08	$91.14	$89.00	14.5%	4.6%	24.3%	0.4%	0.0%	2.2%	1.1%	7.3K	-67.7K	-216	0.00	34.67	N/A	N/A	3	0	13	2
2013-05-09	$90.81	$89.00	14.2%	4.6%	24.4%	0.0%	0.0%	2.9%	1.2%	9.4K	-81.6K	-270	0.00	34.12	N/A	N/A	0	0	16	2
2013-05-10	$90.91	$89.00	13.4%	4.5%	23.9%	0.0%	18.0%	2.9%	1.4%	9.5K	-82.8K	-268	0.00	34.66	N/A	N/A	0	4	16	2
2013-05-13	$90.18	$89.00	16.2%	4.8%	18.0%	6.2%	0.0%	2.9%	1.0%	9.7K	-65.8K	-290	0.00	33.71	N/A	N/A	6	0	16	6
2013-05-14	$91.29	$89.00	15.4%	4.6%	17.2%	4.4%	0.0%	2.5%	1.3%	4.5K	-48.5K	-268	0.00	39.53	N/A	N/A	0	0	12	6
2013-05-15	$91.77	$89.00	14.3%	4.4%	15.5%	1.8%	16.2%	2.4%	1.5%	4.8K	-54.0K	-262	0.00	47.71	N/A	N/A	5	0	12	6
2013-05-16	$91.25	$89.00	19.4%	5.6%	15.7%	13.1%	20.4%	2.4%	3.0%	5.0K	-58.9K	-300	0.75	100.41	N/A	N/A	4	3	15	6
2013-05-17	$92.39	$89.00	15.4%	4.4%	15.7%	4.4%	0.0%	2.3%	1.4%	7.9K	-50.3K	-272	0.00	52.21	N/A	N/A	0	0	12	9
2013-05-20	$92.53	$89.00	14.8%	4.2%	15.6%	3.1%	0.0%	2.9%	0.7%	-8	-44.2K	-261	0.00	63.20	N/A	N/A	0	0	10	9
2013-05-21	$92.47	$89.00	17.3%	5.0%	15.6%	8.6%	0.0%	2.8%	0.8%	57	-44.3K	-259	0.00	62.91	N/A	N/A	0	0	10	9
2013-05-22	$91.28	$89.00	16.4%	4.7%	15.9%	6.7%	0.0%	2.9%	0.6%	-495	-34.7K	-270	0.00	62.08	N/A	N/A	0	0	10	9
2013-05-23	$91.16	$89.00	17.4%	5.0%	15.8%	8.7%	20.4%	2.5%	1.1%	-488	-33.6K	-269	0.07	76.67	N/A	N/A	15	1	10	9
2013-05-24	$90.85	$89.00	16.2%	4.7%	14.9%	6.2%	20.1%	3.6%	1.0%	4.6K	-111.3K	-466	0.50	79.07	N/A	N/A	2	1	25	10
2013-05-28	$91.90	$89.00	16.0%	4.6%	14.8%	5.6%	0.0%	3.5%	4.0%	5.6K	-135.4K	-473	0.00	56.20	N/A	N/A	11	0	27	11
2013-05-29	$91.60	$89.00	15.8%	4.5%	14.9%	5.3%	19.0%	3.2%	1.0%	3.7K	-69.1K	-384	22.00	50.56	N/A	N/A	1	22	18	11
2013-05-30	$91.90	$89.00	15.8%	4.5%	12.6%	5.3%	0.0%	3.0%	1.0%	918	-40.0K	-664	0.00	57.85	N/A	N/A	2	0	18	29
2013-05-31	$90.58	$89.00	16.8%	4.8%	13.8%	7.3%	10.4%	2.6%	0.7%	431	-21.7K	-698	0.00	67.87	N/A	N/A	0	5	20	29