VAW Options History — June 2013

In June 2013, VAW traded between $85.95 and $91.01. ATM implied volatility averaged 19.6%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.9% (HV 20d: 15.7%). Max pain ranged from $83.00 to $92.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.04.

Notable Days

2013-06-27: Highest Volume — 13 contracts
2013-06-12: Largest IV spike — 69.8% change
2013-06-12: Highest IV Rank — 39.7%
2013-06-28: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.93	$85.95	$91.01	$91.01	$86.53
Max Pain	$90.95	$83.00	$92.00	$89.00	$83.00
ATM IV	19.6%	15.6%	31.4%	16.9%	29.2%
Expected Move	5.4%	4.7%	8.4%	4.8%	8.4%
HV 20d	15.7%	12.4%	18.4%	12.4%	17.5%
HV 60d	23.6%	23.0%	24.1%	23.8%	23.0%
IV Rank	13.7%	4.8%	39.7%	7.5%	34.9%
IV Percentile	24.5%	5.2%	94.0%	10.3%	91.3%
Term Structure	0.0%	-7.5%	1.1%	0.7%	-7.5%
VWIV	16.8%	16.8%	16.8%	16.8%	16.8%
Skew 25d	5.0%	3.0%	18.6%	4.1%	18.6%
Skew 10d	9.0%	5.0%	13.1%	7.5%	12.2%
Call IV 25d	16.0%	7.7%	19.1%	15.4%	7.7%
Put IV 25d	21.0%	18.7%	26.3%	19.6%	26.3%
Bid-Ask Spread %	47.95	31.88	113.05	50.30	113.05
Gamma HHI	0.18	0.12	0.51	0.17	0.17
Net GEX	-3.1K	-19.6K	12.0K	-3.0K	12.0K
Net DEX	2.7K	-53.2K	83.0K	-12.8K	-53.2K
Net VEX	-703	-895	-571	-726	-895
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.30	0.00	0.00
Total Volume	2.05	0	13	6	2
Total OI	55.15	40	69	54	69

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
2013-06-03	$91.01	$89.00	16.9%	4.8%	12.4%	7.5%	0.0%	4.1%	0.7%	-3.0K	-12.8K	-726	0.00	50.30	N/A	N/A	6	0	20	34
2013-06-04	$90.68	$89.00	17.2%	4.9%	12.5%	8.2%	0.0%	4.2%	0.4%	-2.6K	-14.6K	-769	0.00	51.40	N/A	N/A	0	0	22	34
2013-06-05	$88.81	$89.00	19.1%	5.5%	14.2%	12.4%	0.0%	4.2%	-0.3%	-5.8K	30.9K	-776	0.00	39.17	N/A	N/A	0	0	22	34
2013-06-06	$89.43	$89.00	18.9%	5.4%	14.1%	12.2%	0.0%	4.5%	0.0%	-5.3K	16.1K	-768	0.00	47.13	N/A	N/A	0	0	22	34
2013-06-07	$90.05	$92.00	15.6%	4.8%	14.3%	4.8%	0.0%	4.2%	0.5%	-4.3K	-1.7K	-746	0.00	44.48	N/A	N/A	0	0	22	34
2013-06-10	$90.53	$92.00	22.4%	5.8%	14.4%	19.8%	0.0%	4.9%	0.3%	-3.5K	-15.1K	-725	0.00	52.58	N/A	N/A	0	0	22	34
2013-06-11	$89.32	$92.00	18.5%	5.2%	14.9%	11.2%	0.0%	4.4%	0.6%	-6.4K	16.5K	-724	0.00	38.80	N/A	N/A	0	0	22	34
2013-06-12	$88.80	$92.00	31.4%	5.4%	14.3%	39.7%	0.0%	5.2%	0.9%	-7.1K	30.7K	-718	0.00	62.75	N/A	N/A	1	0	22	34
2013-06-13	$90.47	$92.00	17.6%	5.0%	15.8%	9.2%	0.0%	3.8%	0.5%	-3.3K	-15.8K	-698	0.00	38.42	N/A	N/A	0	0	22	34
2013-06-14	$89.92	$92.00	17.8%	5.1%	15.8%	9.7%	0.0%	4.6%	0.5%	-5.7K	-2.8K	-690	0.00	36.31	N/A	N/A	0	0	22	34
2013-06-17	$90.48	$92.00	17.9%	5.1%	15.3%	9.9%	0.0%	3.8%	0.3%	-3.3K	-22.9K	-654	0.00	35.60	N/A	N/A	0	0	22	34
2013-06-18	$90.97	$92.00	17.9%	5.1%	15.4%	9.9%	0.0%	4.9%	0.8%	-1.1K	-37.6K	-645	0.00	73.08	N/A	N/A	0	0	22	34
2013-06-19	$90.17	$92.00	16.5%	4.7%	15.7%	6.8%	0.0%	3.6%	0.3%	-3.5K	-22.6K	-629	0.00	40.67	N/A	N/A	0	0	22	34
2013-06-20	$87.81	$92.00	20.8%	6.0%	17.6%	16.4%	0.0%	5.0%	-0.1%	-16.8K	70.9K	-627	0.00	40.49	N/A	N/A	3	0	22	34
2013-06-21	$87.37	$92.00	19.0%	5.5%	17.7%	12.4%	0.0%	3.7%	0.5%	-19.6K	83.0K	-597	0.00	40.48	N/A	N/A	0	0	23	34
2013-06-24	$85.95	$92.00	21.3%	6.1%	18.4%	17.4%	0.0%	3.0%	0.1%	504	25.7K	-571	0.00	38.24	N/A	N/A	7	0	21	19
2013-06-25	$86.52	$92.00	19.5%	5.6%	17.9%	13.4%	0.0%	5.3%	0.0%	3.7K	6.1K	-633	0.00	31.88	N/A	N/A	5	0	28	19
2013-06-26	$86.80	$92.00	17.8%	5.1%	18.1%	9.7%	0.0%	4.6%	1.1%	5.1K	-5.9K	-711	0.00	41.40	N/A	N/A	4	0	33	19
2013-06-27	$86.96	$92.00	17.5%	5.0%	18.0%	9.0%	16.8%	4.3%	1.1%	7.5K	-21.2K	-765	0.30	42.84	N/A	N/A	10	3	37	19
2013-06-28	$86.53	$83.00	29.2%	8.4%	17.5%	34.9%	0.0%	18.6%	-7.5%	12.0K	-53.2K	-895	0.00	113.05	N/A	N/A	2	0	47	22