VAW Options History — August 2013

In August 2013, VAW traded between $90.99 and $93.50. ATM implied volatility averaged 15.2%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.4% (HV 20d: 10.8%). Max pain ranged from $89.00 to $92.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2013-08-16: Highest Volume — 19 contracts
  • 2013-08-02: Largest IV spike — 57.0% change
  • 2013-08-02: Highest IV Rank — 20.5%
  • 2013-08-02: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.18$90.99$93.50$92.39$91.00
Max Pain$91.64$89.00$92.00$89.00$92.00
ATM IV15.2%11.7%22.7%14.5%17.9%
Expected Move4.6%4.0%6.5%4.1%5.1%
HV 20d10.8%9.0%13.6%10.4%13.2%
HV 60d13.9%13.6%14.3%14.0%13.6%
IV Rank6.9%0.0%20.5%2.3%13.3%
IV Percentile13.2%0.0%54.8%4.4%32.9%
Term Structure1.3%0.4%2.2%1.4%0.4%
VWIV15.3%12.7%18.1%14.5%14.6%
Skew 25d3.2%1.7%4.2%2.3%4.2%
Skew 10d7.3%5.3%10.7%7.1%8.6%
Call IV 25d14.2%12.6%16.4%13.3%16.4%
Put IV 25d17.3%14.3%20.5%15.6%20.5%
Bid-Ask Spread %45.3124.71102.6848.9026.06
Gamma HHI0.200.150.400.150.16
Net GEX25.9K6.2K53.0K22.6K15.3K
Net DEX-193.2K-376.4K-41.0K-197.0K-67.6K
Net VEX-1.4K-1.7K-980-980-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.003.670.000.00
Total Volume5.77301940
Total OI113.1827913379131

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$92.39$89.0014.5%4.1%10.4%2.3%0.0%2.3%1.4%22.6K-197.0K-9800.0048.90N/AN/A405029
2013-08-02$92.63$89.0022.7%6.5%10.2%20.5%0.0%1.7%1.1%24.5K-225.9K-1.0K0.00102.68N/AN/A005429
2013-08-05$92.54$91.0012.6%4.1%10.2%0.0%14.5%2.8%2.1%26.7K-222.9K-9880.0043.43N/AN/A905429
2013-08-06$91.55$91.0013.1%4.2%10.1%1.0%14.8%2.9%2.1%29.4K-190.0K-1.1K0.0043.03N/AN/A025829
2013-08-07$91.51$92.0013.7%4.3%10.1%2.4%0.0%2.9%1.8%28.6K-175.7K-1.1K0.0041.45N/AN/A005831
2013-08-08$92.84$92.0011.7%4.1%9.8%0.0%0.0%2.9%2.2%29.9K-258.7K-1.0K0.0041.91N/AN/A005831
2013-08-09$93.26$92.0013.3%4.4%9.7%3.3%0.0%2.7%1.7%27.2K-273.3K-1.0K0.8639.03N/AN/A765831
2013-08-12$93.33$92.0014.3%4.5%9.7%5.6%15.7%2.9%1.8%31.9K-303.7K-1.2K0.3141.20N/AN/A1346537
2013-08-13$93.50$92.0013.3%4.3%9.3%3.5%16.3%3.1%1.8%42.6K-376.4K-1.3K3.6743.05N/AN/A3117741
2013-08-14$93.45$92.0013.3%4.5%9.0%3.4%15.9%2.9%0.7%43.0K-368.9K-1.5K0.1349.14N/AN/A818048
2013-08-15$92.48$92.0017.0%4.9%9.9%11.3%16.1%3.6%1.7%53.0K-300.5K-1.5K0.6741.23N/AN/A648449
2013-08-16$91.94$92.0016.3%4.7%10.1%9.7%18.1%3.8%1.6%49.0K-233.4K-1.5K2.8043.94N/AN/A5148249
2013-08-19$91.07$92.0016.0%4.6%10.6%9.2%15.8%3.3%0.7%6.2K-41.0K-1.6K2.0043.25N/AN/A366354
2013-08-20$91.82$92.0015.3%4.4%10.9%7.6%15.3%3.6%0.8%12.7K-108.2K-1.6K3.0066.07N/AN/A266654
2013-08-21$91.17$92.0015.9%4.6%10.7%9.0%15.7%3.4%0.7%10.0K-58.5K-1.7K0.0053.21N/AN/A506856
2013-08-22$92.25$92.0014.5%4.2%11.4%6.1%13.5%3.3%1.1%20.3K-162.0K-1.7K0.0044.11N/AN/A107356
2013-08-23$92.84$92.0014.1%4.0%11.4%5.1%12.7%2.9%1.4%23.8K-215.0K-1.7K1.5033.11N/AN/A237456
2013-08-26$93.03$92.0014.6%4.2%11.4%6.3%14.6%2.9%1.1%26.3K-228.1K-1.6K0.0041.24N/AN/A107656
2013-08-27$91.16$92.0016.9%4.8%13.6%11.1%0.0%3.9%0.9%15.9K-85.4K-1.7K0.0024.71N/AN/A007656
2013-08-28$90.99$92.0016.4%4.7%13.6%10.0%0.0%3.6%1.0%14.6K-67.5K-1.6K0.0043.99N/AN/A007656
2013-08-29$91.29$92.0017.3%5.0%13.2%12.0%0.0%3.7%0.6%17.6K-91.3K-1.6K0.0042.13N/AN/A017656
2013-08-30$91.00$92.0017.9%5.1%13.2%13.3%0.0%4.2%0.4%15.3K-67.6K-1.6K0.0026.06N/AN/A007655