VAW Options History — September 2013

In September 2013, VAW traded between $91.39 and $97.70. ATM implied volatility averaged 15.6%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.9% (HV 20d: 13.7%). Max pain ranged from $92.00 to $94.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.18.

Notable Days

2013-09-19: Highest Volume — 31 contracts
2013-09-12: Largest IV spike — 12.3% change
2013-09-03: Highest IV Rank — 13.4%
2013-09-03: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.90	$91.39	$97.70	$91.39	$95.17
Max Pain	$93.70	$92.00	$94.00	$92.00	$94.00
ATM IV	15.6%	13.9%	18.0%	18.0%	17.0%
Expected Move	4.5%	4.3%	5.2%	5.2%	4.9%
HV 20d	13.7%	12.0%	15.2%	13.3%	13.8%
HV 60d	12.7%	12.0%	13.6%	13.6%	12.5%
IV Rank	8.3%	4.6%	13.4%	13.4%	11.3%
IV Percentile	18.3%	4.8%	33.3%	33.3%	32.5%
Term Structure	1.0%	0.3%	1.4%	0.7%	0.3%
VWIV	16.1%	14.3%	17.4%	14.6%	17.3%
Skew 25d	3.3%	2.5%	4.3%	4.2%	3.1%
Skew 10d	6.4%	4.2%	8.6%	8.2%	5.4%
Call IV 25d	14.6%	13.7%	16.1%	16.1%	15.7%
Put IV 25d	17.9%	16.4%	20.3%	20.3%	18.7%
Bid-Ask Spread %	34.21	12.25	58.95	49.99	44.86
Gamma HHI	0.18	0.15	0.26	0.16	0.18
Net GEX	38.3K	19.0K	59.6K	19.0K	53.5K
Net DEX	-402.7K	-766.1K	-97.9K	-97.9K	-383.7K
Net VEX	-1.5K	-1.9K	-1.2K	-1.5K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.00	10.00	10.00	0.00
Total Volume	7.85	0	31	0	1
Total OI	153.1	131	187	131	173

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
2013-09-03	$91.39	$92.00	18.0%	5.2%	13.3%	13.4%	0.0%	4.2%	0.7%	19.0K	-97.9K	-1.5K	0.00	49.99	N/A	N/A	0	0	76	55
2013-09-04	$92.15	$92.00	16.2%	4.6%	13.1%	9.5%	0.0%	3.6%	1.3%	25.7K	-167.8K	-1.5K	0.00	41.40	N/A	N/A	0	0	76	55
2013-09-05	$92.45	$92.00	15.5%	4.4%	13.1%	8.2%	0.0%	3.7%	1.4%	30.5K	-188.1K	-1.5K	0.00	52.56	N/A	N/A	0	0	76	55
2013-09-06	$92.35	$94.00	15.8%	4.9%	12.0%	8.8%	0.0%	4.3%	1.0%	28.4K	-178.9K	-1.4K	0.00	12.25	N/A	N/A	0	0	76	55
2013-09-09	$93.77	$94.00	14.6%	4.6%	13.2%	6.3%	0.0%	4.3%	1.0%	37.7K	-304.8K	-1.3K	0.00	17.33	N/A	N/A	0	0	76	55
2013-09-10	$94.68	$94.00	14.4%	4.4%	13.6%	5.9%	0.0%	3.3%	1.2%	37.9K	-381.5K	-1.2K	10.00	19.39	N/A	N/A	1	10	76	55
2013-09-11	$95.09	$94.00	13.9%	4.3%	13.6%	4.6%	14.6%	2.9%	1.4%	27.4K	-396.9K	-1.2K	0.27	19.92	N/A	N/A	11	3	77	65
2013-09-12	$94.18	$94.00	15.6%	4.5%	14.1%	8.2%	15.6%	3.6%	1.3%	31.6K	-314.7K	-1.4K	0.00	18.92	N/A	N/A	8	0	85	67
2013-09-13	$94.83	$94.00	15.1%	4.3%	13.7%	7.3%	15.8%	3.4%	1.2%	32.3K	-393.2K	-1.4K	0.00	20.58	N/A	N/A	0	4	88	67
2013-09-16	$95.90	$94.00	15.6%	4.5%	13.9%	8.4%	17.0%	3.0%	0.9%	25.9K	-524.6K	-1.2K	0.35	26.39	N/A	N/A	17	6	88	71
2013-09-17	$95.71	$94.00	15.9%	4.6%	13.3%	9.0%	0.0%	3.8%	0.7%	39.0K	-536.6K	-1.5K	0.00	26.48	N/A	N/A	0	0	102	73
2013-09-18	$97.70	$94.00	15.5%	4.5%	14.6%	8.2%	17.4%	3.1%	1.0%	25.2K	-720.2K	-1.3K	0.50	38.72	N/A	N/A	8	4	102	73
2013-09-19	$97.46	$94.00	15.9%	4.6%	14.3%	8.9%	16.6%	2.8%	1.1%	37.3K	-766.1K	-1.4K	0.03	36.54	N/A	N/A	30	1	110	77
2013-09-20	$96.20	$94.00	15.6%	4.5%	15.0%	8.2%	16.3%	2.7%	1.3%	48.8K	-496.5K	-1.8K	0.17	36.16	N/A	N/A	6	1	109	78
2013-09-23	$95.66	$94.00	15.4%	4.4%	15.2%	7.8%	15.8%	3.0%	1.0%	48.9K	-406.7K	-1.7K	0.06	40.32	N/A	N/A	17	1	101	41
2013-09-24	$95.60	$94.00	15.2%	4.3%	15.2%	7.4%	0.0%	2.6%	1.1%	51.5K	-430.1K	-1.9K	0.00	33.46	N/A	N/A	0	5	108	42
2013-09-25	$95.78	$94.00	15.0%	4.3%	12.9%	7.0%	14.3%	2.9%	1.1%	51.3K	-433.2K	-1.9K	0.00	54.53	N/A	N/A	10	0	108	47
2013-09-26	$96.47	$94.00	15.2%	4.3%	12.9%	7.4%	0.0%	2.5%	0.9%	59.6K	-519.8K	-1.9K	0.00	58.95	N/A	N/A	0	0	115	47
2013-09-27	$95.40	$94.00	16.4%	4.7%	13.8%	10.0%	17.3%	3.4%	0.6%	55.1K	-413.7K	-1.9K	1.60	35.37	N/A	N/A	5	8	115	47
2013-09-30	$95.17	$94.00	17.0%	4.9%	13.8%	11.3%	0.0%	3.1%	0.3%	53.5K	-383.7K	-1.9K	0.00	44.86	N/A	N/A	1	0	120	53