VAW Options History — October 2013

In October 2013, VAW traded between $93.74 and $100.25. ATM implied volatility averaged 15.5%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.8% (HV 20d: 14.7%). Max pain ranged from $92.00 to $97.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.05.

Notable Days

  • 2013-10-18: Highest Volume — 34 contracts
  • 2013-10-07: Largest IV spike — 18.3% change
  • 2013-10-08: Highest IV Rank — 17.9%
  • 2013-10-08: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.48$93.74$100.25$95.70$99.25
Max Pain$94.22$92.00$97.00$94.00$97.00
ATM IV15.5%13.0%20.1%15.8%13.5%
Expected Move4.5%3.7%5.9%4.5%3.9%
HV 20d14.7%13.6%16.3%13.8%14.2%
HV 60d13.2%12.1%13.7%12.5%13.6%
IV Rank8.9%4.0%17.9%8.8%5.9%
IV Percentile20.1%0.8%47.6%23.8%6.7%
Term Structure1.9%-0.6%3.5%0.7%3.5%
VWIV16.6%13.5%22.8%18.7%13.6%
Skew 25d3.6%2.4%6.0%2.7%2.4%
Skew 10d8.5%4.3%13.1%4.6%4.3%
Call IV 25d14.1%11.6%18.6%14.8%12.5%
Put IV 25d17.7%14.3%24.5%17.5%14.8%
Bid-Ask Spread %41.7822.0891.7248.4568.09
Gamma HHI0.210.160.260.180.26
Net GEX50.7K14.1K95.0K58.5K14.1K
Net DEX-506.8K-864.5K-191.0K-452.1K-483.4K
Net VEX-1.8K-2.0K-1.5K-1.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.0012.001.671.67
Total Volume9.04303446
Total OI182.913149209174173

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$95.70$94.0015.8%4.5%13.8%8.8%18.7%2.7%0.7%58.5K-452.1K-1.9K0.0048.45N/AN/A0412153
2013-10-02$95.72$94.0016.4%4.7%13.6%10.1%0.0%2.6%0.6%62.3K-476.6K-1.9K0.0074.12N/AN/A0012149
2013-10-03$95.08$94.0017.1%4.9%14.0%11.6%0.0%4.3%0.9%57.7K-383.2K-1.9K0.0048.82N/AN/A0312149
2013-10-04$96.29$92.0016.2%4.9%14.5%9.5%0.0%4.7%1.1%64.6K-505.2K-1.9K0.0038.56N/AN/A0012152
2013-10-07$95.38$92.0019.1%5.5%14.1%15.8%20.0%4.9%0.2%58.7K-396.3K-1.8K0.0027.91N/AN/A0812152
2013-10-08$93.74$93.0020.1%5.9%15.1%17.9%22.8%6.0%-0.6%40.5K-191.0K-1.8K1.6722.08N/AN/A3512160
2013-10-09$93.86$93.0019.7%5.8%15.0%17.1%0.0%5.9%-0.6%41.6K-197.1K-1.9K0.0030.17N/AN/A0012465
2013-10-10$95.75$93.0017.7%5.1%16.3%12.8%19.8%4.6%0.8%67.6K-429.1K-1.8K2.3338.58N/AN/A3712465
2013-10-11$96.37$93.0016.5%4.7%16.3%10.3%18.9%4.1%1.6%77.5K-515.8K-1.8K0.0031.27N/AN/A02512671
2013-10-14$96.75$93.0016.4%4.7%15.9%10.0%16.3%4.2%1.5%79.0K-537.9K-1.9K0.0049.14N/AN/A10012677
2013-10-15$96.29$93.0018.2%5.2%16.0%13.9%0.0%4.6%0.2%79.3K-491.5K-2.0K0.0031.73N/AN/A0013277
2013-10-16$97.10$93.0015.8%4.5%14.4%8.8%16.7%3.7%1.8%95.0K-651.4K-1.8K0.8038.56N/AN/A5413277
2013-10-17$98.41$93.0014.2%4.1%15.2%7.9%18.1%3.4%2.6%76.9K-864.5K-1.6K1.4050.68N/AN/A5713273
2013-10-18$98.82$92.0013.7%3.9%14.4%6.3%13.6%3.2%2.7%62.4K-740.8K-1.5K0.3623.52N/AN/A25911453
2013-10-21$98.82$92.0013.1%3.8%14.1%4.6%13.7%3.0%3.2%61.2K-533.9K-1.7K2.2024.08N/AN/A102210049
2013-10-22$100.10$94.0013.1%3.8%14.6%4.6%14.9%2.8%3.4%33.7K-591.2K-1.8K12.0049.13N/AN/A11210271
2013-10-23$99.52$97.0013.4%3.8%14.9%5.4%15.1%2.8%3.2%25.3K-491.0K-1.9K0.0029.37N/AN/A0110281
2013-10-24$100.06$97.0013.0%3.7%14.9%4.0%13.5%2.8%3.5%25.2K-558.7K-1.9K0.0031.99N/AN/A8010282
2013-10-25$100.25$97.0013.0%3.7%14.0%4.0%15.3%2.9%3.5%23.3K-575.5K-1.8K0.0058.77N/AN/A0210082
2013-10-28$99.65$97.0013.4%3.8%14.3%5.4%14.0%2.9%3.5%20.3K-533.7K-1.7K0.1726.03N/AN/A6110084
2013-10-29$99.92$97.0013.1%3.8%14.2%4.4%0.0%2.5%3.5%18.8K-573.8K-1.6K0.0028.19N/AN/A0010085
2013-10-30$99.23$97.0013.4%3.8%14.6%5.5%13.6%2.8%3.2%21.3K-483.0K-1.7K1.6791.72N/AN/A61010085
2013-10-31$99.25$97.0013.5%3.9%14.2%5.9%0.0%2.4%3.5%14.1K-483.4K-1.5K0.0068.09N/AN/A069677