VAW Options History — November 2013

In November 2013, VAW traded between $98.08 and $101.41. ATM implied volatility averaged 15.2%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.0% (HV 20d: 12.2%). Max pain ranged from $97.00 to $101.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 3.96.

Notable Days

2013-11-18: Highest Volume — 85 contracts
2013-11-25: Largest IV spike — 48.5% change
2013-11-26: Highest IV Rank — 36.1%
2013-11-26: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$100.12	$98.08	$101.41	$99.08	$100.57
Max Pain	$99.89	$97.00	$101.00	$97.00	$101.00
ATM IV	15.2%	11.3%	22.8%	13.1%	16.7%
Expected Move	4.8%	3.8%	6.5%	3.8%	4.8%
HV 20d	12.2%	11.4%	13.7%	13.7%	11.7%
HV 60d	13.5%	13.1%	14.1%	13.3%	13.2%
IV Rank	12.0%	0.0%	36.1%	4.4%	17.0%
IV Percentile	23.5%	0.0%	69.4%	2.0%	44.4%
Term Structure	-0.7%	-1.9%	3.6%	3.6%	-0.9%
VWIV	16.6%	14.2%	21.0%	14.2%	17.6%
Skew 25d	3.3%	2.8%	4.1%	2.8%	4.1%
Skew 10d	6.7%	4.6%	12.4%	7.9%	7.7%
Call IV 25d	14.6%	12.1%	16.2%	12.1%	13.4%
Put IV 25d	17.9%	14.9%	19.9%	14.9%	17.6%
Bid-Ask Spread %	49.91	26.67	94.26	94.26	64.50
Gamma HHI	0.23	0.15	0.31	0.26	0.19
Net GEX	11.0K	-29.2K	57.5K	14.1K	8.5K
Net DEX	-538.1K	-1.2M	-112.0K	-437.3K	-349.9K
Net VEX	-3.4K	-4.7K	-1.5K	-1.7K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.96	0.00	41.50	1.00	2.00
Total Volume	17.6	0	85	12	15
Total OI	239.55	165	297	179	297

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
2013-11-01	$99.08	$97.00	13.1%	3.8%	13.7%	4.4%	14.2%	2.8%	3.6%	14.1K	-437.3K	-1.7K	1.00	94.26	N/A	N/A	6	6	96	83
2013-11-04	$99.72	$0.00	13.4%	4.9%	13.2%	5.5%	0.0%	3.4%	-1.0%	11.2K	-489.9K	-1.6K	0.00	26.67	N/A	N/A	0	0	93	85
2013-11-05	$99.03	$0.00	14.2%	4.9%	11.6%	8.0%	16.3%	3.7%	-1.0%	6.9K	-420.2K	-1.6K	1.00	27.56	N/A	N/A	1	1	93	85
2013-11-06	$99.56	$101.00	13.1%	4.7%	11.6%	4.6%	0.0%	3.2%	-0.9%	9.4K	-489.1K	-1.5K	0.00	31.40	N/A	N/A	3	0	94	86
2013-11-07	$98.08	$101.00	14.6%	5.0%	11.4%	9.3%	0.0%	3.3%	-1.1%	211	-284.0K	-1.6K	0.03	32.48	N/A	N/A	79	2	93	86
2013-11-08	$99.90	$101.00	11.3%	4.6%	12.9%	0.0%	16.2%	2.8%	-1.0%	33.0K	-930.7K	-3.5K	1.00	41.99	N/A	N/A	1	1	169	88
2013-11-11	$99.92	$100.00	12.2%	4.6%	12.9%	2.9%	17.0%	2.9%	-0.8%	35.8K	-985.1K	-3.4K	0.00	37.55	N/A	N/A	0	3	170	87
2013-11-12	$99.59	$98.00	12.4%	4.7%	12.8%	3.3%	21.0%	3.0%	-1.0%	30.6K	-900.4K	-3.4K	0.83	38.78	N/A	N/A	6	5	167	90
2013-11-13	$100.16	$98.00	13.0%	4.6%	12.6%	5.3%	16.1%	3.0%	-0.9%	47.0K	-1.0M	-3.4K	0.15	41.40	N/A	N/A	13	2	169	95
2013-11-14	$100.91	$98.00	15.7%	4.5%	12.0%	13.9%	0.0%	3.1%	-0.5%	57.5K	-1.1M	-3.5K	0.00	40.67	N/A	N/A	44	0	178	91
2013-11-15	$101.41	$98.00	15.3%	4.4%	12.1%	12.5%	14.2%	4.1%	0.3%	34.6K	-1.2M	-3.5K	0.00	38.05	N/A	N/A	27	0	180	91
2013-11-18	$100.65	$98.00	15.6%	4.5%	12.5%	13.5%	16.3%	3.7%	-1.3%	33.2K	-516.1K	-3.5K	41.50	66.75	N/A	N/A	2	83	122	43
2013-11-19	$100.49	$101.00	16.3%	4.7%	11.7%	15.8%	16.2%	2.8%	-1.1%	-22.3K	-208.9K	-4.4K	0.00	49.68	N/A	N/A	0	1	124	126
2013-11-20	$99.85	$101.00	15.8%	4.5%	11.7%	14.1%	0.0%	2.9%	-1.2%	-29.2K	-112.0K	-4.4K	0.00	46.91	N/A	N/A	0	0	124	127
2013-11-21	$100.72	$101.00	15.8%	4.5%	11.9%	14.3%	18.6%	3.5%	0.0%	-26.7K	-221.9K	-4.4K	0.00	65.01	N/A	N/A	0	11	124	127
2013-11-22	$101.14	$101.00	15.2%	4.4%	12.0%	12.3%	0.0%	3.3%	-1.4%	-17.7K	-219.2K	-4.5K	0.00	71.17	N/A	N/A	0	0	124	133
2013-11-25	$100.48	$101.00	22.6%	6.5%	12.0%	35.5%	15.0%	2.9%	-1.9%	-24.5K	-160.6K	-4.4K	0.00	69.37	N/A	N/A	40	0	124	133
2013-11-26	$100.45	$101.00	22.8%	6.5%	12.0%	36.1%	0.0%	4.0%	-1.2%	8.4K	-324.8K	-4.7K	0.00	60.78	N/A	N/A	0	0	164	133
2013-11-27	$100.65	$101.00	15.4%	4.4%	11.7%	12.9%	0.0%	2.9%	-1.5%	10.5K	-364.3K	-4.6K	0.00	53.17	N/A	N/A	0	0	164	133
2013-11-29	$100.57	$101.00	16.7%	4.8%	11.7%	17.0%	17.6%	4.1%	-0.9%	8.5K	-349.9K	-4.6K	2.00	64.50	N/A	N/A	5	10	164	133