VAW Options History — December 2013

In December 2013, VAW traded between $99.28 and $103.25. ATM implied volatility averaged 16.6%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.9% (HV 20d: 11.6%). Max pain ranged from $90.00 to $101.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.14.

Notable Days

  • 2013-12-23: Highest Volume — 94 contracts
  • 2013-12-19: Largest IV drop — 28.9% change
  • 2013-12-02: Highest IV Rank — 43.4%
  • 2013-12-02: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.95$99.28$103.25$100.42$103.25
Max Pain$95.29$90.00$101.00$101.00$100.00
ATM IV16.6%10.9%25.1%25.1%11.7%
Expected Move4.6%3.1%7.2%7.2%3.4%
HV 20d11.6%9.6%12.6%11.7%12.6%
HV 60d12.8%12.4%13.3%13.2%12.5%
IV Rank16.8%0.0%43.4%43.4%2.5%
IV Percentile35.8%0.0%75.8%75.8%2.0%
Term Structure1.6%-3.6%10.6%-3.6%2.0%
VWIV20.3%12.9%30.9%15.0%23.7%
Skew 25d3.3%-6.4%13.8%1.9%2.5%
Skew 10d7.4%5.2%13.4%9.4%7.4%
Call IV 25d13.8%10.4%23.7%15.1%10.7%
Put IV 25d17.1%12.5%29.5%17.0%13.1%
Bid-Ask Spread %54.6332.7774.2272.4866.91
Gamma HHI0.190.150.260.210.18
Net GEX-11.5K-242.2K92.9K2.0K1.7K
Net DEX-248.1K-612.6K298.8K-262.8K-612.6K
Net VEX-4.6K-5.8K-3.5K-4.7K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.0023.000.002.60
Total Volume29.8570944836
Total OI457208675312313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$100.42$101.0025.1%7.2%11.7%43.4%15.0%1.9%-3.6%2.0K-262.8K-4.7K0.0072.48N/AN/A480169143
2013-12-03$99.36$101.0018.4%5.3%12.2%22.4%0.0%3.3%-2.8%10.5K-122.3K-4.7K0.0059.65N/AN/A20212143
2013-12-04$99.72$101.0018.4%5.3%12.0%22.3%25.0%13.8%-2.8%22.8K-223.9K-4.8K23.0073.04N/AN/A246213143
2013-12-05$99.28$101.0020.3%5.8%11.9%28.2%19.7%4.8%-3.5%2.9K-79.3K-4.7K0.2049.10N/AN/A51213189
2013-12-06$100.59$90.0015.4%4.3%11.5%13.0%0.0%4.6%1.2%31.9K-404.0K-4.9K0.1854.20N/AN/A5510213190
2013-12-09$101.09$90.0018.9%4.0%9.6%23.8%0.0%4.3%8.9%69.2K-565.2K-5.2K0.3560.96N/AN/A5720268200
2013-12-10$101.17$90.0020.4%5.5%9.6%28.8%0.0%-6.4%0.9%92.9K-578.9K-5.3K0.0060.94N/AN/A029323220
2013-12-11$99.46$90.0022.3%4.6%11.4%34.6%0.0%4.4%7.0%33.9K29.7K-5.7K0.1867.79N/AN/A112323249
2013-12-12$99.34$90.0021.1%6.0%11.2%30.8%0.0%4.2%0.3%11.3K152.5K-5.3K0.0058.47N/AN/A059314251
2013-12-13$99.88$90.0020.3%5.8%11.1%28.5%30.9%3.3%0.4%-22.1K298.8K-5.8K0.0051.74N/AN/A10314306
2013-12-16$100.32$90.0020.5%5.9%11.0%29.0%0.0%3.9%0.7%-23.5K86.9K-5.2K0.0052.12N/AN/A055314306
2013-12-17$100.70$90.0014.9%4.3%10.8%11.4%0.0%3.6%1.4%-66.8K180.9K-5.2K0.0044.63N/AN/A10314361
2013-12-18$101.88$90.0017.4%5.0%11.6%19.3%0.0%4.3%10.6%-54.4K-195.7K-4.8K0.0074.22N/AN/A30314361
2013-12-19$101.97$90.0012.4%3.5%11.2%3.4%13.6%3.1%2.2%-107.8K-251.0K-4.2K0.0766.67N/AN/A443314354
2013-12-20$100.49$97.0012.6%3.6%12.2%4.1%12.9%2.5%1.6%-242.2K-117.2K-3.8K0.0032.77N/AN/A031260354
2013-12-23$100.91$100.0012.1%3.5%12.2%2.4%20.6%2.9%1.7%-855-372.8K-3.8K0.0039.77N/AN/A09411791
2013-12-24$102.01$100.0011.5%3.3%12.5%0.6%0.0%2.5%1.7%-9.3K-464.5K-3.8K0.0040.78N/AN/A01117185
2013-12-26$102.42$100.0011.6%3.3%12.5%1.0%21.0%2.5%1.7%1.8K-534.9K-3.5K1.2534.57N/AN/A45117185
2013-12-27$102.91$100.0010.9%3.1%12.6%0.0%0.0%2.1%2.1%3.4K-593.9K-3.6K0.0052.32N/AN/A02121190
2013-12-30$102.88$100.0011.7%3.4%12.6%2.5%0.0%2.0%1.8%689-579.3K-3.6K0.0034.06N/AN/A00121192
2013-12-31$103.25$100.0011.7%3.4%12.6%2.5%23.7%2.5%2.0%1.7K-612.6K-3.5K2.6066.91N/AN/A1026121192