VAW Options History — January 2014

In January 2014, VAW traded between $97.78 and $103.12. ATM implied volatility averaged 13.3%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.0% (HV 20d: 12.3%). Max pain ranged from $102.00 to $106.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.90.

Notable Days

  • 2014-01-09: Highest Volume — 100 contracts
  • 2014-01-24: Largest IV spike — 25.4% change
  • 2014-01-24: Highest IV Rank — 22.2%
  • 2014-01-24: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.14$97.78$103.12$102.46$98.77
Max Pain$102.38$102.00$106.00$106.00$102.00
ATM IV13.3%10.3%17.6%12.7%16.5%
Expected Move4.0%3.5%5.0%3.6%4.7%
HV 20d12.3%9.6%14.7%12.3%14.6%
HV 60d11.9%11.2%13.0%12.4%13.0%
IV Rank8.3%0.0%22.2%5.6%18.7%
IV Percentile18.3%0.0%61.9%5.2%54.4%
Term Structure1.5%-0.6%3.0%1.3%0.2%
VWIV16.7%13.2%21.7%13.2%15.2%
Skew 25d3.0%2.1%4.1%2.8%3.9%
Skew 10d6.9%5.0%9.6%5.0%8.5%
Call IV 25d12.8%11.1%15.4%11.5%15.1%
Put IV 25d15.8%13.6%19.5%14.3%19.0%
Bid-Ask Spread %42.3823.6984.6737.8524.18
Gamma HHI0.220.150.290.150.19
Net GEX-28.7K-54.9K-5.6K-9.0K-30.6K
Net DEX-26.5K-452.7K612.9K-450.4K378.3K
Net VEX-5.5K-6.5K-3.5K-3.6K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.900.0025.003.000.00
Total Volume10.429010041
Total OI367.667323450340337

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$102.46$106.0012.7%3.6%12.3%5.6%0.0%2.8%1.3%-9.0K-450.4K-3.6K3.0037.85N/AN/A13131209
2014-01-03$102.34$106.0012.3%3.5%12.3%4.3%0.0%2.5%1.6%-8.5K-452.7K-3.6K0.0037.75N/AN/A00132212
2014-01-06$101.71$102.0011.1%3.9%12.4%0.6%0.0%2.8%2.3%-5.6K-376.9K-3.6K5.0054.45N/AN/A15132212
2014-01-07$101.67$102.0011.4%3.8%11.6%1.5%0.0%2.6%2.7%-8.0K-339.8K-3.5K0.0053.94N/AN/A00133217
2014-01-08$102.07$102.0011.7%3.9%11.5%2.4%0.0%2.9%2.3%-6.5K-385.1K-3.5K0.0023.69N/AN/A00133217
2014-01-09$101.85$102.0011.3%3.9%11.6%1.1%0.0%3.0%2.2%-7.8K-356.2K-3.5K0.0038.85N/AN/A0100133217
2014-01-10$102.29$102.0011.2%3.7%9.6%1.1%13.2%2.1%3.0%-38.1K-4.9K-6.4K0.0076.03N/AN/A05133317
2014-01-13$100.91$102.0013.7%3.9%11.0%8.8%21.7%2.8%2.6%-44.4K128.5K-6.5K0.0033.55N/AN/A05133313
2014-01-14$102.19$102.0011.2%3.8%11.7%1.0%0.0%3.1%2.4%-34.2K-179.5K-6.4K0.0025.32N/AN/A00133308
2014-01-15$102.91$102.0010.3%3.7%11.8%0.0%0.0%2.6%2.4%-29.0K-284.8K-6.1K0.0052.26N/AN/A10132306
2014-01-16$102.98$102.0012.4%3.6%11.8%6.4%19.6%2.7%3.0%-27.5K-294.9K-6.1K0.0025.58N/AN/A04133306
2014-01-17$102.68$102.0012.5%3.6%11.1%6.5%13.4%2.8%2.8%-27.7K-262.3K-6.2K25.0024.54N/AN/A125133306
2014-01-21$103.12$102.0012.3%3.5%11.2%6.0%14.3%2.8%1.0%-51.1K-174.5K-6.1K0.0036.52N/AN/A01120203
2014-01-22$102.45$102.0012.8%3.7%10.1%7.6%0.0%2.7%1.1%-54.9K-71.1K-6.3K0.0069.97N/AN/A00120204
2014-01-23$101.12$102.0014.0%4.0%11.2%11.3%14.4%2.3%0.6%-48.6K126.0K-6.3K0.0071.81N/AN/A06120204
2014-01-24$98.24$102.0017.6%5.0%14.5%22.2%16.3%4.1%-0.6%-34.3K527.6K-6.1K0.0026.32N/AN/A017120204
2014-01-27$97.78$102.0016.6%4.8%14.4%19.2%15.2%3.8%-0.3%-28.8K612.9K-6.0K1.3332.00N/AN/A1216120208
2014-01-28$98.36$102.0015.8%4.5%14.4%16.6%18.8%3.5%0.2%-34.2K531.0K-6.4K0.0028.98N/AN/A50132214
2014-01-29$98.76$102.0015.8%4.5%14.6%16.6%21.0%3.9%0.7%-39.4K464.8K-6.5K0.0084.67N/AN/A010133214
2014-01-30$99.23$102.0015.7%4.5%14.7%16.3%0.0%2.8%0.4%-34.3K308.0K-6.4K0.0031.73N/AN/A00133204
2014-01-31$98.77$102.0016.5%4.7%14.6%18.7%15.2%3.9%0.2%-30.6K378.3K-6.4K0.0024.18N/AN/A10133204