VAW Options History — February 2014

In February 2014, VAW traded between $96.16 and $105.43. ATM implied volatility averaged 14.7%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 3.0% (HV 20d: 17.7%). Max pain ranged from $91.00 to $102.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 11.35.

Notable Days

2014-02-25: Highest Volume — 104 contracts
2014-02-10: Largest IV drop — 18.5% change
2014-02-03: Highest IV Rank — 29.8%
2014-02-03: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.75	$96.16	$105.43	$96.16	$105.43
Max Pain	$98.58	$91.00	$102.00	$102.00	$102.00
ATM IV	14.7%	11.7%	20.1%	20.1%	14.6%
Expected Move	4.3%	3.8%	5.8%	5.8%	4.2%
HV 20d	17.7%	14.9%	19.3%	17.0%	15.1%
HV 60d	14.1%	13.6%	14.3%	14.0%	14.3%
IV Rank	13.4%	4.2%	29.8%	29.8%	12.9%
IV Percentile	31.1%	4.8%	74.6%	74.6%	32.1%
Term Structure	0.7%	-0.8%	1.9%	-0.7%	0.2%
VWIV	15.9%	13.4%	19.1%	19.1%	15.6%
Skew 25d	3.1%	-3.9%	4.7%	4.7%	3.1%
Skew 10d	7.5%	5.4%	9.6%	9.6%	6.5%
Call IV 25d	13.8%	12.4%	18.3%	18.3%	12.9%
Put IV 25d	16.9%	9.5%	22.9%	22.9%	16.1%
Bid-Ask Spread %	47.71	21.67	87.30	28.58	59.52
Gamma HHI	0.20	0.13	0.35	0.16	0.13
Net GEX	-18.1K	-107.3K	52.0K	-14.4K	46.7K
Net DEX	-259.8K	-980.1K	692.0K	692.0K	-980.1K
Net VEX	-5.6K	-6.4K	-3.0K	-5.9K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	11.35	0.00	103.00	0.00	0.00
Total Volume	17.105	0	104	8	0
Total OI	362.895	276	471	338	276

Daily Data (19 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
2014-02-03	$96.16	$102.00	20.1%	5.8%	17.0%	29.8%	0.0%	4.7%	-0.7%	-14.4K	692.0K	-5.9K	0.00	28.58	N/A	N/A	0	8	134	204
2014-02-04	$97.09	$102.00	18.1%	5.2%	17.6%	23.9%	19.1%	3.9%	-0.8%	-18.6K	646.9K	-6.1K	0.00	69.48	N/A	N/A	12	0	134	212
2014-02-05	$97.18	$102.00	18.5%	5.3%	17.6%	24.9%	0.0%	4.5%	-0.4%	-11.7K	549.8K	-6.2K	0.00	87.30	N/A	N/A	0	0	146	212
2014-02-06	$98.59	$102.00	16.4%	4.7%	18.5%	18.5%	0.0%	4.2%	0.2%	-23.3K	359.4K	-6.4K	0.00	70.65	N/A	N/A	3	0	146	212
2014-02-07	$99.94	$98.00	14.4%	4.4%	19.2%	12.3%	0.0%	3.7%	1.2%	-40.3K	140.5K	-6.4K	0.00	21.67	N/A	N/A	3	0	149	212
2014-02-10	$100.28	$98.00	11.7%	4.5%	19.2%	4.2%	14.2%	3.9%	0.8%	-45.3K	50.9K	-6.4K	0.00	23.96	N/A	N/A	2	0	152	212
2014-02-11	$101.59	$98.00	13.4%	4.2%	19.2%	9.4%	16.6%	3.5%	1.2%	-61.4K	-218.8K	-6.3K	8.50	53.02	N/A	N/A	2	17	154	212
2014-02-12	$101.60	$98.00	13.0%	4.2%	18.7%	8.0%	0.0%	-3.9%	1.4%	-56.5K	-226.6K	-6.2K	0.00	60.96	N/A	N/A	0	0	154	206
2014-02-13	$102.66	$98.00	14.5%	4.2%	18.9%	12.7%	0.0%	3.5%	1.5%	-59.6K	-438.6K	-6.0K	0.00	30.14	N/A	N/A	0	0	154	206
2014-02-14	$103.37	$98.00	14.2%	4.1%	19.0%	11.9%	0.0%	3.3%	1.4%	-46.7K	-580.2K	-5.8K	0.00	43.09	N/A	N/A	0	5	154	206
2014-02-18	$103.57	$98.00	13.6%	3.9%	19.0%	9.9%	0.0%	2.7%	1.5%	-46.6K	-658.4K	-5.5K	0.00	43.62	N/A	N/A	0	100	154	206
2014-02-19	$102.72	$98.00	14.2%	4.1%	19.2%	11.7%	17.4%	3.4%	1.5%	-107.3K	-438.4K	-6.3K	0.36	29.81	N/A	N/A	14	5	154	306
2014-02-20	$103.69	$91.00	13.4%	3.8%	19.3%	9.4%	13.4%	3.0%	1.9%	-950	-672.1K	-6.0K	0.00	62.09	N/A	N/A	17	0	153	311
2014-02-21	$103.58	$91.00	13.5%	3.9%	18.7%	9.7%	0.0%	3.1%	1.6%	-3.6K	-459.7K	-6.0K	0.00	63.79	N/A	N/A	0	0	160	311
2014-02-24	$103.05	$91.00	14.1%	4.0%	15.1%	11.5%	14.7%	3.1%	0.5%	24.3K	-416.6K	-6.1K	1.67	39.73	N/A	N/A	3	5	138	229
2014-02-25	$103.39	$102.00	14.7%	4.2%	14.9%	13.2%	15.6%	2.9%	-0.1%	19.6K	-435.9K	-6.0K	103.00	66.89	N/A	N/A	1	103	139	234
2014-02-26	$104.32	$102.00	14.0%	4.0%	15.0%	11.2%	0.0%	2.9%	0.3%	52.0K	-897.8K	-3.2K	0.00	23.43	N/A	N/A	25	0	140	137
2014-02-27	$105.02	$102.00	13.5%	3.9%	15.1%	9.8%	0.0%	2.8%	0.6%	49.5K	-952.2K	-3.0K	0.00	28.76	N/A	N/A	0	0	139	137
2014-02-28	$105.43	$102.00	14.6%	4.2%	15.1%	12.9%	0.0%	3.1%	0.2%	46.7K	-980.1K	-3.0K	0.00	59.52	N/A	N/A	0	0	139	137