VAW Options History — March 2014

In March 2014, VAW traded between $104.27 and $107.41. ATM implied volatility averaged 14.2%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.1% (HV 20d: 11.1%). Max pain ranged from $101.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2014-03-26: Highest Volume — 543 contracts
  • 2014-03-04: Largest IV drop — 16.5% change
  • 2014-03-14: Highest IV Rank — 18.3%
  • 2014-03-14: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.89$104.27$107.41$105.12$106.31
Max Pain$102.00$101.00$105.00$102.00$104.00
ATM IV14.2%13.2%16.3%15.9%13.5%
Expected Move4.1%3.8%4.7%4.6%3.9%
HV 20d11.1%9.9%15.0%15.0%13.0%
HV 60d14.1%13.7%14.4%14.1%14.3%
IV Rank11.9%8.7%18.3%17.0%9.7%
IV Percentile30.3%14.7%61.9%53.6%21.4%
Term Structure0.9%-0.1%1.6%-0.1%1.1%
VWIV15.4%13.6%17.5%17.5%16.3%
Skew 25d3.1%2.4%4.1%4.1%2.5%
Skew 10d7.3%5.0%11.2%11.2%6.7%
Call IV 25d13.1%11.9%15.0%14.1%12.5%
Put IV 25d16.3%14.8%18.6%18.2%15.0%
Bid-Ask Spread %51.6914.8798.1770.7372.30
Gamma HHI0.180.110.400.130.40
Net GEX149.4K39.4K747.4K45.2K747.4K
Net DEX-1.6M-5.5M-931.2K-931.2K-5.5M
Net VEX-4.3K-12.1K-2.1K-3.1K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.003.330.000.00
Total Volume36.1430543549
Total OI394.952276946276946

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$105.12$102.0015.9%4.6%15.0%17.0%0.0%4.1%-0.1%45.2K-931.2K-3.1K0.0070.73N/AN/A05139137
2014-03-04$106.79$102.0013.3%3.8%10.7%9.0%0.0%3.4%0.6%40.1K-1.1M-2.8K0.0078.14N/AN/A30139142
2014-03-05$106.97$102.0013.4%3.8%10.7%9.4%0.0%3.2%1.0%41.4K-1.1M-2.7K0.0079.28N/AN/A00142142
2014-03-06$107.41$102.0013.7%3.9%10.6%10.2%0.0%3.2%1.0%39.4K-1.1M-2.5K0.0098.17N/AN/A100142142
2014-03-07$107.15$101.0013.5%4.1%10.3%9.7%0.0%3.5%1.0%48.2K-1.2M-2.7K0.0014.87N/AN/A00152142
2014-03-10$106.85$101.0013.8%4.1%9.9%10.7%0.0%3.4%0.9%49.9K-1.2M-2.7K0.0020.99N/AN/A00152142
2014-03-11$105.81$101.0014.4%4.3%11.0%12.5%0.0%3.3%0.7%55.1K-1.1M-2.9K0.0016.14N/AN/A01152142
2014-03-12$105.75$101.0014.6%4.2%10.3%13.0%0.0%3.8%1.0%54.2K-1.1M-2.9K0.0033.23N/AN/A00152143
2014-03-13$104.81$101.0015.6%4.5%11.0%16.2%0.0%3.3%0.7%58.8K-977.3K-3.0K0.0023.61N/AN/A30152143
2014-03-14$104.96$101.0016.3%4.7%10.5%18.3%0.0%3.6%0.5%54.7K-972.5K-3.0K0.0029.20N/AN/A00149143
2014-03-17$105.73$101.0014.8%4.2%10.5%13.7%0.0%3.5%0.8%56.7K-1.1M-2.6K0.0050.12N/AN/A50149143
2014-03-18$106.51$101.0013.6%3.9%10.7%9.9%0.0%2.5%1.1%54.2K-1.2M-2.5K0.0044.14N/AN/A00152143
2014-03-19$105.59$101.0014.3%4.1%10.8%12.0%0.0%3.6%1.1%64.2K-1.1M-2.5K0.0041.53N/AN/A00152143
2014-03-20$106.05$101.0013.8%4.0%10.4%10.5%17.5%2.7%1.0%43.1K-1.2M-2.4K3.3357.36N/AN/A310152143
2014-03-21$106.50$101.0013.2%3.8%10.5%8.7%0.0%2.9%1.6%50.5K-1.2M-2.4K0.0044.57N/AN/A00155153
2014-03-24$105.53$101.0013.6%3.9%10.9%9.8%14.4%2.9%1.3%50.9K-1.0M-2.1K0.0254.27N/AN/A1252135141
2014-03-25$106.16$105.0013.4%3.8%11.0%9.3%0.0%2.4%1.4%86.4K-1.7M-6.3K0.0052.22N/AN/A00260143
2014-03-26$104.47$105.0014.7%4.2%12.2%13.4%13.6%2.4%0.6%87.0K-1.5M-6.6K0.0089.81N/AN/A5430260143
2014-03-27$104.27$104.0014.8%4.2%12.0%13.6%0.0%3.0%0.7%689.8K-4.0M-12.1K0.0055.34N/AN/A00803143
2014-03-28$104.91$104.0014.3%4.1%12.1%12.2%0.0%2.8%0.8%720.7K-4.4M-11.9K0.0059.46N/AN/A00803143
2014-03-31$106.31$104.0013.5%3.9%13.0%9.7%16.3%2.5%1.1%747.4K-5.5M-11.2K0.0072.30N/AN/A049803143