VAW Options History — April 2014

In April 2014, VAW traded between $103.37 and $107.88. ATM implied volatility averaged 14.6%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.6% (HV 20d: 15.2%). Max pain ranged from $93.00 to $104.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-04-03: Highest Volume — 205 contracts
  • 2014-04-10: Largest IV spike — 28.5% change
  • 2014-04-11: Highest IV Rank — 35.5%
  • 2014-04-11: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.96$103.37$107.88$107.07$106.48
Max Pain$96.67$93.00$104.00$104.00$97.00
ATM IV14.6%12.0%17.8%12.2%13.8%
Expected Move4.3%3.4%5.1%3.5%3.9%
HV 20d15.2%11.9%17.0%11.9%15.2%
HV 60d14.8%13.2%15.8%14.4%13.2%
IV Rank18.7%5.2%35.5%5.8%16.2%
IV Percentile41.3%6.0%83.7%6.7%28.6%
Term Structure0.8%-0.4%1.7%1.5%0.3%
VWIV14.6%6.0%17.3%6.0%17.1%
Skew 25d3.2%2.0%4.0%2.0%3.1%
Skew 10d7.2%4.3%8.8%6.1%7.3%
Call IV 25d13.6%11.2%16.1%11.2%12.2%
Put IV 25d16.8%13.2%20.1%13.2%15.3%
Bid-Ask Spread %75.8851.2198.1783.1298.17
Gamma HHI0.340.220.480.390.29
Net GEX573.7K89.2K1.5M694.7K102.3K
Net DEX-3.8M-6.8M-1.6M-6.1M-1.8M
Net VEX-7.7K-10.4K-5.1K-10.3K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.002.500.002.50
Total Volume24.5710205010
Total OI7222961,023995296

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$107.07$104.0012.2%3.5%11.9%5.8%0.0%2.0%1.5%694.7K-6.1M-10.3K0.0083.12N/AN/A00803192
2014-04-02$107.82$104.0012.1%3.5%12.2%5.3%0.0%2.0%1.3%596.6K-6.7M-9.4K0.0097.77N/AN/A50803192
2014-04-03$107.88$104.0012.0%3.4%12.1%5.2%6.0%2.1%1.5%589.7K-6.8M-8.8K0.0083.43N/AN/A2050808192
2014-04-04$106.56$93.0013.3%4.2%12.9%9.0%0.0%3.2%1.3%727.0K-5.7M-10.3K0.0051.21N/AN/A10806192
2014-04-07$104.79$93.0015.9%4.6%14.1%17.1%0.0%3.4%0.8%813.6K-4.2M-10.4K0.0054.67N/AN/A010807192
2014-04-08$105.33$93.0015.2%4.6%13.9%14.7%0.0%3.6%0.9%858.6K-4.6M-10.3K0.0056.97N/AN/A00807202
2014-04-09$106.77$93.0012.8%4.2%14.7%7.6%0.0%3.3%1.5%778.6K-6.0M-9.1K0.0058.53N/AN/A00807202
2014-04-10$104.71$93.0016.5%4.7%16.0%29.2%0.0%3.6%0.7%951.5K-4.0M-9.8K1.0066.99N/AN/A11807202
2014-04-11$103.37$93.0017.8%5.1%16.6%35.5%0.0%4.0%0.3%774.5K-2.6M-9.2K0.0063.51N/AN/A520808203
2014-04-14$104.14$93.0017.0%4.9%16.7%31.6%17.3%3.9%0.6%1.1M-3.3M-8.6K0.0069.71N/AN/A040813203
2014-04-15$104.65$97.0016.1%4.6%16.5%27.4%16.1%3.3%0.9%1.5M-3.9M-8.3K0.0077.33N/AN/A1760813210
2014-04-16$106.12$97.0014.9%4.3%17.0%21.6%16.4%3.0%1.3%1.4M-6.2M-6.6K2.5072.09N/AN/A410760104
2014-04-17$106.41$97.0014.5%4.2%17.0%19.9%0.0%3.3%1.7%530.5K-5.0M-7.2K0.0077.40N/AN/A00762104
2014-04-21$106.55$97.0014.6%4.2%16.9%20.5%0.0%3.2%0.2%96.7K-1.8M-5.5K0.0077.52N/AN/A0026333
2014-04-22$107.01$97.0014.4%4.1%16.6%19.4%17.1%2.9%0.3%94.6K-1.9M-5.4K0.0081.88N/AN/A0126333
2014-04-23$106.87$97.0014.4%4.1%16.5%19.2%0.0%3.2%0.3%89.2K-1.9M-5.3K0.0081.68N/AN/A0026333
2014-04-24$106.39$97.0014.7%4.2%15.5%20.8%0.0%3.5%0.2%98.3K-1.8M-5.4K0.0081.83N/AN/A0026333
2014-04-25$105.56$97.0014.7%4.2%15.8%20.9%0.0%3.5%0.2%101.7K-1.7M-5.4K0.0080.85N/AN/A0026333
2014-04-28$105.00$97.0015.7%4.5%15.8%25.4%0.0%3.6%-0.4%106.9K-1.6M-5.3K0.0086.94N/AN/A0026333
2014-04-29$105.77$97.0014.5%4.1%15.2%19.6%0.0%3.2%0.5%101.5K-1.7M-5.1K0.0091.83N/AN/A0026333
2014-04-30$106.48$97.0013.8%3.9%15.2%16.2%0.0%3.1%0.3%102.3K-1.8M-5.1K0.0098.17N/AN/A01026333