VAW Options History — May 2014

In May 2014, VAW traded between $106.02 and $109.37. ATM implied volatility averaged 12.5%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.7% (HV 20d: 11.8%). Max pain ranged from $97.00 to $104.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2014-05-14: Highest Volume — 18 contracts
  • 2014-05-19: Largest IV spike — 30.3% change
  • 2014-05-06: Highest IV Rank — 16.6%
  • 2014-05-08: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.37$106.02$109.37$106.02$109.20
Max Pain$102.81$97.00$104.00$97.00$104.00
ATM IV12.5%9.8%13.8%13.5%11.9%
Expected Move3.7%2.8%4.1%3.9%3.4%
HV 20d11.8%10.3%15.2%15.0%10.9%
HV 60d12.9%12.6%13.1%13.1%12.7%
IV Rank11.3%0.0%16.6%15.2%9.8%
IV Percentile13.5%0.0%30.6%24.6%7.5%
Term Structure0.9%0.2%1.8%0.3%0.3%
VWIV17.0%12.3%29.0%29.0%12.3%
Skew 25d2.7%1.9%3.5%2.8%1.9%
Skew 10d5.3%3.9%14.3%7.8%4.0%
Call IV 25d11.8%10.7%12.9%12.3%11.0%
Put IV 25d14.4%12.8%16.1%15.1%12.9%
Bid-Ask Spread %38.0318.78104.05100.3746.51
Gamma HHI0.370.250.540.270.42
Net GEX76.6K61.1K102.4K89.0K71.0K
Net DEX-1.5M-2.0M-875.3K-1.8M-1.1M
Net VEX-4.8K-5.1K-4.5K-5.1K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.001.000.001.00
Total Volume3.66701800
Total OI258.143198309306203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$106.02$97.0013.5%3.9%15.0%15.2%0.0%2.8%0.3%89.0K-1.8M-5.1K0.00100.37N/AN/A0026343
2014-05-02$106.54$97.0012.7%3.6%15.2%11.3%29.0%3.2%1.0%91.3K-1.8M-5.1K0.00104.05N/AN/A11026343
2014-05-05$106.88$103.0013.2%4.0%14.6%13.7%0.0%3.5%1.3%88.3K-1.9M-4.9K0.0018.78N/AN/A10026643
2014-05-06$106.29$103.0013.8%4.1%13.3%16.6%14.3%3.3%1.1%86.4K-1.8M-4.9K0.0022.72N/AN/A2025743
2014-05-07$107.11$103.0013.4%4.0%13.5%14.6%0.0%3.4%1.1%79.2K-1.8M-4.8K0.0022.00N/AN/A0025443
2014-05-08$106.50$103.0013.7%4.1%12.8%16.2%0.0%3.2%0.9%79.7K-1.8M-4.8K0.0019.56N/AN/A0025443
2014-05-09$106.52$103.0011.4%3.9%10.5%4.9%14.8%2.4%1.2%80.2K-1.8M-4.7K0.0021.03N/AN/A0925243
2014-05-12$108.17$103.0012.8%3.8%10.4%11.7%0.0%3.1%1.2%71.8K-2.0M-4.6K0.0021.29N/AN/A0025243
2014-05-13$108.04$103.0012.2%3.7%10.3%8.6%0.0%2.9%1.8%72.7K-2.0M-4.5K0.0022.34N/AN/A10025243
2014-05-14$107.91$103.0011.8%3.6%10.3%6.9%0.0%2.4%1.7%78.8K-2.0M-4.7K0.1331.10N/AN/A16226243
2014-05-15$106.31$103.0013.7%3.9%10.8%15.8%0.0%3.0%1.6%102.4K-1.8M-5.0K0.0038.45N/AN/A4026836
2014-05-16$106.68$103.009.8%2.8%10.8%0.0%0.0%2.7%1.4%93.9K-1.8M-5.0K0.0045.42N/AN/A8026836
2014-05-19$107.34$103.0012.8%3.7%11.0%13.8%14.6%2.6%0.6%63.0K-940.2K-4.9K0.0027.13N/AN/A0117127
2014-05-20$106.55$104.0012.3%3.5%11.2%11.7%0.0%2.1%0.6%61.1K-875.3K-4.9K0.0030.39N/AN/A2017128
2014-05-21$107.10$104.0012.4%3.6%11.4%12.2%0.0%2.5%0.6%63.5K-935.3K-4.9K0.0028.72N/AN/A0017328
2014-05-22$107.33$104.0012.2%3.5%11.3%11.0%0.0%2.1%0.6%64.6K-957.6K-4.9K0.0031.27N/AN/A0017328
2014-05-23$108.30$104.0011.6%3.3%11.2%8.2%0.0%2.1%0.9%66.6K-1.0M-4.8K0.0034.70N/AN/A0017328
2014-05-27$108.34$104.0012.4%3.6%10.9%12.3%0.0%2.3%0.3%67.0K-1.0M-4.7K0.0038.89N/AN/A0017328
2014-05-28$108.28$104.0012.4%3.5%10.8%11.9%12.3%2.2%0.6%66.9K-1.0M-4.7K1.0046.54N/AN/A1117328
2014-05-29$109.37$104.0012.0%3.5%11.0%10.4%0.0%2.2%0.2%70.5K-1.1M-4.6K0.0047.26N/AN/A0017429
2014-05-30$109.20$104.0011.9%3.4%10.9%9.8%0.0%1.9%0.3%71.0K-1.1M-4.7K0.0046.51N/AN/A0017429