VAW Options History — June 2014

In June 2014, VAW traded between $109.32 and $111.77. ATM implied volatility averaged 12.0%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.9% (HV 20d: 9.0%). Max pain ranged from $104.00 to $106.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.07.

Notable Days

2014-06-13: Highest Volume — 20 contracts
2014-06-18: Largest IV drop — 10.2% change
2014-06-17: Highest IV Rank — 19.4%
2014-06-27: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.60	$109.32	$111.77	$109.60	$111.76
Max Pain	$105.50	$104.00	$106.00	$104.00	$106.00
ATM IV	12.0%	10.0%	13.7%	12.4%	10.0%
Expected Move	3.9%	3.0%	4.6%	3.5%	4.5%
HV 20d	9.0%	7.5%	10.9%	10.9%	8.2%
HV 60d	12.2%	11.6%	12.7%	12.7%	11.7%
IV Rank	10.6%	1.2%	19.4%	11.9%	1.2%
IV Percentile	11.9%	0.4%	36.5%	12.7%	0.4%
Term Structure	1.3%	0.3%	4.2%	0.3%	1.7%
VWIV	14.9%	14.9%	14.9%	14.9%	14.9%
Skew 25d	2.7%	2.3%	3.3%	2.5%	2.6%
Skew 10d	6.1%	4.6%	8.1%	6.3%	7.6%
Call IV 25d	11.0%	9.3%	12.2%	11.6%	9.3%
Put IV 25d	13.7%	11.8%	15.2%	14.0%	11.8%
Bid-Ask Spread %	28.07	5.80	83.23	57.31	5.80
Gamma HHI	0.45	0.40	0.58	0.41	0.54
Net GEX	64.1K	49.4K	71.0K	68.2K	50.9K
Net DEX	-1.2M	-1.3M	-1.1M	-1.1M	-1.2M
Net VEX	-4.5K	-4.8K	-4.3K	-4.6K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.33	0.00	0.00
Total Volume	2.524	0	20	6	2
Total OI	218.095	203	235	203	228

Daily Data (21 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
2014-06-02	$109.60	$104.00	12.4%	3.5%	10.9%	11.9%	14.9%	2.5%	0.3%	68.2K	-1.1M	-4.6K	0.00	57.31	N/A	N/A	0	6	174	29
2014-06-03	$109.32	$106.00	12.8%	3.7%	10.9%	14.2%	0.0%	2.7%	0.6%	63.7K	-1.1M	-4.7K	0.00	60.14	N/A	N/A	0	0	174	35
2014-06-04	$109.60	$106.00	12.3%	3.5%	10.6%	11.6%	0.0%	2.7%	0.6%	63.9K	-1.1M	-4.6K	0.00	83.23	N/A	N/A	0	0	174	35
2014-06-05	$110.28	$106.00	12.3%	3.5%	10.5%	11.6%	0.0%	2.4%	0.9%	65.4K	-1.2M	-4.5K	0.00	65.50	N/A	N/A	0	0	174	35
2014-06-06	$110.97	$0.00	11.3%	3.5%	10.3%	7.2%	0.0%	3.0%	1.4%	66.4K	-1.3M	-4.4K	0.00	26.38	N/A	N/A	0	0	174	35
2014-06-09	$110.65	$0.00	12.0%	3.7%	10.4%	10.4%	0.0%	3.0%	0.7%	66.6K	-1.2M	-4.3K	0.00	27.87	N/A	N/A	2	0	174	35
2014-06-10	$110.81	$0.00	12.0%	3.6%	9.1%	10.1%	0.0%	2.9%	1.2%	67.5K	-1.3M	-4.3K	0.00	29.91	N/A	N/A	0	0	175	35
2014-06-11	$110.31	$0.00	12.4%	3.8%	9.3%	12.2%	0.0%	3.1%	1.3%	68.4K	-1.2M	-4.4K	0.00	22.43	N/A	N/A	2	0	175	35
2014-06-12	$109.33	$0.00	13.7%	3.9%	10.0%	17.9%	0.0%	3.3%	1.0%	69.5K	-1.1M	-4.5K	0.00	22.53	N/A	N/A	0	0	177	35
2014-06-13	$109.81	$0.00	13.0%	3.7%	8.1%	16.8%	0.0%	3.1%	1.1%	71.0K	-1.2M	-4.4K	0.00	21.12	N/A	N/A	0	20	177	35
2014-06-16	$109.66	$0.00	13.3%	3.8%	8.2%	18.2%	0.0%	3.0%	1.1%	67.7K	-1.1M	-4.8K	0.00	22.81	N/A	N/A	0	0	177	55
2014-06-17	$110.05	$0.00	13.6%	3.9%	8.0%	19.4%	0.0%	3.1%	0.8%	67.6K	-1.2M	-4.8K	0.00	18.69	N/A	N/A	2	0	177	55
2014-06-18	$111.12	$0.00	12.2%	3.5%	7.9%	12.3%	0.0%	2.5%	1.4%	63.0K	-1.3M	-4.6K	0.33	25.94	N/A	N/A	3	1	177	55
2014-06-19	$111.03	$0.00	11.6%	3.3%	7.9%	9.4%	0.0%	2.8%	1.5%	63.6K	-1.3M	-4.7K	0.00	30.97	N/A	N/A	0	0	179	56
2014-06-20	$111.64	$0.00	10.6%	3.0%	8.0%	4.1%	0.0%	2.3%	1.9%	64.9K	-1.3M	-4.5K	0.00	35.73	N/A	N/A	0	0	178	56
2014-06-23	$111.77	$0.00	10.7%	4.5%	7.5%	4.5%	0.0%	2.3%	1.4%	65.7K	-1.3M	-4.4K	0.00	6.24	N/A	N/A	0	1	174	39
2014-06-24	$110.70	$0.00	11.6%	4.6%	8.5%	9.4%	0.0%	2.4%	1.0%	66.8K	-1.2M	-4.5K	0.00	6.16	N/A	N/A	0	1	174	40
2014-06-25	$111.56	$0.00	11.0%	4.5%	8.8%	6.4%	0.0%	2.6%	1.2%	63.9K	-1.3M	-4.4K	0.00	6.16	N/A	N/A	0	10	174	41
2014-06-26	$111.36	$0.00	11.6%	4.6%	8.3%	9.3%	0.0%	2.4%	4.2%	52.0K	-1.2M	-4.6K	0.00	8.17	N/A	N/A	0	3	174	51
2014-06-27	$111.34	$0.00	10.8%	4.6%	8.2%	5.4%	0.0%	2.4%	1.3%	49.4K	-1.2M	-4.6K	0.00	6.50	N/A	N/A	0	0	174	54
2014-06-30	$111.76	$0.00	10.0%	4.5%	8.2%	1.2%	0.0%	2.6%	1.7%	50.9K	-1.2M	-4.4K	0.00	5.80	N/A	N/A	2	0	174	54