VAW Options History — July 2014

In July 2014, VAW traded between $108.98 and $113.05. ATM implied volatility averaged 11.3%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.9% (HV 20d: 8.4%). Max pain ranged from $115.00 to $116.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2014-07-31: Highest Volume — 49 contracts
  • 2014-07-31: Largest IV spike — 24.9% change
  • 2014-07-31: Highest IV Rank — 36.0%
  • 2014-07-31: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.71$108.98$113.05$112.19$108.98
Max Pain$115.24$115.00$116.00$116.00$115.00
ATM IV11.3%9.3%14.9%10.1%14.9%
Expected Move4.4%4.2%4.6%4.6%4.6%
HV 20d8.4%7.4%10.6%8.2%10.6%
HV 60d9.5%8.8%11.4%11.4%9.9%
IV Rank12.9%0.0%36.0%2.2%36.0%
IV Percentile12.7%0.0%67.5%0.8%67.5%
Term Structure1.6%-0.6%2.6%1.9%-0.6%
VWIV14.6%13.6%15.0%15.0%13.6%
Skew 25d2.6%1.8%3.7%2.5%3.7%
Skew 10d5.7%3.9%7.6%5.0%7.6%
Call IV 25d10.5%8.6%13.5%9.1%13.5%
Put IV 25d13.0%10.8%17.2%11.6%17.2%
Bid-Ask Spread %7.105.7910.5610.568.14
Gamma HHI0.360.260.490.490.26
Net GEX80.0K53.6K127.1K53.6K99.9K
Net DEX-1.3M-1.5M-1.1M-1.3M-1.1M
Net VEX-4.1K-4.7K-3.7K-4.3K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.230.001.23
Total Volume7.182049449
Total OI242.091219290230290

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$112.19$0.0010.1%4.6%8.2%2.2%15.0%2.5%1.9%53.6K-1.3M-4.3K0.0010.56N/AN/A4017654
2014-07-02$112.19$116.0010.0%4.5%8.2%1.7%0.0%2.6%1.6%59.9K-1.3M-4.4K0.005.79N/AN/A5018054
2014-07-03$113.05$116.009.3%4.4%8.3%0.0%0.0%2.3%2.2%60.9K-1.4M-4.1K0.006.25N/AN/A0018054
2014-07-07$111.94$116.0010.0%4.5%9.0%4.8%14.7%2.6%2.4%59.9K-1.3M-4.2K0.506.14N/AN/A4218054
2014-07-08$111.58$116.0010.2%4.5%9.0%6.2%0.0%2.6%2.5%59.4K-1.3M-4.3K0.005.87N/AN/A0018154
2014-07-09$111.92$116.0010.4%4.5%9.0%7.6%14.9%2.6%2.4%62.3K-1.3M-4.2K0.006.06N/AN/A10018154
2014-07-10$111.20$115.0012.7%4.6%9.2%21.9%0.0%2.7%1.9%57.5K-1.2M-4.4K0.107.25N/AN/A10118154
2014-07-11$111.41$115.0012.3%4.5%8.5%19.4%0.0%2.5%2.3%87.4K-1.3M-4.2K0.007.80N/AN/A0019154
2014-07-14$111.47$115.0012.8%4.6%8.4%22.1%0.0%2.9%1.9%92.7K-1.3M-4.2K0.006.56N/AN/A0019154
2014-07-15$111.19$115.0012.4%4.5%8.5%20.1%0.0%3.0%1.9%102.3K-1.3M-4.1K0.006.83N/AN/A0019154
2014-07-16$111.79$115.0011.8%4.3%8.6%16.0%0.0%2.8%2.3%113.4K-1.4M-4.1K0.006.97N/AN/A0019154
2014-07-17$111.13$115.0013.1%4.5%8.2%24.0%0.0%2.9%1.7%127.1K-1.3M-4.2K0.007.11N/AN/A0019154
2014-07-18$112.02$115.0011.4%4.4%8.7%13.6%0.0%2.6%2.6%113.2K-1.5M-4.0K0.006.82N/AN/A0019154
2014-07-21$111.58$115.0011.3%4.3%8.6%13.2%0.0%2.5%1.5%75.7K-1.3M-3.9K0.007.09N/AN/A01317940
2014-07-22$111.87$115.0011.1%4.2%8.6%11.7%13.6%2.4%0.8%67.9K-1.3M-3.9K0.007.52N/AN/A6017952
2014-07-23$112.17$115.0010.7%4.2%7.9%9.4%0.0%2.0%1.0%73.2K-1.4M-3.9K0.007.80N/AN/A0018552
2014-07-24$112.14$115.0010.4%4.3%7.4%7.5%0.0%1.8%1.2%71.7K-1.4M-3.8K0.007.74N/AN/A0018552
2014-07-25$112.30$115.0010.3%4.3%7.4%6.6%0.0%2.2%1.4%74.7K-1.4M-3.8K0.006.83N/AN/A0018552
2014-07-28$112.50$115.0010.8%4.3%7.4%10.0%0.0%2.1%0.8%74.9K-1.4M-3.7K0.007.23N/AN/A24018552
2014-07-29$111.70$115.0011.3%4.2%7.8%12.6%0.0%2.4%0.7%94.1K-1.5M-4.2K0.006.68N/AN/A01020952
2014-07-30$111.26$115.0012.0%4.3%7.7%17.2%0.0%2.6%0.9%79.0K-1.4M-4.3K0.007.25N/AN/A20020961
2014-07-31$108.98$115.0014.9%4.6%10.6%36.0%0.0%3.7%-0.6%99.9K-1.1M-4.7K1.238.14N/AN/A222722961