VAW Options History — August 2014

In August 2014, VAW traded between $109.07 and $113.52. ATM implied volatility averaged 12.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.9% (HV 20d: 11.3%). Max pain ranged from $106.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2014-08-07: Highest Volume — 35 contracts
  • 2014-08-13: Largest IV drop — 22.3% change
  • 2014-08-07: Highest IV Rank — 40.6%
  • 2014-08-07: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.52$109.07$113.52$109.07$113.52
Max Pain$110.81$106.00$115.00$115.00$113.00
ATM IV12.3%10.3%15.7%14.7%10.3%
Expected Move4.5%4.1%4.9%4.7%4.2%
HV 20d11.3%8.5%12.1%10.1%8.5%
HV 60d9.6%9.2%10.2%9.8%9.2%
IV Rank19.0%6.4%40.6%34.3%6.4%
IV Percentile27.9%2.8%75.4%64.3%2.8%
Term Structure1.2%-0.0%1.8%-0.0%1.5%
VWIV15.4%14.0%18.2%18.2%16.3%
Skew 25d3.2%2.3%3.9%3.6%2.3%
Skew 10d6.7%5.2%8.7%8.2%6.9%
Call IV 25d11.2%9.0%14.0%13.4%9.2%
Put IV 25d14.4%11.6%17.5%17.0%11.6%
Bid-Ask Spread %8.316.9110.128.028.64
Gamma HHI0.250.210.390.250.22
Net GEX68.9K36.4K154.5K92.6K36.4K
Net DEX-1.1M-1.3M-872.8K-1.1M-1.2M
Net VEX-5.8K-6.5K-5.4K-5.7K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.006.001.302.00
Total Volume8.762035230
Total OI330.333275387338313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$109.07$115.0014.7%4.7%10.1%34.3%0.0%3.6%-0.0%92.6K-1.1M-5.7K1.308.02N/AN/A101325187
2014-08-04$110.31$115.0013.6%4.5%10.6%27.1%0.0%3.4%1.5%101.0K-1.3M-5.8K0.007.79N/AN/A00251100
2014-08-05$109.27$115.0015.1%4.8%11.0%37.2%0.0%3.9%0.6%89.6K-1.0M-5.8K0.008.65N/AN/A230251100
2014-08-06$109.94$115.0013.7%4.8%11.2%28.3%0.0%3.7%0.9%80.9K-1.1M-5.5K0.006.91N/AN/A06231100
2014-08-07$109.10$115.0015.7%4.9%11.3%40.6%18.2%3.5%0.9%66.4K-872.8K-5.5K6.007.52N/AN/A530231106
2014-08-08$110.24$106.0013.8%4.9%12.0%28.4%0.0%3.6%1.4%72.3K-978.1K-6.4K0.407.27N/AN/A208234136
2014-08-11$110.25$106.0014.8%4.8%12.0%34.8%0.0%3.3%1.4%80.9K-1.1M-6.5K0.007.54N/AN/A10244136
2014-08-12$110.41$106.0014.4%4.9%12.0%32.2%15.4%3.2%1.6%88.1K-1.1M-6.4K0.007.51N/AN/A90245136
2014-08-13$111.03$106.0011.2%4.5%12.0%12.1%0.0%3.1%1.6%126.9K-1.3M-6.2K0.008.06N/AN/A20251136
2014-08-14$111.15$106.0012.6%4.4%11.8%21.4%0.0%3.0%1.6%154.5K-1.3M-5.8K0.008.18N/AN/A010236133
2014-08-15$111.34$106.0012.2%4.4%11.4%18.4%0.0%2.8%1.8%106.3K-1.3M-5.9K0.0010.12N/AN/A80236143
2014-08-18$112.53$106.0010.6%4.2%12.0%8.8%14.0%3.7%0.8%38.0K-1.0M-5.4K0.009.61N/AN/A50173102
2014-08-19$112.93$106.0010.5%4.2%12.0%7.7%14.9%3.0%0.9%39.4K-1.1M-5.5K2.508.89N/AN/A25178102
2014-08-20$113.00$113.0011.0%4.1%12.0%11.2%0.0%2.8%0.6%38.5K-1.1M-5.7K0.008.84N/AN/A00180107
2014-08-21$112.88$113.0010.8%4.3%12.0%9.9%14.0%3.3%1.0%38.2K-1.1M-5.7K1.508.94N/AN/A23180107
2014-08-22$112.52$113.0010.8%4.3%12.1%9.8%0.0%2.9%1.3%38.2K-1.0M-5.7K2.509.18N/AN/A410182110
2014-08-25$112.91$113.0010.6%4.2%12.1%8.3%0.0%3.2%1.1%40.0K-1.1M-5.7K0.008.44N/AN/A00186120
2014-08-26$113.21$113.0010.3%4.2%11.8%6.8%0.0%2.8%1.3%39.3K-1.1M-5.4K0.007.93N/AN/A00186120
2014-08-27$113.20$113.0010.3%4.3%11.7%6.8%15.1%2.8%1.2%40.7K-1.1M-5.4K4.008.70N/AN/A14186120
2014-08-28$113.18$113.0010.6%4.3%8.5%8.3%16.3%2.6%1.3%38.5K-1.1M-5.4K2.007.84N/AN/A12187124
2014-08-29$113.52$113.0010.3%4.2%8.5%6.4%0.0%2.3%1.5%36.4K-1.2M-5.5K0.008.64N/AN/A00188125