VAW Options History — September 2014

In September 2014, VAW traded between $110.18 and $113.75. ATM implied volatility averaged 12.8%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 5.7% (HV 20d: 7.1%). Max pain ranged from $111.00 to $113.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.83.

Notable Days

  • 2014-09-29: Highest Volume — 34 contracts
  • 2014-09-25: Largest IV spike — 20.9% change
  • 2014-09-30: Highest IV Rank — 44.9%
  • 2014-09-30: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.48$110.18$113.75$113.16$110.18
Max Pain$111.67$111.00$113.00$113.00$112.00
ATM IV12.8%10.9%16.4%11.2%16.4%
Expected Move4.4%4.2%4.7%4.3%4.7%
HV 20d7.1%5.5%10.3%7.9%10.3%
HV 60d9.1%8.8%9.7%9.2%9.7%
IV Rank22.6%10.3%44.9%12.0%44.9%
IV Percentile39.3%9.9%86.5%11.9%86.5%
Term Structure0.8%-0.6%1.3%1.2%-0.6%
VWIV15.9%15.1%16.3%16.3%15.1%
Skew 25d3.5%2.7%4.2%2.7%4.2%
Skew 10d7.0%5.9%8.7%5.9%6.2%
Call IV 25d11.5%9.6%14.6%9.9%14.6%
Put IV 25d15.0%12.3%18.8%12.6%18.8%
Bid-Ask Spread %9.258.4211.408.4311.40
Gamma HHI0.220.190.270.220.19
Net GEX46.1K27.1K64.1K38.6K27.1K
Net DEX-1.1M-1.3M-599.4K-1.2M-599.4K
Net VEX-5.1K-5.5K-4.7K-5.3K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.004.004.003.00
Total Volume4.1903400
Total OI311.286284330313330

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$113.16$113.0011.2%4.3%7.9%12.0%0.0%2.7%1.2%38.6K-1.2M-5.3K0.008.43N/AN/A00188125
2014-09-03$113.48$113.0011.2%4.2%6.9%12.5%0.0%2.7%0.6%42.0K-1.2M-5.3K0.008.62N/AN/A00188125
2014-09-04$113.29$113.0011.6%4.3%6.8%14.6%16.3%2.7%1.0%38.9K-1.2M-5.3K4.008.99N/AN/A14188125
2014-09-05$113.75$112.0010.9%4.2%5.9%10.3%16.3%3.5%1.0%37.3K-1.2M-5.3K2.009.17N/AN/A12189127
2014-09-08$113.19$111.0012.3%4.3%5.5%19.1%0.0%3.6%0.8%37.8K-1.2M-5.3K0.009.04N/AN/A00190129
2014-09-09$112.23$111.0012.8%4.4%6.5%22.5%0.0%3.5%0.6%37.8K-1.0M-5.5K0.009.23N/AN/A02190129
2014-09-10$112.33$111.0012.7%4.4%6.5%21.8%0.0%3.9%1.2%39.3K-1.0M-5.4K0.009.45N/AN/A00190131
2014-09-11$112.46$111.0013.3%4.4%6.3%25.3%0.0%3.7%0.8%37.8K-1.0M-5.4K0.009.70N/AN/A00190131
2014-09-12$111.72$111.0013.2%4.4%6.8%25.1%0.0%3.7%0.8%38.7K-943.2K-5.5K0.0010.18N/AN/A00190131
2014-09-15$111.79$111.0013.5%4.4%6.8%26.6%0.0%3.6%0.8%38.8K-957.6K-5.3K0.0010.15N/AN/A00190131
2014-09-16$112.40$111.0013.2%4.4%5.9%25.2%0.0%3.4%0.8%44.2K-1.1M-5.2K0.008.75N/AN/A90190131
2014-09-17$112.93$111.0012.2%4.2%6.0%18.3%0.0%3.1%1.3%60.9K-1.2M-5.0K0.009.81N/AN/A50194131
2014-09-18$113.52$111.0011.5%4.2%6.3%14.1%0.0%3.2%1.2%61.5K-1.3M-4.8K0.008.52N/AN/A00197130
2014-09-19$113.18$111.0011.7%4.2%6.4%15.2%16.0%3.1%1.1%64.1K-1.2M-4.8K2.008.42N/AN/A48193130
2014-09-22$112.71$112.0012.7%4.3%6.4%22.0%15.1%3.0%0.7%55.2K-1.1M-4.7K3.008.48N/AN/A2618797
2014-09-23$112.08$112.0013.2%4.4%6.6%25.1%0.0%3.9%1.0%56.0K-1.0M-4.8K0.008.95N/AN/A0018799
2014-09-24$112.93$112.0012.4%4.3%7.1%20.0%0.0%3.6%1.0%53.7K-1.2M-4.7K0.008.48N/AN/A0018799
2014-09-25$111.21$112.0015.0%4.6%8.9%36.4%0.0%4.2%0.2%57.9K-905.9K-4.9K0.009.31N/AN/A01018799
2014-09-26$112.06$112.0013.8%4.5%9.4%28.5%0.0%3.8%0.6%50.2K-1.0M-4.8K0.009.49N/AN/A00187109
2014-09-29$111.55$112.0014.7%4.5%9.4%34.6%0.0%4.2%0.3%50.8K-935.9K-4.8K0.009.60N/AN/A034187109
2014-09-30$110.18$112.0016.4%4.7%10.3%44.9%0.0%4.2%-0.6%27.1K-599.4K-5.3K0.0011.40N/AN/A00187143