VAW Options History — October 2014

In October 2014, VAW traded between $99.93 and $108.38. ATM implied volatility averaged 19.1%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.4% (HV 20d: 19.5%). Max pain ranged from $109.00 to $112.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.58.

Notable Days

  • 2014-10-31: Highest Volume — 365 contracts
  • 2014-10-10: Largest IV spike — 24.1% change
  • 2014-10-13: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.43$99.93$108.38$107.61$108.38
Max Pain$111.22$109.00$112.00$112.00$110.00
ATM IV19.1%15.8%30.0%17.6%16.0%
Expected Move5.2%4.7%6.0%4.9%4.8%
HV 20d19.5%12.7%24.4%12.8%24.4%
HV 60d13.9%10.7%16.3%10.8%16.3%
IV Rank52.2%31.7%100.0%52.4%32.5%
IV Percentile90.6%81.0%100.0%91.3%81.0%
Term Structure0.2%-4.9%2.4%-0.4%2.2%
VWIV17.7%14.5%24.3%14.5%17.7%
Skew 25d4.2%2.2%6.6%2.8%4.0%
Skew 10d7.8%3.0%11.6%3.2%11.3%
Call IV 25d16.4%14.2%21.3%16.2%14.6%
Put IV 25d20.6%17.7%26.3%19.0%18.5%
Bid-Ask Spread %21.7112.6944.3913.9017.69
Gamma HHI0.260.210.330.210.31
Net GEX47.5K-29.8K119.9K21.4K110.8K
Net DEX-86.1K-1.2M1.3M-127.6K-1.2M
Net VEX-6.1K-7.4K-4.0K-5.3K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.005.600.001.63
Total Volume160.69603656365
Total OI440.913330550330550

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$107.61$112.0017.6%4.9%12.8%52.4%0.0%2.8%-0.4%21.4K-127.6K-5.3K0.0013.90N/AN/A60187143
2014-10-02$107.38$112.0017.1%4.9%12.8%49.3%0.0%2.2%-0.1%24.9K-91.9K-5.2K1.4014.46N/AN/A3042190143
2014-10-03$107.63$112.0016.0%4.7%12.7%42.3%0.0%3.6%0.0%19.1K-116.6K-6.1K0.0012.69N/AN/A00198163
2014-10-06$107.53$112.0016.2%4.8%12.7%43.6%0.0%4.1%0.7%14.3K-88.5K-5.9K0.0014.41N/AN/A02198163
2014-10-07$105.61$112.0017.9%5.0%13.7%54.8%14.5%4.5%0.3%21.8K299.5K-5.5K1.5018.19N/AN/A23198162
2014-10-08$107.07$112.0016.4%4.8%14.9%45.2%16.6%4.1%0.2%16.6K34.9K-5.7K2.0515.12N/AN/A64131196165
2014-10-09$104.19$112.0020.1%5.3%17.2%68.2%0.0%3.6%-0.4%16.7K610.1K-5.1K5.6023.75N/AN/A528197171
2014-10-10$102.41$112.0024.9%5.7%17.9%98.7%15.1%3.2%-1.0%13.5K873.6K-4.9K3.8329.55N/AN/A623202179
2014-10-13$99.93$112.0030.0%6.0%19.1%100.0%0.0%2.2%-2.5%-17.4K1.3M-4.0K0.0044.39N/AN/A01208202
2014-10-14$101.24$112.0027.7%5.9%19.9%88.9%18.1%5.0%-1.8%-19.5K1.1M-4.5K2.4731.97N/AN/A72178208203
2014-10-15$101.38$112.0023.9%6.0%19.7%70.6%18.5%5.9%-1.3%-29.8K1.1M-4.4K1.1332.78N/AN/A151170208203
2014-10-16$102.44$109.0023.3%6.0%20.1%67.9%24.3%6.6%-2.1%17.4K270.1K-6.3K0.0031.44N/AN/A043284185
2014-10-17$103.70$109.0019.8%4.9%21.1%51.1%0.0%5.7%-4.9%46.1K143.3K-6.8K0.0026.34N/AN/A130284228
2014-10-20$105.22$112.0017.8%5.1%22.1%41.3%17.5%5.1%1.7%62.6K-256.9K-7.2K1.2422.70N/AN/A150186288201
2014-10-21$107.44$112.0016.3%4.9%23.7%34.0%17.5%4.5%1.7%87.4K-853.4K-7.4K1.1917.55N/AN/A150179295201
2014-10-22$106.55$112.0017.0%5.0%23.5%37.2%17.7%3.6%2.3%79.1K-680.0K-7.3K1.1516.97N/AN/A156180295201
2014-10-23$106.89$112.0017.1%4.9%23.1%38.0%17.7%4.0%1.2%91.2K-780.6K-7.3K1.1519.48N/AN/A156180303201
2014-10-24$107.70$112.0015.8%4.7%23.1%31.7%17.3%3.7%2.1%96.9K-990.8K-7.2K1.1519.19N/AN/A156180303201
2014-10-27$105.52$109.0018.4%5.2%24.0%44.4%0.0%4.8%1.5%97.0K-544.0K-6.7K0.0019.72N/AN/A20306180
2014-10-28$106.97$109.0016.8%5.0%24.4%36.3%0.0%4.5%2.0%119.9K-910.5K-6.8K0.0016.45N/AN/A02308180
2014-10-29$105.81$110.0016.9%5.0%23.3%37.0%17.8%4.5%1.9%98.2K-449.8K-6.8K1.4320.14N/AN/A141202308203
2014-10-30$106.34$110.0016.8%5.1%23.4%36.2%17.8%4.3%2.4%103.6K-621.8K-7.3K1.4520.36N/AN/A139202326223
2014-10-31$108.38$110.0016.0%4.8%24.4%32.5%17.7%4.0%2.2%110.8K-1.2M-7.3K1.6317.69N/AN/A139226327223