VAW Options History — November 2014

In November 2014, VAW traded between $106.59 and $112.67. ATM implied volatility averaged 15.5%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.4% (HV 20d: 16.9%). Max pain ranged from $107.00 to $112.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.77.

Notable Days

2014-11-18: Highest Volume — 412 contracts
2014-11-13: Largest IV spike — 22.6% change
2014-11-28: Highest IV Rank — 42.4%
2014-11-04: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$110.05	$106.59	$112.67	$107.62	$109.56
Max Pain	$109.16	$107.00	$112.00	$110.00	$107.00
ATM IV	15.5%	12.9%	18.0%	16.8%	18.0%
Expected Move	4.4%	4.0%	5.2%	4.9%	4.5%
HV 20d	16.9%	10.7%	24.5%	24.5%	14.3%
HV 60d	16.5%	16.2%	17.4%	16.2%	17.4%
IV Rank	30.4%	17.6%	42.4%	36.6%	42.4%
IV Percentile	72.8%	41.7%	91.7%	86.5%	91.7%
Term Structure	-0.1%	-1.4%	2.1%	1.8%	-1.4%
VWIV	16.6%	13.0%	18.4%	17.9%	14.9%
Skew 25d	3.7%	2.8%	5.6%	4.0%	3.7%
Skew 10d	7.5%	4.1%	11.3%	10.6%	5.7%
Call IV 25d	14.2%	12.4%	16.6%	15.8%	15.6%
Put IV 25d	18.0%	16.0%	20.7%	19.8%	19.3%
Bid-Ask Spread %	18.75	15.30	21.78	16.28	20.60
Gamma HHI	0.22	0.10	0.35	0.33	0.13
Net GEX	52.6K	-75.8K	118.1K	101.3K	-75.8K
Net DEX	-1.4M	-2.8M	-115.3K	-895.8K	-115.3K
Net VEX	-6.0K	-7.5K	-4.6K	-7.5K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.77	0.00	3.13	1.70	3.13
Total Volume	269.368	0	412	359	33
Total OI	552.947	317	643	575	344

Daily Data (19 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
2014-11-03	$107.62	$110.00	16.8%	4.9%	24.5%	36.6%	17.9%	4.0%	1.8%	101.3K	-895.8K	-7.5K	1.70	16.28	N/A	N/A	133	226	328	247
2014-11-04	$106.59	$110.00	17.9%	5.2%	23.9%	41.6%	18.4%	4.1%	1.5%	93.6K	-569.4K	-7.4K	1.67	15.30	N/A	N/A	135	226	328	247
2014-11-05	$107.58	$110.00	16.2%	4.9%	23.6%	33.4%	18.0%	4.0%	2.0%	118.1K	-909.8K	-7.3K	1.85	15.70	N/A	N/A	135	250	330	247
2014-11-06	$108.50	$110.00	15.9%	4.9%	21.4%	31.9%	17.8%	3.3%	2.1%	98.1K	-1.2M	-7.3K	1.85	15.82	N/A	N/A	135	250	330	271
2014-11-07	$109.08	$110.00	14.1%	4.7%	20.1%	23.6%	17.6%	4.0%	-0.7%	99.8K	-1.4M	-7.1K	1.85	17.03	N/A	N/A	135	250	330	271
2014-11-10	$109.26	$110.00	14.3%	4.4%	17.3%	24.6%	16.6%	3.8%	-0.8%	110.0K	-1.6M	-6.4K	2.04	19.30	N/A	N/A	135	275	330	271
2014-11-11	$109.74	$112.00	12.9%	4.3%	17.0%	17.6%	16.7%	3.5%	-0.6%	111.7K	-1.6M	-6.3K	2.04	19.00	N/A	N/A	135	275	328	271
2014-11-12	$109.99	$110.00	13.1%	4.3%	17.0%	18.4%	16.7%	3.4%	-0.4%	64.7K	-1.7M	-6.3K	1.82	19.30	N/A	N/A	140	255	330	296
2014-11-13	$109.85	$110.00	16.0%	4.3%	16.9%	32.6%	16.9%	3.6%	-0.9%	78.7K	-1.6M	-6.5K	1.88	18.77	N/A	N/A	136	255	335	298
2014-11-14	$110.08	$109.00	15.8%	4.3%	16.6%	31.6%	0.0%	5.6%	-0.7%	98.3K	-1.9M	-6.0K	0.00	19.27	N/A	N/A	0	0	336	277
2014-11-17	$110.07	$110.00	16.0%	4.3%	16.0%	32.6%	16.8%	3.3%	-0.4%	51.8K	-2.0M	-5.5K	1.88	19.71	N/A	N/A	136	255	336	298
2014-11-18	$111.22	$110.00	15.4%	4.2%	14.8%	29.8%	16.2%	2.9%	-0.5%	33.3K	-2.3M	-5.0K	1.62	19.66	N/A	N/A	157	255	336	298
2014-11-19	$110.80	$109.00	15.9%	4.3%	14.5%	32.2%	0.0%	3.1%	-0.2%	11.3K	-2.4M	-5.2K	0.00	19.06	N/A	N/A	0	0	356	287
2014-11-20	$111.46	$109.00	15.6%	4.3%	14.6%	30.7%	16.2%	5.1%	-0.7%	29.5K	-2.5M	-5.2K	1.51	18.52	N/A	N/A	126	190	355	283
2014-11-21	$112.67	$107.00	15.0%	4.0%	14.8%	27.9%	16.1%	3.1%	-0.1%	58.9K	-2.8M	-4.7K	1.54	19.72	N/A	N/A	123	190	356	283
2014-11-24	$112.38	$107.00	15.2%	4.2%	12.3%	28.8%	0.0%	3.5%	-1.2%	-4.3K	-508.6K	-5.1K	2.00	20.47	N/A	N/A	1	2	149	168
2014-11-25	$112.22	$107.00	15.7%	4.2%	11.7%	31.0%	16.4%	2.8%	-1.3%	-31.6K	-650.3K	-4.6K	1.64	21.02	N/A	N/A	61	100	150	170
2014-11-26	$112.21	$107.00	15.4%	4.1%	10.7%	29.8%	13.0%	3.6%	-0.4%	-47.9K	-602.7K	-4.7K	0.00	21.78	N/A	N/A	8	0	150	186
2014-11-28	$109.56	$107.00	18.0%	4.5%	14.3%	42.4%	14.9%	3.7%	-1.4%	-75.8K	-115.3K	-5.3K	3.13	20.60	N/A	N/A	8	25	158	186