VAW Options History — December 2014

In December 2014, VAW traded between $103.51 and $111.05. ATM implied volatility averaged 18.5%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.9% (HV 20d: 17.6%). Max pain ranged from $108.00 to $108.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 4.66.

Notable Days

  • 2014-12-17: Highest Volume — 340 contracts
  • 2014-12-10: Largest IV spike — 23.6% change
  • 2014-12-10: Highest IV Rank — 79.6%
  • 2014-12-16: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.92$103.51$111.05$108.52$107.39
Max Pain$108.00$108.00$108.00$108.00$108.00
ATM IV18.5%14.1%25.8%19.3%16.7%
Expected Move5.1%4.4%6.3%4.6%5.0%
HV 20d17.6%13.0%21.2%13.2%19.4%
HV 60d18.8%17.4%19.9%17.4%19.2%
IV Rank44.6%23.6%79.6%48.7%35.8%
IV Percentile87.4%57.1%99.2%94.0%83.7%
Term Structure0.2%-2.5%2.8%-2.5%0.7%
VWIV19.0%16.9%22.7%17.2%18.6%
Skew 25d3.6%0.9%5.1%3.0%5.1%
Skew 10d6.4%2.1%9.4%4.9%9.2%
Call IV 25d16.1%13.2%21.0%17.3%14.0%
Put IV 25d19.6%17.1%24.9%20.3%19.1%
Bid-Ask Spread %29.4222.2341.0623.8432.97
Gamma HHI0.130.100.210.140.11
Net GEX-79.0K-218.3K43.7K-96.7K31.6K
Net DEX272.9K-467.1K1.8M124.7K-332.0K
Net VEX-6.0K-7.3K-3.8K-5.1K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.660.0030.252.400.00
Total Volume239.59103401772
Total OI410.182269523341269

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$108.52$108.0019.3%4.6%13.2%48.7%17.2%3.0%-2.5%-96.7K124.7K-5.1K2.4023.84N/AN/A52125150191
2014-12-02$109.05$108.0018.4%4.5%13.0%44.0%16.9%3.0%-2.0%-105.8K-21.6K-5.0K2.4024.47N/AN/A52125150191
2014-12-03$110.97$108.0017.8%4.4%13.7%41.1%17.0%3.0%-2.3%-63.3K-426.4K-4.6K2.4022.23N/AN/A52125150191
2014-12-04$111.05$108.0017.8%4.5%13.4%41.3%0.0%2.8%-1.5%-56.4K-334.1K-4.8K30.2524.45N/AN/A4121150191
2014-12-05$110.94$108.0017.7%4.4%13.2%41.0%16.9%4.5%0.4%-85.2K-190.8K-6.8K4.0325.38N/AN/A61246150312
2014-12-08$109.36$108.0020.9%4.8%14.2%56.3%17.8%3.7%-0.1%-129.3K177.6K-7.2K4.0326.62N/AN/A61246157312
2014-12-09$109.84$108.0020.8%4.7%14.2%55.9%18.0%4.0%-0.2%-118.9K45.2K-6.9K4.3925.29N/AN/A56246157312
2014-12-10$107.39$108.0025.8%5.4%16.3%79.6%19.2%2.4%-0.5%-149.8K727.6K-7.3K4.3625.29N/AN/A56244157312
2014-12-11$107.30$108.0020.1%5.5%16.2%52.2%19.8%2.3%-1.0%-159.0K750.8K-7.3K4.3625.34N/AN/A56244164313
2014-12-12$104.56$108.0021.5%6.1%18.4%59.3%22.0%0.9%-0.3%-124.8K1.4M-6.9K4.5924.30N/AN/A56257164313
2014-12-15$104.01$108.0021.6%6.2%18.4%59.8%22.0%4.5%0.3%-140.5K1.7M-6.8K4.1626.73N/AN/A62258164340
2014-12-16$103.51$108.0022.0%6.3%18.4%61.5%22.7%3.9%-0.0%-129.7K1.8M-6.7K3.5530.59N/AN/A73259170341
2014-12-17$106.29$108.0018.2%5.5%20.7%43.3%21.1%3.2%0.9%-156.4K933.2K-6.8K3.7237.63N/AN/A72268180343
2014-12-18$106.18$108.0018.5%5.5%20.7%44.6%19.9%4.6%0.5%-218.3K861.2K-6.8K3.7237.31N/AN/A72268180339
2014-12-19$107.61$108.0016.4%5.1%21.2%34.7%0.0%3.6%1.6%-111.8K18.3K-4.3K4.0037.96N/AN/A416180229
2014-12-22$107.50$108.0017.0%5.1%20.7%37.3%18.8%3.9%0.8%4.9K-63.5K-6.4K3.2730.46N/AN/A66216152201
2014-12-23$108.46$108.0015.6%4.9%21.1%30.6%18.3%4.3%1.1%1.4K-136.8K-6.4K3.3233.58N/AN/A65216153213
2014-12-24$108.26$108.0015.1%4.9%21.1%28.4%18.4%4.2%1.8%1.1K-124.6K-6.3K3.3237.35N/AN/A65216154213
2014-12-26$108.80$108.0014.1%4.8%21.2%23.6%18.2%3.4%2.8%4.8K-181.7K-6.2K2.7741.06N/AN/A78216154213
2014-12-29$108.76$108.0015.5%4.8%19.5%30.0%18.6%4.1%1.5%19.3K-221.1K-6.2K2.7726.38N/AN/A78216167213
2014-12-30$108.50$108.0016.1%5.0%19.2%33.0%0.0%4.1%1.6%43.7K-467.1K-3.9K0.0028.07N/AN/A00167102
2014-12-31$107.39$108.0016.7%5.0%19.4%35.8%0.0%5.1%0.7%31.6K-332.0K-3.8K0.0032.97N/AN/A20167102