VAW Options History — January 2015

In January 2015, VAW traded between $103.55 and $107.58. ATM implied volatility averaged 19.8%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.7% (HV 20d: 19.1%). Max pain ranged from $104.00 to $108.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.85.

Notable Days

  • 2015-01-14: Highest Volume — 441 contracts
  • 2015-01-05: Largest IV spike — 21.2% change
  • 2015-01-15: Highest IV Rank — 66.4%
  • 2015-01-15: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.32$103.55$107.58$107.58$104.45
Max Pain$105.45$104.00$108.00$108.00$104.00
ATM IV19.8%16.6%23.0%16.7%22.0%
Expected Move5.7%4.8%6.6%5.1%6.3%
HV 20d19.1%17.0%22.1%18.3%19.3%
HV 60d18.0%17.3%19.5%18.9%17.3%
IV Rank50.8%35.5%66.4%35.7%61.3%
IV Percentile90.9%77.8%97.6%83.3%96.0%
Term Structure0.0%-1.2%1.0%1.0%-0.7%
VWIV20.7%18.2%23.8%18.9%23.2%
Skew 25d5.8%3.9%7.4%3.9%7.0%
Skew 10d11.8%8.3%14.6%8.3%13.9%
Call IV 25d17.2%14.4%19.9%15.3%18.4%
Put IV 25d23.0%19.1%27.3%19.1%25.4%
Bid-Ask Spread %47.2532.8660.5934.3657.04
Gamma HHI0.140.090.180.130.14
Net GEX15.4K-27.9K60.8K4.7K-5.6K
Net DEX-149.9K-735.5K437.9K-66.1K76.6K
Net VEX-5.7K-7.6K-3.5K-5.9K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.002.932.802.09
Total Volume230.32441300411
Total OI448.1274579378561

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$107.58$108.0016.7%5.1%18.3%35.7%18.9%3.9%1.0%4.7K-66.1K-5.9K2.8034.36N/AN/A79221165213
2015-01-05$104.70$108.0020.2%5.6%20.4%52.8%20.2%6.7%0.4%7.4K-25.5K-3.5K1.0835.95N/AN/A2527167107
2015-01-06$103.76$107.0021.5%6.0%20.5%58.9%21.4%6.0%-0.2%3.4K47.0K-3.9K2.0040.58N/AN/A510188134
2015-01-07$104.49$107.0020.6%5.8%20.3%54.6%18.2%5.4%0.2%9.8K-59.4K-3.9K0.0037.34N/AN/A200189130
2015-01-08$106.88$107.0016.9%5.2%22.1%37.1%19.4%5.1%0.9%4.2K-102.6K-6.4K2.6837.35N/AN/A85228199241
2015-01-09$106.43$107.0017.7%5.4%20.7%40.6%19.5%5.0%0.6%982-40.0K-6.4K2.6932.86N/AN/A85229201241
2015-01-12$106.15$107.0020.9%5.6%20.7%56.1%20.5%5.9%0.2%-5.5K28.0K-6.2K2.6933.84N/AN/A85229202242
2015-01-13$104.89$107.0022.5%6.0%18.9%63.8%22.3%6.1%-0.5%-11.7K218.4K-6.2K2.9341.58N/AN/A85249202242
2015-01-14$103.92$107.0022.6%6.5%19.1%64.4%23.5%6.9%-1.0%-27.9K437.9K-6.4K1.9848.01N/AN/A148293202263
2015-01-15$103.55$104.0023.0%6.6%19.1%66.4%23.8%7.4%-1.2%-5.7K246.5K-7.6K1.9845.90N/AN/A148293274305
2015-01-16$105.17$104.0021.5%6.2%17.4%59.3%21.8%6.9%-0.9%57.8K-422.7K-5.1K2.0047.84N/AN/A510270194
2015-01-20$105.13$104.0020.9%6.0%17.4%56.5%19.8%6.8%-0.4%39.5K-473.9K-4.9K0.2546.90N/AN/A123229167
2015-01-21$106.05$104.0019.3%5.5%17.0%48.3%0.0%6.2%0.1%51.5K-671.3K-4.9K1.5054.24N/AN/A23239170
2015-01-22$107.38$104.0016.6%4.8%17.6%35.5%19.3%4.8%0.8%37.9K-708.0K-6.6K2.0857.70N/AN/A129268242278
2015-01-23$105.63$104.0016.7%4.8%18.2%36.1%18.7%5.0%0.6%27.5K-317.1K-7.0K2.0460.59N/AN/A129263248288
2015-01-26$106.27$104.0017.4%5.0%18.4%39.5%18.3%5.1%0.3%60.8K-735.5K-4.6K0.0057.92N/AN/A20244187
2015-01-27$105.48$104.0018.9%5.4%18.4%46.7%0.0%5.5%0.3%54.7K-576.0K-4.6K2.0054.76N/AN/A12244187
2015-01-28$103.76$104.0020.8%6.0%19.1%56.0%22.0%5.7%-0.9%4.3K150.2K-6.7K2.0959.93N/AN/A133278248298
2015-01-29$104.70$104.0018.9%5.4%19.5%46.7%20.8%5.7%0.8%-1.1K-4.8K-6.7K2.0960.38N/AN/A133278240321
2015-01-30$104.45$104.0022.0%6.3%19.3%61.3%23.2%7.0%-0.7%-5.6K76.6K-6.8K2.0957.04N/AN/A133278240321