VAW Options History — February 2015

In February 2015, VAW traded between $105.36 and $113.90. ATM implied volatility averaged 15.9%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.1% (HV 20d: 17.0%). Max pain ranged from $104.00 to $115.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.40.

Notable Days

2015-02-18: Highest Volume — 456 contracts
2015-02-03: Largest IV drop — 19.0% change
2015-02-02: Highest IV Rank — 49.5%
2015-02-02: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$111.15	$105.36	$113.90	$105.36	$112.76
Max Pain	$106.58	$104.00	$115.00	$104.00	$115.00
ATM IV	15.9%	13.4%	19.5%	19.5%	13.6%
Expected Move	4.6%	3.8%	5.6%	5.6%	3.9%
HV 20d	17.0%	13.1%	19.7%	19.6%	13.2%
HV 60d	18.2%	17.2%	18.7%	17.2%	17.6%
IV Rank	32.0%	19.8%	49.5%	49.5%	21.0%
IV Percentile	65.2%	37.3%	89.7%	89.7%	42.9%
Term Structure	1.0%	-0.2%	2.1%	0.4%	0.6%
VWIV	18.0%	13.3%	21.1%	20.7%	13.3%
Skew 25d	4.7%	3.4%	5.5%	5.5%	3.9%
Skew 10d	9.7%	6.9%	13.4%	13.4%	6.9%
Call IV 25d	14.3%	11.5%	16.9%	16.9%	12.0%
Put IV 25d	19.0%	15.5%	22.4%	22.4%	15.9%
Bid-Ask Spread %	39.13	13.06	78.53	64.91	62.49
Gamma HHI	0.14	0.12	0.17	0.17	0.15
Net GEX	21.9K	-37.7K	52.6K	36.6K	-37.7K
Net DEX	-1.1M	-2.1M	-333.0K	-466.6K	-333.0K
Net VEX	-4.4K	-5.9K	-2.5K	-4.2K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.40	0.00	4.00	2.01	3.85
Total Volume	314.789	0	456	0	252
Total OI	506.421	270	631	443	326

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
2015-02-02	$105.36	$104.00	19.5%	5.6%	19.6%	49.5%	0.0%	5.5%	0.4%	36.6K	-466.6K	-4.2K	0.00	64.91	N/A	N/A	0	0	233	210
2015-02-03	$107.64	$104.00	15.8%	4.5%	18.6%	31.6%	20.7%	4.4%	1.5%	29.2K	-761.9K	-5.7K	2.01	70.03	N/A	N/A	138	278	240	321
2015-02-04	$107.08	$104.00	17.6%	5.0%	18.3%	40.2%	20.3%	4.4%	0.7%	33.6K	-691.2K	-5.9K	1.92	78.53	N/A	N/A	145	278	250	321
2015-02-05	$109.48	$105.00	16.7%	5.1%	19.7%	35.8%	19.5%	4.8%	0.5%	51.9K	-1.2M	-5.4K	1.92	14.58	N/A	N/A	145	278	257	321
2015-02-06	$109.24	$105.00	17.5%	5.2%	18.2%	40.0%	20.2%	5.5%	0.4%	52.6K	-1.2M	-5.3K	1.88	13.06	N/A	N/A	145	272	257	321
2015-02-09	$109.23	$105.00	18.2%	5.3%	18.1%	43.2%	20.4%	5.5%	-0.2%	34.6K	-1.2M	-5.2K	1.89	15.13	N/A	N/A	145	274	257	345
2015-02-10	$109.96	$105.00	16.5%	5.0%	18.1%	35.0%	20.2%	4.6%	1.0%	37.2K	-1.3M	-5.0K	1.89	16.95	N/A	N/A	145	274	256	347
2015-02-11	$109.78	$105.00	18.1%	5.2%	17.4%	42.9%	21.1%	5.4%	0.4%	43.2K	-1.3M	-4.9K	2.08	16.76	N/A	N/A	145	302	256	347
2015-02-12	$111.76	$105.00	15.8%	4.5%	17.7%	31.8%	20.1%	5.4%	2.1%	36.0K	-1.6M	-4.9K	2.10	21.62	N/A	N/A	145	304	256	375
2015-02-13	$112.77	$105.00	15.2%	4.4%	17.6%	28.7%	19.9%	4.4%	1.5%	29.6K	-1.8M	-4.3K	2.09	25.12	N/A	N/A	146	305	256	372
2015-02-17	$112.69	$105.00	15.8%	4.5%	17.1%	31.5%	20.9%	4.6%	1.4%	30.1K	-1.8M	-4.1K	2.10	30.11	N/A	N/A	146	306	257	373
2015-02-18	$112.98	$105.00	15.4%	4.4%	17.1%	29.5%	18.9%	5.2%	2.0%	17.2K	-1.9M	-3.9K	2.04	37.87	N/A	N/A	150	306	257	374
2015-02-19	$113.25	$105.00	15.7%	4.5%	17.0%	31.0%	0.0%	5.2%	1.0%	38.1K	-2.0M	-2.6K	0.00	28.66	N/A	N/A	0	0	256	263
2015-02-20	$113.74	$105.00	14.2%	4.1%	16.6%	24.0%	13.5%	4.7%	1.5%	34.8K	-2.1M	-2.5K	0.00	38.80	N/A	N/A	2	0	256	263
2015-02-23	$113.48	$105.00	14.9%	4.3%	15.2%	27.4%	16.1%	4.7%	0.4%	8.1K	-588.2K	-3.6K	3.22	46.97	N/A	N/A	50	161	106	164
2015-02-24	$113.90	$108.00	13.5%	3.9%	15.1%	20.5%	13.7%	4.0%	0.8%	12.0K	-647.8K	-3.7K	3.94	49.73	N/A	N/A	50	197	116	169
2015-02-25	$113.62	$115.00	13.4%	3.8%	14.8%	19.8%	13.6%	3.4%	1.0%	-37.4K	-402.1K	-4.1K	3.94	58.90	N/A	N/A	50	197	116	205
2015-02-26	$113.10	$115.00	14.2%	4.1%	13.1%	23.8%	14.2%	3.7%	1.4%	-33.8K	-347.1K	-4.1K	4.00	53.34	N/A	N/A	50	200	118	205
2015-02-27	$112.76	$115.00	13.6%	3.9%	13.2%	21.0%	13.3%	3.9%	0.6%	-37.7K	-333.0K	-4.1K	3.85	62.49	N/A	N/A	52	200	118	208