VAW Options History — March 2015

In March 2015, VAW traded between $107.51 and $113.44. ATM implied volatility averaged 15.9%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.2% (HV 20d: 12.6%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.05.

Notable Days

  • 2015-03-31: Highest Volume — 254 contracts
  • 2015-03-18: Largest IV drop — 16.6% change
  • 2015-03-10: Highest IV Rank — 49.8%
  • 2015-03-17: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.58$107.51$113.44$113.44$108.56
Max Pain$111.09$110.00$115.00$115.00$110.00
ATM IV15.9%13.8%19.6%13.8%14.6%
Expected Move4.5%4.0%5.2%4.0%4.2%
HV 20d12.6%10.6%14.8%13.1%14.8%
HV 60d16.6%15.6%17.7%17.7%16.3%
IV Rank31.9%22.1%49.8%22.1%26.0%
IV Percentile64.5%46.4%90.1%46.8%48.8%
Term Structure0.6%-0.1%1.1%0.5%0.6%
VWIV15.2%12.0%18.0%13.3%16.1%
Skew 25d4.1%1.5%5.2%3.8%1.5%
Skew 10d6.2%2.0%9.0%7.6%2.0%
Call IV 25d13.8%11.9%15.5%11.9%14.6%
Put IV 25d17.9%15.8%20.5%15.8%16.1%
Bid-Ask Spread %52.9919.13108.1364.97108.13
Gamma HHI0.160.130.200.150.17
Net GEX6.6K-43.9K39.2K-42.1K13.7K
Net DEX-188.0K-414.1K34.5K-414.1K-269.0K
Net VEX-3.3K-4.3K-2.7K-4.0K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.003.833.832.22
Total Volume93.50254251254
Total OI265.909192342328329

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$113.44$115.0013.8%4.0%13.1%22.1%13.3%3.8%0.5%-42.1K-414.1K-4.0K3.8364.97N/AN/A52199120208
2015-03-03$112.69$115.0014.1%4.0%13.5%23.2%13.9%3.6%0.8%-39.2K-312.7K-4.0K3.6766.04N/AN/A52191120210
2015-03-04$112.38$115.0015.0%4.3%11.8%27.6%14.5%3.9%0.2%-43.9K-250.3K-4.0K3.6766.87N/AN/A52191120211
2015-03-05$111.92$111.0014.8%4.3%11.7%26.5%16.1%4.4%0.8%-42.8K-180.7K-4.1K3.0019.13N/AN/A62186120211
2015-03-06$110.31$111.0016.8%4.8%10.6%36.3%16.4%4.0%0.1%-22.1K1.5K-4.3K3.0229.47N/AN/A62187131211
2015-03-09$110.48$111.0017.4%4.6%10.6%39.4%0.0%3.6%0.9%-226-187.4K-3.0K0.0035.32N/AN/A00129101
2015-03-10$108.72$111.0019.6%5.0%12.1%49.8%0.0%2.8%0.7%4.0K-27.6K-3.0K0.0042.62N/AN/A017129101
2015-03-11$108.85$111.0017.2%4.9%11.9%38.1%14.6%5.1%0.5%6.7K34.5K-3.2K0.0035.39N/AN/A110129111
2015-03-12$110.16$111.0016.1%4.6%12.6%33.1%0.0%4.7%0.7%12.3K-134.3K-3.2K0.0031.41N/AN/A00140111
2015-03-13$109.12$111.0016.8%4.8%11.2%36.2%0.0%5.0%0.4%17.2K-14.4K-3.2K0.0038.86N/AN/A012140111
2015-03-16$109.09$111.0017.3%4.9%10.6%38.6%0.0%5.2%0.6%21.5K-129.5K-3.1K0.0042.42N/AN/A0014099
2015-03-17$108.10$111.0018.1%5.2%10.9%42.7%18.0%5.0%0.0%19.8K-17.9K-3.0K0.6745.47N/AN/A6414099
2015-03-18$109.82$110.0015.1%4.3%12.5%28.1%17.6%3.9%1.1%37.9K-258.0K-3.0K0.0046.89N/AN/A03143100
2015-03-19$108.19$110.0016.1%4.6%13.3%33.1%0.0%4.2%0.6%24.0K-37.7K-2.9K0.0058.58N/AN/A00143103
2015-03-20$108.98$110.0014.7%4.2%13.5%26.4%0.0%3.8%0.9%4.5K-142.2K-2.8K0.0054.67N/AN/A00143103
2015-03-23$109.02$110.0014.5%4.2%13.6%25.3%13.0%4.0%0.9%35.8K-398.7K-2.7K0.0057.59N/AN/A4012864
2015-03-24$108.71$110.0014.3%4.1%13.4%24.4%12.0%4.0%0.9%38.4K-380.4K-2.8K0.0063.07N/AN/A4013264
2015-03-25$107.51$110.0015.5%4.5%13.8%30.3%0.0%4.5%0.4%36.3K-251.3K-2.7K2.0064.60N/AN/A2413664
2015-03-26$107.63$110.0016.1%4.6%13.8%33.1%16.5%4.6%0.1%2.8K-71.3K-3.8K2.2968.09N/AN/A76174138179
2015-03-27$107.76$110.0016.4%4.7%13.9%34.6%0.0%4.5%-0.1%39.2K-312.4K-3.0K0.0064.27N/AN/A0014468
2015-03-30$109.31$110.0014.8%4.2%14.8%26.7%15.7%4.3%0.9%20.7K-381.8K-3.7K2.2761.83N/AN/A77175148179
2015-03-31$108.56$110.0014.6%4.2%14.8%26.0%16.1%1.5%0.6%13.7K-269.0K-3.7K2.22108.13N/AN/A79175149180