VAW Options History — April 2015

In April 2015, VAW traded between $108.38 and $112.09. ATM implied volatility averaged 14.0%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 11.3%). Max pain ranged from $106.00 to $110.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.58.

Notable Days

  • 2015-04-15: Highest Volume — 279 contracts
  • 2015-04-02: Largest IV drop — 9.9% change
  • 2015-04-01: Highest IV Rank — 31.7%
  • 2015-04-02: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.34$108.38$112.09$108.38$110.98
Max Pain$106.19$106.00$110.00$110.00$106.00
ATM IV14.0%13.2%15.8%15.8%14.5%
Expected Move4.1%3.8%4.6%4.5%4.1%
HV 20d11.3%7.7%14.9%14.8%8.4%
HV 60d13.8%12.1%15.3%15.3%12.1%
IV Rank23.1%18.9%31.7%31.7%25.2%
IV Percentile42.8%32.1%62.7%62.7%50.4%
Term Structure1.1%0.3%1.8%1.0%0.6%
VWIV16.5%14.6%18.8%15.1%16.5%
Skew 25d3.7%3.1%4.8%4.3%3.5%
Skew 10d7.3%5.5%9.7%8.5%6.3%
Call IV 25d12.6%11.7%13.9%13.8%12.8%
Put IV 25d16.3%15.1%18.7%18.1%16.3%
Bid-Ask Spread %58.4935.6680.8571.0980.85
Gamma HHI0.160.130.220.190.14
Net GEX42.4K-24.1K63.8K16.5K62.7K
Net DEX-653.0K-950.0K-244.5K-244.5K-797.0K
Net VEX-3.0K-3.8K-2.5K-3.8K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.582.113.082.193.08
Total Volume247.6190279255257
Total OI336.19230363334343

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$108.38$110.0015.8%4.5%14.8%31.7%15.1%4.3%1.0%16.5K-244.5K-3.8K2.1971.09N/AN/A80175154180
2015-04-02$108.64$106.0014.2%4.6%14.9%24.1%18.8%4.8%1.3%19.7K-305.2K-3.7K2.1935.66N/AN/A80175155180
2015-04-06$109.46$106.0014.9%4.5%14.3%27.5%18.1%4.3%1.3%29.2K-455.9K-3.3K2.1138.28N/AN/A83175155180
2015-04-07$109.29$106.0014.2%4.4%14.3%24.1%17.7%4.3%1.6%31.1K-452.3K-3.3K2.2240.22N/AN/A79175159180
2015-04-08$109.59$106.0014.7%4.2%13.1%26.4%0.0%4.0%1.3%61.5K-608.4K-2.8K0.0043.12N/AN/A0016169
2015-04-09$110.08$106.0014.5%4.2%13.2%25.3%17.0%3.9%1.3%45.6K-619.9K-3.1K2.2245.15N/AN/A79175165180
2015-04-10$110.29$106.0014.3%4.1%12.5%24.3%16.7%3.8%1.6%49.8K-664.5K-3.0K2.2247.10N/AN/A79175165180
2015-04-13$109.88$106.0014.4%4.1%12.1%24.9%17.1%3.7%1.6%44.1K-604.2K-2.9K2.2249.08N/AN/A79175165180
2015-04-14$110.18$106.0013.9%4.0%12.1%22.6%16.6%3.6%1.5%31.1K-648.3K-2.7K2.2254.05N/AN/A79175153180
2015-04-15$111.26$106.0013.6%3.9%12.0%21.1%17.5%3.8%1.2%47.6K-811.9K-2.5K2.3256.20N/AN/A84195153180
2015-04-16$110.84$106.0013.2%3.8%10.8%19.0%15.6%3.6%1.8%35.7K-745.7K-3.2K2.3254.67N/AN/A84195163200
2015-04-17$109.98$106.0014.5%4.2%9.7%25.3%18.0%3.9%1.1%-24.1K-546.4K-3.4K2.3850.10N/AN/A82195163200
2015-04-20$110.71$106.0013.6%3.9%9.7%20.7%15.3%3.4%0.8%52.0K-711.8K-2.9K2.9258.87N/AN/A66193143189
2015-04-21$109.81$106.0014.1%4.0%10.2%23.3%16.0%3.4%0.9%50.3K-586.7K-3.1K2.9463.25N/AN/A66194146193
2015-04-22$110.13$106.0013.6%3.9%10.2%20.9%17.1%3.3%1.1%44.9K-588.4K-3.1K2.9467.87N/AN/A66194146194
2015-04-23$110.63$106.0013.2%3.8%9.2%18.9%14.6%3.1%1.1%55.1K-722.6K-2.8K2.9470.04N/AN/A66194146194
2015-04-24$111.16$106.0013.3%3.8%9.3%19.3%14.7%3.3%0.9%55.8K-804.4K-2.7K2.9472.60N/AN/A66194146194
2015-04-27$111.81$106.0013.6%3.9%9.4%20.9%15.7%3.4%0.3%55.4K-911.3K-2.5K3.0875.06N/AN/A63194146194
2015-04-28$112.09$106.0013.5%3.9%8.2%20.3%15.6%3.2%0.9%63.4K-950.0K-2.5K3.0876.60N/AN/A63194149194
2015-04-29$111.92$106.0013.3%3.8%7.7%19.7%15.5%3.2%0.8%63.8K-934.4K-2.5K3.0878.52N/AN/A63194149194
2015-04-30$110.98$106.0014.5%4.1%8.4%25.2%16.5%3.5%0.6%62.7K-797.0K-2.5K3.0880.85N/AN/A63194149194