VAW Options History — May 2015

In May 2015, VAW traded between $111.31 and $113.40. ATM implied volatility averaged 13.9%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.1% (HV 20d: 11.8%). Max pain ranged from $106.00 to $112.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.07.

Notable Days

2015-05-15: Highest Volume — 327 contracts
2015-05-12: Largest IV spike — 20.6% change
2015-05-12: Highest IV Rank — 40.0%
2015-05-06: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.47	$111.31	$113.40	$112.86	$111.71
Max Pain	$110.43	$106.00	$112.00	$106.00	$110.00
ATM IV	13.9%	11.8%	17.5%	13.3%	13.4%
Expected Move	4.0%	3.4%	4.6%	3.8%	3.8%
HV 20d	11.8%	9.9%	12.7%	10.1%	12.5%
HV 60d	12.0%	11.7%	12.5%	12.5%	12.2%
IV Rank	22.4%	12.3%	40.0%	19.4%	19.9%
IV Percentile	41.2%	16.7%	81.0%	35.3%	34.1%
Term Structure	0.3%	-0.4%	1.1%	1.1%	-0.2%
VWIV	14.5%	13.2%	15.3%	15.3%	14.7%
Skew 25d	3.6%	2.9%	4.2%	2.9%	3.6%
Skew 10d	5.8%	4.8%	6.8%	5.8%	6.1%
Call IV 25d	12.3%	10.6%	13.9%	12.1%	12.0%
Put IV 25d	15.8%	13.6%	17.9%	15.0%	15.6%
Bid-Ask Spread %	20.73	10.26	80.49	80.49	26.47
Gamma HHI	0.16	0.13	0.25	0.13	0.15
Net GEX	31.5K	-8.8K	75.5K	57.0K	-8.5K
Net DEX	-645.2K	-1.5M	51.7K	-1.1M	40.4K
Net VEX	-1.8K	-2.3K	-1.6K	-2.1K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	0.00	3.24	2.94	2.19
Total Volume	131.4	3	327	248	67
Total OI	217.8	73	374	343	96

Daily Data (20 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
2015-05-01	$112.86	$106.00	13.3%	3.8%	10.1%	19.4%	15.3%	2.9%	1.1%	57.0K	-1.1M	-2.1K	2.94	80.49	N/A	N/A	63	185	149	194
2015-05-04	$112.67	$0.00	13.1%	4.1%	9.9%	18.7%	0.0%	3.7%	0.3%	56.8K	-1.1M	-2.0K	0.00	12.46	N/A	N/A	0	3	145	83
2015-05-05	$111.31	$0.00	15.7%	4.4%	11.0%	31.3%	0.0%	4.0%	0.1%	63.3K	-861.5K	-2.3K	3.24	12.45	N/A	N/A	58	188	149	197
2015-05-06	$111.32	$0.00	16.6%	4.6%	11.0%	35.4%	0.0%	4.0%	-0.1%	61.8K	-847.8K	-2.2K	3.24	10.26	N/A	N/A	58	188	147	197
2015-05-07	$111.70	$0.00	15.4%	4.5%	11.0%	29.7%	0.0%	4.2%	-0.4%	70.7K	-910.9K	-2.1K	3.08	11.50	N/A	N/A	61	188	147	197
2015-05-08	$113.36	$0.00	12.5%	4.0%	12.0%	15.5%	0.0%	3.3%	0.6%	54.7K	-1.2M	-1.6K	0.00	19.48	N/A	N/A	25	0	139	86
2015-05-11	$112.98	$0.00	14.5%	4.1%	12.0%	25.6%	14.7%	3.4%	0.4%	61.1K	-1.4M	-1.7K	0.00	12.86	N/A	N/A	6	0	163	86
2015-05-12	$111.96	$112.00	17.5%	4.2%	12.6%	40.0%	14.6%	3.8%	0.5%	68.8K	-1.3M	-1.9K	2.21	12.57	N/A	N/A	85	188	175	197
2015-05-13	$111.92	$112.00	14.8%	4.3%	12.1%	27.0%	14.9%	3.8%	0.3%	75.5K	-1.3M	-1.8K	2.21	12.00	N/A	N/A	85	188	176	198
2015-05-14	$113.16	$112.00	13.9%	4.0%	12.6%	22.5%	14.3%	3.7%	0.8%	71.4K	-1.5M	-1.7K	2.16	13.54	N/A	N/A	87	188	176	198
2015-05-15	$113.40	$112.00	13.5%	3.9%	12.1%	20.6%	13.9%	3.6%	1.1%	6.0K	-1.5M	-1.6K	1.39	13.67	N/A	N/A	137	190	172	198
2015-05-18	$113.33	$112.00	13.7%	3.9%	12.0%	21.5%	15.3%	3.3%	0.5%	3.5K	-26.7K	-1.6K	0.00	18.91	N/A	N/A	0	3	30	43
2015-05-19	$112.75	$110.00	13.2%	3.8%	11.7%	19.1%	15.0%	3.6%	-0.2%	790	-1.5K	-1.6K	0.00	16.33	N/A	N/A	0	3	30	46
2015-05-20	$112.73	$110.00	12.4%	3.6%	11.7%	15.4%	13.7%	3.2%	0.5%	1.8K	-21.6K	-1.7K	1.90	25.29	N/A	N/A	20	38	35	49
2015-05-21	$113.18	$110.00	12.1%	3.5%	11.7%	13.5%	13.2%	3.1%	0.3%	3.4K	-43.2K	-1.7K	1.90	20.51	N/A	N/A	20	38	36	49
2015-05-22	$112.91	$110.00	11.8%	3.4%	11.7%	12.3%	13.6%	3.0%	0.4%	3.4K	-35.0K	-1.7K	2.09	22.86	N/A	N/A	22	46	36	49
2015-05-26	$111.46	$110.00	14.1%	4.0%	12.5%	23.3%	14.7%	3.9%	-0.2%	-8.8K	51.7K	-1.8K	2.30	26.88	N/A	N/A	20	46	38	59
2015-05-27	$112.29	$110.00	12.8%	3.7%	12.7%	17.4%	14.1%	3.4%	0.2%	-6.7K	18.4K	-1.8K	2.19	23.81	N/A	N/A	21	46	36	59
2015-05-28	$112.38	$110.00	13.5%	3.9%	12.7%	20.3%	14.8%	3.6%	-0.0%	-5.9K	12.4K	-1.8K	2.19	22.33	N/A	N/A	21	46	37	59
2015-05-29	$111.71	$110.00	13.4%	3.8%	12.5%	19.9%	14.7%	3.6%	-0.2%	-8.5K	40.4K	-1.8K	2.19	26.47	N/A	N/A	21	46	37	59