VAW Options History — June 2015

In June 2015, VAW traded between $107.49 and $112.45. ATM implied volatility averaged 14.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.9% (HV 20d: 10.3%). Max pain ranged from $108.00 to $112.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.30.

Notable Days

  • 2015-06-17: Highest Volume — 211 contracts
  • 2015-06-29: Largest IV spike — 31.4% change
  • 2015-06-29: Highest IV Rank — 41.1%
  • 2015-06-29: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.91$107.49$112.45$111.62$107.70
Max Pain$109.82$108.00$112.00$110.00$109.00
ATM IV14.3%12.2%17.8%14.2%17.2%
Expected Move4.0%3.5%5.1%4.1%4.9%
HV 20d10.3%9.3%12.5%10.9%12.4%
HV 60d11.0%10.2%12.1%12.1%11.2%
IV Rank24.1%14.1%41.1%23.8%38.2%
IV Percentile42.9%17.5%82.9%44.0%78.6%
Term Structure0.2%-1.2%1.0%-0.8%-1.2%
VWIV14.3%13.1%16.2%15.6%15.5%
Skew 25d3.1%2.0%4.0%3.7%4.0%
Skew 10d4.3%2.3%6.7%6.7%6.4%
Call IV 25d12.6%11.2%16.0%12.9%15.6%
Put IV 25d15.7%14.0%19.6%16.6%19.6%
Bid-Ask Spread %42.5127.8075.9128.6762.33
Gamma HHI0.220.150.310.150.16
Net GEX-4.5K-34.2K21.8K-10.0K-34.2K
Net DEX449.6K4.1K1.3M48.5K1.3M
Net VEX-3.2K-5.0K-1.7K-1.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.300.006.562.194.17
Total Volume142.909121167207
Total OI186.1829527795277

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$111.62$110.0014.2%4.1%10.9%23.8%15.6%3.7%-0.8%-10.0K48.5K-1.7K2.1928.67N/AN/A21463659
2015-06-02$112.14$110.0014.2%4.1%11.1%24.0%0.0%3.3%-0.6%-8.4K24.9K-1.7K0.0027.80N/AN/A103659
2015-06-03$112.45$110.0014.2%4.1%10.2%24.1%15.4%2.9%-0.6%-5.8K4.1K-1.7K3.0932.57N/AN/A22683759
2015-06-04$110.98$112.0015.0%4.1%11.3%27.9%13.8%3.4%0.4%-21.6K263.1K-2.2K1.6228.02N/AN/A42683781
2015-06-05$110.78$112.0014.8%4.1%11.2%26.8%13.5%3.6%0.2%-2.9K179.0K-2.5K1.6234.95N/AN/A42685881
2015-06-08$110.35$112.0016.5%4.3%9.7%35.2%14.0%3.3%0.0%-5.7K206.4K-2.4K1.6240.64N/AN/A42685881
2015-06-09$110.45$112.0015.8%4.2%9.7%31.5%13.6%3.3%0.3%-6.5K204.0K-2.4K2.1937.36N/AN/A31685881
2015-06-10$111.59$112.0013.5%3.9%10.0%20.5%13.4%3.3%0.7%13.3K51.9K-2.5K2.1928.99N/AN/A31686881
2015-06-11$111.77$112.0013.2%3.8%10.1%18.9%13.1%3.3%0.7%16.2K37.6K-2.5K2.1931.27N/AN/A31686881
2015-06-12$111.16$112.0013.8%4.0%9.3%22.1%14.3%3.2%0.5%9.9K94.7K-2.5K2.5233.16N/AN/A31786881
2015-06-15$110.32$108.0015.2%4.4%9.5%28.7%15.3%2.7%-0.1%-9.4K200.2K-2.5K2.5237.82N/AN/A31786891
2015-06-16$110.94$108.0014.8%4.2%9.9%26.8%15.3%3.1%-0.0%-1.3K141.0K-2.5K2.1134.51N/AN/A37786891
2015-06-17$111.36$108.0014.2%4.1%9.9%23.9%14.6%3.1%0.2%14.8K54.5K-2.5K4.7038.42N/AN/A371747591
2015-06-18$112.31$108.0012.5%3.6%10.4%15.9%14.0%2.8%1.0%-5.4K705.1K-5.0K6.0040.31N/AN/A2917475187
2015-06-19$111.84$108.0012.3%3.5%10.4%14.7%14.0%2.8%0.9%21.8K745.0K-4.8K6.0043.72N/AN/A2917478187
2015-06-22$111.95$108.0012.2%3.5%10.4%14.1%14.1%2.8%1.0%-5.7K758.3K-4.7K6.5643.55N/AN/A2516474171
2015-06-23$111.83$109.0012.2%3.5%9.3%14.2%13.3%2.9%0.8%-6.7K783.1K-4.7K4.3250.07N/AN/A3816474174
2015-06-24$110.54$109.0012.8%3.7%9.7%17.3%13.3%2.6%0.5%-3.4K909.4K-4.6K4.3259.86N/AN/A3816485174
2015-06-25$110.39$109.0013.6%3.9%9.7%20.9%13.4%2.7%0.1%-6.7K959.3K-4.5K4.3462.65N/AN/A3816585177
2015-06-26$110.05$109.0013.5%3.9%9.6%20.6%13.6%2.4%0.4%-11.2K995.2K-4.3K4.3462.58N/AN/A3816585178
2015-06-29$107.49$109.0017.8%5.1%12.5%41.1%16.2%2.0%-0.9%-29.2K1.3M-3.6K4.0875.91N/AN/A4016385178
2015-06-30$107.70$109.0017.2%4.9%12.4%38.2%15.5%4.0%-1.2%-34.2K1.3M-3.7K4.1762.33N/AN/A4016787190