VAW Options History — July 2015

In July 2015, VAW traded between $98.65 and $107.81. ATM implied volatility averaged 17.4%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.4% (HV 20d: 15.0%). Max pain ranged from $104.00 to $109.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.90.

Notable Days

  • 2015-07-31: Highest Volume — 282 contracts
  • 2015-07-06: Largest IV spike — 47.9% change
  • 2015-07-06: Highest IV Rank — 73.5%
  • 2015-07-27: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.32$98.65$107.81$107.81$102.01
Max Pain$106.95$104.00$109.00$109.00$104.00
ATM IV17.4%13.7%24.5%16.9%15.4%
Expected Move4.7%3.9%6.0%4.8%4.4%
HV 20d15.0%11.6%18.3%12.3%18.3%
HV 60d12.6%11.2%14.1%11.2%14.0%
IV Rank36.5%17.3%73.5%36.7%25.9%
IV Percentile68.0%30.2%98.4%75.4%50.0%
Term Structure0.4%-1.2%3.9%-1.2%0.9%
VWIV16.3%14.1%25.8%15.3%14.5%
Skew 25d3.3%-2.4%4.5%3.6%3.4%
Skew 10d5.2%-8.8%7.2%6.3%5.9%
Call IV 25d15.3%12.3%26.9%15.5%13.9%
Put IV 25d18.5%15.6%24.5%19.0%17.4%
Bid-Ask Spread %62.6941.0096.3259.4379.84
Gamma HHI0.150.100.190.160.19
Net GEX-45.2K-112.5K-2.8K-36.0K-8.7K
Net DEX2.4M1.3M2.8M1.3M2.7M
Net VEX-4.0K-5.6K-2.9K-3.8K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.901.194.074.071.19
Total Volume228.364174282208282
Total OI408.591272479281479

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$107.81$109.0016.9%4.8%12.3%36.7%15.3%3.6%-1.2%-36.0K1.3M-3.8K4.0759.43N/AN/A4116787194
2015-07-02$107.70$109.0016.6%4.7%11.6%35.3%15.7%3.7%-1.0%-46.5K1.3M-3.8K4.0764.41N/AN/A4116778194
2015-07-06$106.70$109.0024.5%4.8%11.9%73.5%25.8%-2.4%3.9%-38.2K1.3M-3.7K3.2496.32N/AN/A4113378194
2015-07-07$106.46$109.0018.9%4.8%11.9%44.4%16.5%4.0%0.2%-76.7K2.3M-4.2K2.6141.00N/AN/A5915477278
2015-07-08$104.08$109.0022.2%5.2%13.9%60.7%18.0%4.4%-0.7%-63.3K2.5M-4.0K2.2549.50N/AN/A6113795304
2015-07-09$104.48$109.0022.5%5.2%13.3%62.1%17.7%4.5%-0.7%-65.0K2.5M-4.2K1.8842.30N/AN/A7313797307
2015-07-10$105.81$108.0019.2%4.6%14.4%45.1%16.3%4.0%0.1%-70.5K2.4M-4.7K1.7448.92N/AN/A80139109307
2015-07-13$107.03$108.0016.2%4.1%15.2%30.0%14.8%3.5%1.1%-92.7K2.3M-5.3K1.7445.07N/AN/A80139116313
2015-07-14$107.64$108.0014.9%3.9%15.3%23.5%14.5%3.3%1.5%-112.5K2.2M-5.6K1.6049.98N/AN/A80128116313
2015-07-15$106.50$108.0014.4%4.1%15.4%21.2%14.6%3.6%1.4%-81.2K2.4M-4.8K1.6849.61N/AN/A76128116314
2015-07-16$106.29$108.0013.7%3.9%15.2%17.3%14.1%3.3%1.9%-63.5K2.4M-4.7K1.6852.03N/AN/A76128119313
2015-07-17$105.34$108.0014.3%4.1%14.8%20.3%14.4%3.0%1.3%-49.0K2.5M-4.1K1.6855.26N/AN/A76128119313
2015-07-20$104.32$108.0015.5%4.4%15.0%26.5%15.7%3.5%0.1%-39.8K2.4M-3.9K1.7261.04N/AN/A7212492297
2015-07-21$103.78$108.0015.3%4.4%14.9%25.5%15.4%3.5%0.3%-37.7K2.5M-3.5K1.7566.74N/AN/A7613393297
2015-07-22$103.23$107.0015.5%4.5%14.9%26.8%15.1%3.4%0.1%-40.2K2.6M-3.5K1.2968.30N/AN/A10813997306
2015-07-23$101.94$104.0016.7%4.8%15.0%32.5%16.0%3.5%-0.2%-2.8K2.5M-3.6K1.2574.72N/AN/A117146142312
2015-07-24$99.91$104.0019.0%5.4%16.0%44.2%17.6%2.6%-0.6%-12.4K2.8M-3.0K1.2382.85N/AN/A117144132323
2015-07-27$98.65$104.0020.9%6.0%16.2%53.9%19.1%4.0%-1.0%-16.5K2.8M-2.9K1.3275.41N/AN/A117154132325
2015-07-28$100.87$104.0018.5%5.3%17.5%41.7%17.6%3.9%-0.4%-17.0K2.7M-3.7K1.3066.02N/AN/A117152132335
2015-07-29$102.09$104.0016.1%4.6%18.3%29.7%15.3%2.9%0.5%-14.5K2.7M-4.0K1.2372.44N/AN/A124153131337
2015-07-30$102.32$104.0015.6%4.5%18.3%26.9%14.8%3.0%0.6%-9.5K2.7M-3.8K1.2078.09N/AN/A127153138338
2015-07-31$102.01$104.0015.4%4.4%18.3%25.9%14.5%3.4%0.9%-8.7K2.7M-3.8K1.1979.84N/AN/A129153141338