VAW Options History — August 2015

In August 2015, VAW traded between $91.24 and $103.00. ATM implied volatility averaged 21.1%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.7% (HV 20d: 20.3%). Max pain ranged from $100.00 to $104.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.71.

Notable Days

  • 2015-08-21: Highest Volume — 367 contracts
  • 2015-08-24: Largest IV spike — 34.5% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.07$91.24$103.00$101.23$96.55
Max Pain$102.43$100.00$104.00$104.00$103.00
ATM IV21.1%14.2%34.4%15.7%27.9%
Expected Move6.1%4.1%9.9%4.5%8.0%
HV 20d20.3%16.6%26.5%18.2%26.5%
HV 60d15.8%13.6%19.5%14.0%19.5%
IV Rank49.6%19.9%100.0%27.7%72.9%
IV Percentile76.5%31.3%100.0%55.2%98.0%
Term Structure-1.4%-8.7%1.3%0.6%-3.3%
VWIV21.8%9.2%41.2%9.2%25.2%
Skew 25d2.4%-17.8%8.5%3.2%7.3%
Skew 10d3.6%-17.6%14.0%6.2%14.0%
Call IV 25d21.8%13.4%48.9%14.4%25.0%
Put IV 25d24.2%16.4%44.9%17.6%32.3%
Bid-Ask Spread %69.1434.09132.5081.5060.27
Gamma HHI0.150.080.250.180.08
Net GEX-24.1K-68.4K10.5K-13.0K-37.2K
Net DEX3.0M2.7M3.4M2.7M3.4M
Net VEX-3.2K-4.0K-2.4K-3.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.082.881.192.88
Total Volume259.47603671268
Total OI500.143445575469478

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$101.23$104.0015.7%4.5%18.2%27.7%9.2%3.2%0.6%-13.0K2.7M-3.4K0.0081.50N/AN/A01134335
2015-08-04$101.57$104.0014.3%4.1%18.3%20.3%14.4%2.6%1.3%-8.6K2.7M-3.4K1.1986.54N/AN/A129153143338
2015-08-05$102.15$104.0014.5%4.1%16.9%21.3%14.5%3.0%1.0%-2.4K2.7M-3.6K1.1990.22N/AN/A129153143338
2015-08-06$101.96$103.0016.0%4.7%16.8%29.3%16.7%4.1%0.2%-4.6K2.7M-3.5K1.2635.89N/AN/A129163144338
2015-08-07$100.50$100.0017.7%5.2%16.6%37.7%17.1%3.7%-0.5%-26.1K2.9M-3.1K1.2938.86N/AN/A129166144348
2015-08-10$103.00$100.0014.2%4.4%18.6%19.9%15.8%3.6%0.4%10.5K2.7M-3.5K1.2834.09N/AN/A130166144351
2015-08-11$101.13$100.0018.1%5.1%19.2%39.9%0.0%4.1%-0.6%-21.7K2.8M-3.1K0.0841.36N/AN/A131135348
2015-08-12$101.27$100.0018.4%5.3%19.1%41.0%18.0%4.7%-1.2%-16.0K2.8M-3.4K1.1542.08N/AN/A138159155352
2015-08-13$100.99$100.0017.6%5.0%19.1%37.1%17.4%4.2%-0.7%-24.4K2.9M-2.9K1.4438.58N/AN/A138199155352
2015-08-14$101.60$103.0016.5%4.7%19.1%31.8%17.3%4.3%-0.3%-12.4K3.0M-3.4K1.4445.81N/AN/A138199155375
2015-08-17$102.28$103.0016.5%4.7%19.1%31.8%16.8%4.0%0.0%-2.2K3.0M-3.5K1.4053.33N/AN/A150210155375
2015-08-18$101.49$103.0017.2%4.9%19.2%35.1%18.3%4.2%-0.2%-39.2K3.2M-3.4K1.3558.58N/AN/A156210167389
2015-08-19$100.30$103.0018.2%5.2%19.5%40.1%0.0%4.0%-1.0%-68.4K3.3M-3.3K0.0056.53N/AN/A00170392
2015-08-20$98.62$103.0019.9%5.7%19.9%48.6%19.7%3.4%-1.5%-55.8K3.4M-3.0K1.3561.76N/AN/A156210180395
2015-08-21$96.20$103.0025.6%7.3%20.6%77.8%22.5%1.8%-3.6%-27.7K3.4M-2.8K1.3566.67N/AN/A156211180395
2015-08-24$92.95$103.0034.4%9.9%23.3%100.0%38.2%8.5%0.4%-29.7K2.9M-3.6K2.54120.27N/AN/A6817376369
2015-08-25$91.24$103.0026.9%7.7%21.9%68.9%41.2%-5.2%0.7%-21.2K3.0M-2.4K2.76121.04N/AN/A6818876369
2015-08-26$92.79$103.0033.4%9.6%22.5%95.8%31.4%-17.8%-8.2%-26.2K3.3M-2.6K2.76107.66N/AN/A6818876390
2015-08-27$96.02$103.0030.9%8.8%26.3%85.2%34.2%-2.0%-8.7%-40.2K3.2M-4.0K2.88132.50N/AN/A6919976390
2015-08-28$96.56$103.0029.2%8.4%26.5%78.2%25.8%5.6%-4.2%-39.5K3.3M-3.5K2.8878.39N/AN/A6919977401
2015-08-31$96.55$103.0027.9%8.0%26.5%72.9%25.2%7.3%-3.3%-37.2K3.4M-3.1K2.8860.27N/AN/A6919977401