VAW Options History — September 2015

In September 2015, VAW traded between $85.44 and $95.78. ATM implied volatility averaged 26.9%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.9% (HV 20d: 27.8%). Max pain ranged from $85.00 to $103.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.78.

Notable Days

  • 2015-09-10: Highest Volume — 291 contracts
  • 2015-09-21: Largest IV drop — 41.3% change
  • 2015-09-08: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.31$85.44$95.78$93.31$87.40
Max Pain$91.90$85.00$103.00$103.00$85.00
ATM IV26.9%18.2%39.5%33.8%27.2%
Expected Move7.5%5.2%9.7%9.7%7.8%
HV 20d27.8%23.5%29.5%28.7%24.7%
HV 60d21.8%20.5%23.9%20.5%23.9%
IV Rank57.7%23.4%100.0%97.1%55.6%
IV Percentile93.1%73.8%100.0%99.6%93.7%
Term Structure-2.2%-10.2%6.0%-4.9%-2.5%
VWIV30.8%19.5%43.1%28.2%27.2%
Skew 25d7.3%-4.0%18.0%8.4%6.6%
Skew 10d11.1%-4.4%38.3%10.8%10.6%
Call IV 25d26.8%17.6%41.8%29.8%23.9%
Put IV 25d34.1%21.0%49.6%38.2%30.4%
Bid-Ask Spread %91.7523.34144.3264.7472.22
Gamma HHI0.100.070.160.080.14
Net GEX-21.1K-46.4K-1.2K-27.4K-1.2K
Net DEX3.1M2.2M3.5M3.4M2.3M
Net VEX-2.0K-4.5K-602-2.5K-997
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.781.953.103.101.95
Total Volume251.5710291287280
Total OI450.714366483478371

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$93.31$103.0033.8%9.7%28.7%97.1%28.2%8.4%-4.9%-27.4K3.4M-2.5K3.1064.74N/AN/A7021777401
2015-09-02$94.44$103.0028.5%8.2%29.0%74.8%27.6%6.9%-2.0%-30.6K3.4M-2.7K3.1063.83N/AN/A7021778401
2015-09-03$95.29$86.0026.4%7.1%29.4%65.9%33.1%8.0%-1.3%-31.8K3.5M-2.6K3.1023.34N/AN/A7021778401
2015-09-04$93.75$86.0027.9%7.8%29.5%72.4%40.0%11.1%-5.0%-27.5K3.4M-2.6K3.1087.33N/AN/A7021778401
2015-09-08$95.62$86.0039.5%6.6%28.9%100.0%0.0%13.4%-1.2%-31.4K3.3M-3.0K0.00132.84N/AN/A0081401
2015-09-09$94.82$86.0030.0%8.6%28.5%66.2%43.1%16.3%-1.2%-46.4K3.1M-4.5K2.97115.43N/AN/A7321781401
2015-09-10$94.82$86.0031.9%9.1%28.4%72.8%31.1%12.0%-1.2%-29.0K3.4M-2.7K2.99110.87N/AN/A7321881401
2015-09-11$94.62$93.0020.5%5.9%28.5%32.3%35.3%18.0%6.0%-23.4K3.5M-2.3K2.99112.04N/AN/A7321881402
2015-09-14$93.55$93.0025.1%7.2%28.4%48.6%30.1%0.8%-3.3%-17.6K3.5M-1.7K2.9993.24N/AN/A7321881402
2015-09-15$94.47$93.0023.6%6.8%28.5%43.3%0.0%-4.0%-4.8%-33.6K3.3M-3.0K0.00144.32N/AN/A0081402
2015-09-16$95.78$93.0026.6%7.6%29.2%54.1%42.7%6.4%-10.2%-29.6K3.4M-2.4K2.99136.88N/AN/A7321881402
2015-09-17$95.33$93.0023.7%6.8%29.0%43.6%42.5%5.9%-4.0%-35.8K3.3M-2.9K2.99140.63N/AN/A7321881402
2015-09-18$93.52$93.0031.0%8.9%29.2%69.6%41.0%7.9%-4.6%-20.2K3.5M-1.5K2.99129.85N/AN/A7321881402
2015-09-21$93.74$93.0018.2%5.2%28.0%23.4%19.5%3.3%0.6%-18.2K3.5M-1.1K2.9270.48N/AN/A6318467386
2015-09-22$91.50$93.0020.6%5.9%26.6%31.8%19.6%3.6%0.8%-11.4K3.4M-7322.9275.90N/AN/A6318472386
2015-09-23$88.72$93.0023.3%6.7%28.0%41.4%21.7%4.6%-0.6%-8.7K3.3M-6022.9471.47N/AN/A6318572386
2015-09-24$88.55$93.0024.0%6.9%27.2%44.1%22.9%4.3%-0.8%-8.7K2.5M-6582.2371.75N/AN/A8318572296
2015-09-25$88.28$93.0024.4%7.0%23.5%45.4%20.8%5.8%-0.9%-4.6K2.3M-1.1K2.2365.09N/AN/A8318592274
2015-09-28$85.44$93.0029.8%8.6%25.2%65.2%29.4%6.3%-2.0%-2.7K2.2M-9032.2370.53N/AN/A8318592274
2015-09-29$85.58$93.0029.3%8.4%25.3%63.3%29.4%7.2%-2.6%-2.9K2.3M-8802.1074.02N/AN/A8818592274
2015-09-30$87.40$85.0027.2%7.8%24.7%55.6%27.2%6.6%-2.5%-1.2K2.3M-9971.9572.22N/AN/A9518597274