VAW Options History — October 2015

In October 2015, VAW traded between $87.48 and $98.69. ATM implied volatility averaged 19.7%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 5.5% (HV 20d: 25.2%). Max pain ranged from $85.00 to $117.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.64.

Notable Days

  • 2015-10-13: Highest Volume — 340 contracts
  • 2015-10-14: Largest IV drop — 17.4% change
  • 2015-10-01: Highest IV Rank — 53.7%
  • 2015-10-01: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.59$87.48$98.69$87.48$98.69
Max Pain$113.50$85.00$117.00$85.00$117.00
ATM IV19.7%17.4%26.7%26.7%17.4%
Expected Move5.6%5.0%7.6%7.6%5.0%
HV 20d25.2%18.1%28.6%24.1%18.1%
HV 60d25.2%23.6%25.5%23.6%25.4%
IV Rank28.6%20.2%53.7%53.7%20.2%
IV Percentile74.2%58.3%92.9%92.9%58.3%
Term Structure-0.1%-1.8%1.5%-1.8%0.3%
VWIV19.0%16.3%26.6%26.6%17.5%
Skew 25d4.3%3.5%6.8%6.8%3.6%
Skew 10d8.6%6.7%13.3%11.5%6.9%
Call IV 25d17.6%15.7%23.3%23.3%16.2%
Put IV 25d21.9%19.5%30.1%30.1%19.8%
Bid-Ask Spread %73.8260.7188.5581.3988.55
Gamma HHI0.150.090.290.110.09
Net GEX11.9K-18.0K77.4K3.3K-16.1K
Net DEX2.0M657.5K2.3M2.2M2.1M
Net VEX-1.9K-2.4K-1.0K-1.0K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.002.021.931.99
Total Volume296.40914340281311
Total OI402.227208455378409

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$87.48$85.0026.7%7.6%24.1%53.7%26.6%6.8%-1.8%3.3K2.2M-1.0K1.9381.39N/AN/A96185104274
2015-10-02$90.16$85.0022.3%6.4%26.7%38.1%22.0%3.7%0.1%7752.2M-1.3K1.9375.25N/AN/A96185105274
2015-10-05$92.77$104.0020.4%5.9%28.4%31.1%19.6%5.9%-0.5%-6.4K657.5K-1.4K0.0065.00N/AN/A140102106
2015-10-06$93.76$117.0021.1%5.8%27.7%33.6%16.3%5.7%0.2%8.0K2.1M-1.7K1.4163.10N/AN/A131185119274
2015-10-07$94.97$117.0020.7%5.7%27.9%32.3%19.4%5.0%0.5%30.5K2.0M-1.9K1.6563.93N/AN/A113187140274
2015-10-08$96.61$117.0020.0%5.6%28.6%29.7%16.9%4.5%-0.4%26.3K1.8M-2.2K1.3560.71N/AN/A139187146274
2015-10-09$96.58$117.0019.5%5.6%28.6%27.7%17.2%4.2%-0.3%61.4K1.7M-2.4K1.3561.78N/AN/A139187172274
2015-10-12$95.73$117.0021.4%5.5%28.4%34.6%18.3%4.1%0.4%72.5K1.9M-2.0K1.3568.06N/AN/A139188172274
2015-10-13$95.42$117.0023.1%5.7%28.3%40.7%20.0%4.7%0.2%76.4K1.9M-1.8K1.3967.44N/AN/A142198172275
2015-10-14$96.07$117.0019.0%5.5%28.0%26.1%18.5%4.4%0.1%77.4K1.8M-2.0K1.3969.67N/AN/A142198170285
2015-10-15$96.52$117.0017.9%5.1%27.9%22.2%18.4%3.6%1.1%66.5K1.8M-2.0K1.3969.29N/AN/A142198170285
2015-10-16$96.37$117.0018.0%5.2%27.0%22.5%18.0%3.5%1.5%-18.0K1.8M-1.8K1.4573.91N/AN/A137198170285
2015-10-19$95.61$117.0018.0%5.2%27.2%22.5%20.0%3.9%-0.4%-16.7K2.3M-1.6K1.9673.71N/AN/A10019695283
2015-10-20$95.88$117.0018.1%5.2%25.5%22.8%18.6%3.7%-0.0%-12.7K2.2M-1.9K1.9677.29N/AN/A100196109283
2015-10-21$94.78$117.0018.6%5.3%22.9%24.6%19.6%4.0%-0.4%-10.9K2.3M-1.7K1.9676.06N/AN/A100196109283
2015-10-22$97.21$117.0017.8%5.1%24.1%21.8%17.5%3.8%0.1%-15.2K2.2M-2.0K1.9677.67N/AN/A100196109284
2015-10-23$98.08$117.0017.8%5.1%24.0%21.5%16.9%3.9%-0.7%-15.9K2.2M-2.1K1.9280.15N/AN/A102196109284
2015-10-26$97.34$117.0018.9%5.4%20.1%25.7%19.8%4.0%-0.7%-11.7K2.2M-2.0K1.9283.66N/AN/A102196115284
2015-10-27$96.53$117.0019.3%5.5%20.7%27.2%20.7%4.0%-0.7%-10.9K2.2M-1.9K1.9279.55N/AN/A102196115284
2015-10-28$98.11$117.0019.1%5.5%20.3%26.3%18.9%4.0%-0.6%-13.0K2.2M-2.1K1.9281.75N/AN/A102196115284
2015-10-29$98.28$117.0018.4%5.3%20.3%23.9%18.0%4.0%-0.0%-13.4K2.2M-2.1K2.0286.10N/AN/A102206115284
2015-10-30$98.69$117.0017.4%5.0%18.1%20.2%17.5%3.6%0.3%-16.1K2.1M-2.1K1.9988.55N/AN/A104207115294