VAW Options History — November 2015

In November 2015, VAW traded between $95.11 and $99.72. ATM implied volatility averaged 18.5%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.4% (HV 20d: 16.1%). Max pain ranged from $91.00 to $117.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.32.

Notable Days

  • 2015-11-17: Highest Volume — 336 contracts
  • 2015-11-12: Largest IV spike — 12.6% change
  • 2015-11-12: Highest IV Rank — 33.4%
  • 2015-11-12: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.25$95.11$99.72$99.47$99.39
Max Pain$94.58$91.00$117.00$117.00$99.00
ATM IV18.5%16.2%21.1%17.6%18.0%
Expected Move5.3%4.6%6.0%5.0%5.2%
HV 20d16.1%14.6%18.9%15.8%14.6%
HV 60d23.7%20.7%25.3%25.3%20.7%
IV Rank24.3%16.0%33.4%21.0%22.5%
IV Percentile65.6%43.3%82.9%60.7%60.7%
Term Structure-0.4%-2.0%1.0%-0.3%-2.0%
VWIV19.4%16.2%22.1%16.2%17.9%
Skew 25d4.3%2.8%5.4%2.8%4.6%
Skew 10d8.0%5.5%9.6%6.9%9.0%
Call IV 25d16.5%14.8%18.7%16.2%15.8%
Put IV 25d20.8%18.9%24.0%19.0%20.4%
Bid-Ask Spread %45.8528.1397.7994.1757.59
Gamma HHI0.110.090.160.090.12
Net GEX-3.9K-17.5K19.4K-17.5K13.0K
Net DEX1.3M-96.0K2.3M2.1M-47.9K
Net VEX-2.0K-2.2K-1.8K-2.1K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.001.991.990.86
Total Volume205.21103363110
Total OI321.158117438412151

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$99.47$117.0017.6%5.0%15.8%21.0%16.2%2.8%-0.3%-17.5K2.1M-2.1K1.9994.17N/AN/A104207117295
2015-11-04$98.97$117.0017.5%5.0%15.8%20.7%17.1%3.4%0.0%-16.5K2.1M-2.0K1.9997.79N/AN/A104207118295
2015-11-05$98.37$91.0018.5%5.1%15.7%24.1%19.5%4.1%0.0%-16.5K2.2M-1.9K1.9928.13N/AN/A104207118295
2015-11-06$98.62$91.0017.7%4.9%14.6%21.4%0.0%4.0%-0.3%-15.0K506.8K-1.8K0.0030.84N/AN/A100116123
2015-11-09$97.80$91.0019.7%5.3%15.0%28.4%0.0%4.2%-1.1%-11.8K514.5K-1.9K0.0036.05N/AN/A00126123
2015-11-10$97.11$91.0019.4%5.4%14.8%27.5%20.3%4.4%-0.7%-12.6K2.2M-1.9K1.7737.69N/AN/A117207128295
2015-11-11$97.37$91.0018.7%5.4%14.8%24.9%20.1%4.3%-0.9%-10.9K2.2M-2.0K1.7740.83N/AN/A117207131295
2015-11-12$95.11$91.0021.1%6.0%16.9%33.4%21.5%4.8%-0.6%-10.6K2.3M-1.8K1.7740.39N/AN/A117207131295
2015-11-13$96.21$91.0021.0%6.0%17.4%33.3%22.1%5.4%-0.6%-12.6K2.2M-1.9K1.6340.26N/AN/A127207131295
2015-11-16$97.39$91.0020.5%5.9%17.9%31.5%20.7%4.7%-1.1%-10.6K525.9K-2.0K0.0033.14N/AN/A40135123
2015-11-17$97.20$91.0020.0%5.7%17.7%29.7%21.5%4.8%-0.0%-8.0K2.1M-2.1K1.6035.62N/AN/A129207143295
2015-11-18$99.11$91.0018.4%5.3%18.9%23.8%20.6%4.3%1.0%-11.2K2.1M-2.1K1.6034.02N/AN/A129207143295
2015-11-19$98.98$91.0018.2%5.2%18.3%23.0%20.3%4.5%0.3%-10.2K2.0M-2.1K1.6033.73N/AN/A129207143295
2015-11-20$98.67$91.0017.8%5.1%16.1%21.7%20.0%4.8%0.5%13.6K2.1M-2.0K1.6039.16N/AN/A129207143295
2015-11-23$98.77$91.0017.4%5.0%15.8%20.2%0.0%4.5%-0.5%16.3K-62.7K-1.9K0.0048.82N/AN/A007146
2015-11-24$99.72$91.0016.2%4.6%15.9%16.0%16.3%4.1%0.5%18.1K-96.0K-1.9K0.0041.53N/AN/A407146
2015-11-25$99.27$91.0017.0%4.9%15.6%18.9%17.4%4.2%-1.3%19.4K-76.7K-2.0K0.8647.80N/AN/A80697550
2015-11-27$99.27$99.0017.3%5.0%14.6%19.9%17.9%4.0%-0.5%10.6K-19.0K-2.2K0.8653.68N/AN/A80698570
2015-11-30$99.39$99.0018.0%5.2%14.6%22.5%0.0%4.6%-2.0%13.0K-47.9K-2.1K0.0057.59N/AN/A008566