VAW Options History — December 2015

In December 2015, VAW traded between $92.32 and $100.05. ATM implied volatility averaged 20.7%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.2% (HV 20d: 19.5%). Max pain ranged from $92.00 to $104.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-12-16: Highest Volume — 227 contracts
  • 2015-12-07: Largest IV spike — 17.9% change
  • 2015-12-14: Highest IV Rank — 49.8%
  • 2015-12-14: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.76$92.32$100.05$100.05$94.48
Max Pain$99.73$92.00$104.00$99.00$92.00
ATM IV20.7%16.7%25.6%16.7%20.7%
Expected Move5.7%3.8%7.3%4.8%5.9%
HV 20d19.5%14.7%22.3%14.7%21.8%
HV 60d20.6%18.0%21.9%20.7%18.0%
IV Rank32.0%17.6%49.8%17.6%32.0%
IV Percentile76.3%46.4%92.1%46.4%77.8%
Term Structure-0.3%-2.1%1.7%-0.7%-0.3%
VWIV17.8%11.5%22.8%19.1%21.2%
Skew 25d5.3%3.2%8.4%4.3%5.4%
Skew 10d7.7%5.2%10.1%9.0%8.1%
Call IV 25d17.9%12.4%22.6%15.0%17.6%
Put IV 25d23.2%18.9%28.1%19.3%23.0%
Bid-Ask Spread %43.6921.9466.2956.3566.29
Gamma HHI0.150.090.250.130.13
Net GEX-2.0K-35.4K16.0K15.6K12.6K
Net DEX218.7K-82.2K684.3K-82.2K157.5K
Net VEX-1.8K-2.3K-1.4K-2.1K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.631.230.910.73
Total Volume155.86402270133
Total OI168.5114228151128

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$100.05$99.0016.7%4.8%14.7%17.6%0.0%4.3%-0.7%15.6K-82.2K-2.1K0.0056.35N/AN/A008566
2015-12-02$98.66$99.0018.5%5.3%15.3%24.3%19.1%4.8%-2.1%7.7K25.5K-2.1K0.9157.49N/AN/A80738570
2015-12-03$97.82$104.0019.7%4.0%15.5%28.5%13.0%8.4%1.7%3.9K67.8K-2.1K1.2322.23N/AN/A80988574
2015-12-04$99.30$104.0017.5%3.8%16.3%20.6%12.5%6.5%1.1%-7.6K6.7K-2.3K1.2022.24N/AN/A82988599
2015-12-07$97.51$104.0020.6%5.3%17.6%31.9%0.0%4.1%-0.2%-18.2K176.0K-2.1K0.0028.97N/AN/A008795
2015-12-08$95.84$104.0023.8%5.8%18.4%43.4%16.1%3.2%-0.0%-25.9K333.9K-2.0K1.2036.39N/AN/A82988799
2015-12-09$97.73$104.0020.0%5.7%19.6%29.7%16.2%4.6%-0.3%-18.5K158.3K-2.2K0.9521.94N/AN/A1061018799
2015-12-10$97.14$104.0020.7%5.9%19.7%32.1%17.0%4.4%-0.5%-204161.1K-2.2K0.8927.89N/AN/A114101111101
2015-12-11$94.88$104.0024.1%6.9%19.7%44.3%19.4%3.5%-1.4%-9.7K360.9K-2.1K0.8931.69N/AN/A114101117101
2015-12-14$93.44$104.0025.6%7.3%19.9%49.8%22.8%5.5%-2.0%-14.8K486.9K-1.8K0.9333.18N/AN/A114106117101
2015-12-15$94.09$104.0022.6%6.5%19.5%39.0%12.5%7.0%-0.4%-25.7K498.2K-1.8K0.9140.87N/AN/A116106117106
2015-12-16$95.29$104.0021.0%6.0%20.2%33.2%11.5%7.4%0.2%-35.4K406.6K-1.8K0.9647.86N/AN/A116111119106
2015-12-17$93.80$104.0021.5%6.2%19.3%35.2%13.5%5.9%-0.0%-30.8K592.5K-1.6K0.9649.69N/AN/A116111117111
2015-12-18$92.32$104.0023.3%6.7%19.8%41.4%15.0%5.6%0.0%9.7K684.3K-1.4K0.9654.86N/AN/A116111117111
2015-12-21$92.69$104.0021.8%6.3%20.0%36.2%21.0%6.3%0.2%10.3K172.0K-1.4K0.6556.41N/AN/A71466846
2015-12-22$94.29$92.0020.0%5.7%21.2%29.7%20.1%4.7%0.2%12.8K134.2K-1.5K0.6554.30N/AN/A71467046
2015-12-23$95.83$92.0018.2%5.2%21.8%23.0%19.8%4.8%0.6%13.9K78.5K-1.6K0.6546.83N/AN/A71467046
2015-12-24$95.73$92.0019.2%5.5%21.8%26.8%20.0%4.9%-0.4%13.9K80.3K-1.6K0.6545.24N/AN/A71467046
2015-12-28$94.98$92.0020.9%6.0%21.9%33.0%22.2%5.0%-0.9%13.7K105.0K-1.5K0.6345.63N/AN/A73467046
2015-12-29$95.84$92.0019.0%5.5%22.3%26.1%21.1%4.9%-0.6%16.0K67.8K-1.6K0.7753.21N/AN/A73567246
2015-12-30$95.09$92.0019.2%5.5%22.1%26.7%22.7%5.2%-0.0%12.8K139.8K-1.8K0.7761.51N/AN/A73567256
2015-12-31$94.48$92.0020.7%5.9%21.8%32.0%21.2%5.4%-0.3%12.6K157.5K-1.7K0.7366.29N/AN/A77567256