VAW Options History — January 2016

In January 2016, VAW traded between $81.05 and $92.62. ATM implied volatility averaged 29.0%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.4% (HV 20d: 22.7%). Max pain ranged from $100.00 to $106.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.40.

Notable Days

2016-01-26: Highest Volume — 601 contracts
2016-01-06: Largest IV spike — 18.9% change
2016-01-11: Highest IV Rank — 77.7%
2016-01-20: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.07	$81.05	$92.62	$92.52	$84.75
Max Pain	$102.21	$100.00	$106.00	$106.00	$100.00
ATM IV	29.0%	23.3%	33.3%	25.1%	24.1%
Expected Move	7.8%	6.0%	9.3%	6.3%	6.9%
HV 20d	22.7%	21.1%	27.4%	22.7%	27.4%
HV 60d	19.9%	18.2%	22.1%	18.4%	22.1%
IV Rank	62.3%	41.5%	77.7%	48.1%	44.3%
IV Percentile	93.6%	83.3%	98.4%	91.7%	83.3%
Term Structure	-0.9%	-2.3%	2.4%	-0.3%	0.2%
VWIV	27.9%	19.4%	40.1%	20.5%	24.3%
Skew 25d	6.2%	4.9%	7.9%	6.8%	4.9%
Skew 10d	7.7%	-19.3%	13.3%	12.7%	9.9%
Call IV 25d	24.0%	18.2%	28.4%	19.4%	22.2%
Put IV 25d	30.2%	24.8%	34.1%	26.3%	27.2%
Bid-Ask Spread %	79.20	60.56	96.84	60.56	86.43
Gamma HHI	0.24	0.13	0.41	0.13	0.39
Net GEX	36.1K	6.6K	103.8K	14.3K	103.8K
Net DEX	-266.9K	-1.5M	243.8K	206.4K	-1.5M
Net VEX	-4.9K	-12.8K	-1.2K	-1.6K	-12.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.11	0.76	0.74	0.20
Total Volume	292.842	6	601	132	6
Total OI	298.526	125	624	132	618

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$92.52	$106.00	25.1%	6.3%	22.7%	48.1%	20.5%	6.8%	-0.3%	14.3K	206.4K	-1.6K	0.74	60.56	N/A	N/A	76	56	76	56
2016-01-05	$92.62	$106.00	23.3%	6.0%	21.7%	41.5%	19.4%	6.6%	0.2%	16.0K	212.6K	-1.5K	0.76	62.14	N/A	N/A	76	58	77	56
2016-01-06	$90.35	$104.00	27.7%	6.9%	22.4%	57.5%	21.6%	7.2%	-1.2%	10.7K	193.4K	-1.4K	0.76	64.69	N/A	N/A	76	58	77	48
2016-01-07	$87.98	$104.00	32.5%	7.4%	23.4%	74.7%	24.5%	6.9%	-1.7%	6.6K	243.8K	-1.2K	0.49	70.91	N/A	N/A	118	58	77	48
2016-01-08	$86.83	$104.00	31.9%	7.6%	21.8%	72.8%	23.1%	6.7%	-2.2%	14.6K	76.9K	-2.2K	0.50	72.20	N/A	N/A	116	58	120	44
2016-01-11	$85.72	$103.00	33.3%	7.6%	22.0%	77.7%	24.8%	6.0%	-1.7%	12.6K	100.5K	-1.9K	0.50	74.50	N/A	N/A	116	58	120	42
2016-01-12	$85.82	$103.00	31.6%	7.3%	21.1%	71.5%	28.6%	6.1%	-1.1%	12.3K	107.6K	-1.9K	0.50	76.77	N/A	N/A	116	58	120	42
2016-01-13	$83.83	$103.00	27.7%	7.9%	21.8%	57.3%	27.6%	4.9%	-1.9%	9.8K	140.6K	-1.7K	0.50	82.61	N/A	N/A	116	58	120	42
2016-01-14	$85.09	$103.00	27.2%	7.8%	22.6%	55.6%	32.3%	5.9%	-2.0%	10.5K	117.9K	-1.9K	0.48	79.93	N/A	N/A	121	58	120	42
2016-01-15	$83.23	$103.00	29.4%	8.4%	22.4%	63.7%	34.1%	5.0%	-2.3%	9.9K	135.1K	-1.7K	0.48	82.38	N/A	N/A	121	58	125	42
2016-01-19	$82.35	$103.00	30.3%	8.7%	22.2%	66.8%	33.3%	4.9%	-1.6%	9.2K	159.3K	-1.6K	0.51	85.66	N/A	N/A	113	58	110	42
2016-01-20	$81.86	$100.00	32.5%	9.3%	21.9%	74.9%	40.1%	4.9%	2.4%	9.8K	134.9K	-1.7K	0.51	96.84	N/A	N/A	113	58	112	42
2016-01-21	$82.33	$100.00	30.7%	8.8%	22.0%	68.2%	35.4%	7.2%	-1.8%	10.2K	142.1K	-1.6K	0.11	84.63	N/A	N/A	535	58	112	42
2016-01-22	$83.72	$100.00	27.1%	7.8%	21.9%	55.1%	24.9%	7.9%	-0.1%	90.4K	-1.3M	-12.8K	0.11	76.09	N/A	N/A	535	58	574	42
2016-01-25	$81.05	$100.00	30.7%	8.8%	22.2%	68.3%	28.7%	6.5%	-0.6%	81.1K	-980.8K	-11.2K	0.11	86.42	N/A	N/A	537	60	574	42
2016-01-26	$82.41	$100.00	30.2%	8.7%	23.8%	66.6%	30.8%	6.9%	-1.3%	87.3K	-1.1M	-12.0K	0.11	84.05	N/A	N/A	541	60	576	44
2016-01-27	$81.81	$100.00	28.5%	8.2%	23.8%	60.2%	29.1%	6.5%	-0.7%	87.3K	-1.1M	-11.4K	0.11	90.18	N/A	N/A	541	60	580	44
2016-01-28	$82.04	$100.00	28.0%	8.0%	23.3%	58.6%	27.9%	6.6%	0.1%	89.4K	-1.1M	-11.3K	0.11	87.80	N/A	N/A	541	60	580	44
2016-01-29	$84.75	$100.00	24.1%	6.9%	27.4%	44.3%	24.3%	4.9%	0.2%	103.8K	-1.5M	-12.6K	0.20	86.43	N/A	N/A	5	1	580	38