VAW Options History — February 2016

In February 2016, VAW traded between $83.90 and $90.60. ATM implied volatility averaged 27.1%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.3% (HV 20d: 28.4%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.09.

Notable Days

  • 2016-02-19: Highest Volume — 631 contracts
  • 2016-02-05: Largest IV spike — 19.3% change
  • 2016-02-09: Highest IV Rank — 82.8%
  • 2016-02-11: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.27$83.90$90.60$84.81$90.50
Max Pain$83.00$80.00$100.00$100.00$80.00
ATM IV27.1%22.3%34.7%25.0%24.0%
Expected Move7.6%6.4%9.3%7.2%6.9%
HV 20d28.4%25.4%29.7%27.5%25.4%
HV 60d24.1%22.0%25.4%22.0%25.4%
IV Rank55.2%38.1%82.8%47.8%44.2%
IV Percentile85.3%71.4%99.6%84.5%76.6%
Term Structure-1.3%-3.2%0.0%-0.5%-1.0%
VWIV27.8%21.6%31.7%28.3%23.8%
Skew 25d5.9%3.9%8.2%5.2%5.0%
Skew 10d9.4%8.0%11.5%8.7%8.8%
Call IV 25d23.9%20.9%28.6%22.9%21.9%
Put IV 25d29.9%25.6%36.8%28.2%26.9%
Bid-Ask Spread %40.8419.7989.7487.9656.04
Gamma HHI0.360.340.390.390.36
Net GEX113.4K97.0K130.9K106.2K130.9K
Net DEX-1.9M-2.6M-1.3M-1.4M-2.6M
Net VEX-13.3K-14.0K-12.1K-12.6K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.040.110.110.04
Total Volume605.35565631612567
Total OI631.9605652625607

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$84.81$100.0025.0%7.2%27.5%47.8%28.3%5.2%-0.5%106.2K-1.4M-12.6K0.1187.96N/AN/A5516158045
2016-02-02$83.90$100.0026.3%7.5%26.9%52.3%28.4%5.1%-0.9%103.1K-1.3M-12.1K0.1188.34N/AN/A5516159045
2016-02-03$86.27$100.0025.1%7.2%29.3%48.1%29.2%4.3%-0.8%111.6K-1.6M-13.2K0.1189.74N/AN/A5516159045
2016-02-04$88.33$80.0025.0%7.1%29.7%47.6%26.1%3.9%0.0%112.7K-2.0M-14.0K0.1123.31N/AN/A5616159045
2016-02-05$87.35$80.0029.8%7.9%28.4%65.1%28.7%7.0%-1.8%109.9K-1.9M-13.9K0.1121.56N/AN/A5616160045
2016-02-08$85.19$80.0034.5%8.6%29.4%81.9%30.0%7.5%-2.3%102.1K-1.6M-13.1K0.1126.09N/AN/A5616260045
2016-02-09$86.09$80.0034.7%8.8%29.3%82.8%30.5%7.6%-3.2%104.6K-1.7M-13.3K0.1122.77N/AN/A5616260046
2016-02-10$85.44$80.0030.2%8.7%29.4%66.5%30.4%7.6%-2.6%102.4K-1.6M-13.2K0.1119.79N/AN/A5616260046
2016-02-11$84.03$80.0032.6%9.3%28.8%75.0%31.7%8.2%-2.8%97.0K-1.4M-12.6K0.1123.77N/AN/A5616260046
2016-02-12$85.96$80.0028.8%8.3%29.5%61.6%29.5%7.4%-1.7%106.6K-1.7M-13.1K0.1122.78N/AN/A5646260046
2016-02-16$87.34$80.0028.0%8.0%28.7%58.3%29.1%7.1%-1.1%114.9K-1.9M-13.4K0.1126.45N/AN/A5646260346
2016-02-17$89.08$80.0025.8%7.4%28.9%50.5%28.0%5.2%-1.0%117.6K-2.2M-13.8K0.1132.40N/AN/A5676260346
2016-02-18$88.57$80.0025.0%7.2%28.9%47.6%27.5%5.9%-0.2%116.7K-2.1M-13.7K0.1130.17N/AN/A5676260646
2016-02-19$87.70$80.0025.6%7.3%29.3%49.8%26.8%5.0%-0.5%113.7K-2.0M-13.3K0.1137.52N/AN/A5696260646
2016-02-22$89.22$80.0024.0%6.9%29.3%44.1%26.3%5.9%-0.5%122.1K-2.3M-13.6K0.0440.60N/AN/A5422358223
2016-02-23$87.40$80.0026.0%7.5%27.7%51.3%27.0%5.8%-0.9%115.5K-2.0M-13.1K0.0431.28N/AN/A5422358223
2016-02-24$88.26$80.0025.0%7.2%27.3%47.8%26.5%5.3%-1.0%121.6K-2.2M-13.3K0.0437.40N/AN/A5422358223
2016-02-25$89.33$80.0024.0%6.9%27.2%44.0%25.7%4.9%-1.4%127.8K-2.3M-13.4K0.0444.64N/AN/A5422358223
2016-02-26$90.60$80.0022.3%6.4%27.4%38.1%21.6%4.7%-1.2%130.7K-2.6M-13.6K0.0454.12N/AN/A5442358223
2016-02-29$90.50$80.0024.0%6.9%25.4%44.2%23.8%5.0%-1.0%130.9K-2.6M-13.5K0.0456.04N/AN/A5442358423