VAW Options History — March 2016

In March 2016, VAW traded between $92.40 and $98.97. ATM implied volatility averaged 19.5%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.2% (HV 20d: 20.6%). Max pain ranged from $80.00 to $97.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.10.

Notable Days

  • 2016-03-15: Highest Volume — 611 contracts
  • 2016-03-07: Largest IV spike — 17.2% change
  • 2016-03-08: Highest IV Rank — 47.0%
  • 2016-03-08: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.10$92.40$98.97$92.40$98.33
Max Pain$92.75$80.00$97.00$80.00$97.00
ATM IV19.5%15.6%24.8%22.1%16.3%
Expected Move5.5%4.5%6.4%6.3%4.7%
HV 20d20.6%17.2%26.2%26.2%17.6%
HV 60d25.0%24.3%25.6%25.6%24.3%
IV Rank27.8%13.6%47.0%37.2%16.2%
IV Percentile53.9%27.0%78.2%70.2%31.0%
Term Structure0.5%-0.9%1.8%-0.9%1.6%
VWIV19.6%17.2%23.4%22.8%17.2%
Skew 25d4.4%2.9%5.9%4.9%3.2%
Skew 10d8.9%5.8%12.2%9.1%5.8%
Call IV 25d17.4%14.5%19.9%19.6%14.6%
Put IV 25d21.8%17.5%25.7%24.5%17.8%
Bid-Ask Spread %50.6926.2186.8160.7786.81
Gamma HHI0.310.230.350.350.28
Net GEX131.2K101.1K207.4K133.5K101.1K
Net DEX-3.7M-4.7M-2.9M-2.9M-4.0M
Net VEX-12.5K-13.6K-11.1K-13.6K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.040.200.040.20
Total Volume496.045334611567385
Total OI641.955607686607663

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$92.40$80.0022.1%6.3%26.2%37.2%22.8%4.9%-0.9%133.5K-2.9M-13.6K0.0460.77N/AN/A5442358423
2016-03-02$92.62$80.0021.5%6.2%25.6%35.0%23.4%3.6%-0.7%138.3K-3.0M-13.4K0.0470.79N/AN/A5452358423
2016-03-03$93.26$0.0021.0%6.0%24.1%33.2%0.0%5.4%0.0%137.8K-3.1M-13.3K0.0426.21N/AN/A5452358523
2016-03-04$94.25$0.0020.0%5.7%23.1%29.6%0.0%5.0%0.6%140.3K-3.3M-13.3K0.0428.30N/AN/A5292358523
2016-03-07$95.30$0.0023.4%6.0%22.6%42.0%0.0%4.8%-0.1%136.9K-3.5M-13.1K0.0428.81N/AN/A5312358923
2016-03-08$93.37$0.0024.8%6.4%21.9%47.0%0.0%5.9%0.1%138.5K-3.2M-13.3K0.0926.58N/AN/A5314859423
2016-03-09$93.93$0.0021.9%6.3%21.8%36.5%0.0%5.6%-0.1%122.3K-3.2M-13.3K0.0827.00N/AN/A5314059448
2016-03-10$94.34$0.0022.1%6.3%21.3%37.4%0.0%5.5%-0.2%122.4K-3.3M-13.3K0.0844.98N/AN/A5314059450
2016-03-11$96.26$0.0019.7%5.7%20.4%28.7%0.0%4.7%0.4%126.7K-3.7M-13.0K0.0847.60N/AN/A5314059450
2016-03-14$95.81$0.0020.0%5.7%19.8%29.6%0.0%5.2%0.6%130.9K-3.6M-12.8K0.0729.29N/AN/A5514059450
2016-03-15$94.67$0.0020.7%5.9%20.3%32.2%0.0%5.1%0.2%139.4K-3.4M-12.9K0.0731.45N/AN/A5714061450
2016-03-16$96.55$0.0017.4%5.0%20.3%20.3%0.0%3.9%1.2%207.4K-4.0M-12.3K0.0750.27N/AN/A5624063450
2016-03-17$98.48$0.0016.7%4.8%20.7%17.6%0.0%2.9%1.2%184.0K-4.5M-11.5K0.0748.06N/AN/A5624062850
2016-03-18$98.75$0.0016.6%4.8%20.0%17.4%0.0%4.3%1.3%138.3K-4.7M-11.4K0.1154.97N/AN/A3704063650
2016-03-21$98.20$0.0018.0%5.2%19.9%22.4%0.0%4.5%0.8%135.8K-4.1M-11.6K0.0456.76N/AN/A3211358723
2016-03-22$98.47$0.0018.2%5.2%17.5%23.1%19.0%4.0%0.5%134.6K-4.1M-11.5K0.1252.38N/AN/A3213858723
2016-03-23$97.15$97.0018.7%5.4%18.8%25.1%19.2%3.8%0.7%104.6K-3.7M-12.3K0.1856.04N/AN/A3215858768
2016-03-24$97.14$97.0018.5%5.3%18.6%24.1%18.7%3.0%0.3%107.9K-3.7M-12.3K0.2059.89N/AN/A3216358868
2016-03-28$97.53$97.0018.4%5.3%18.3%23.7%19.9%4.3%0.3%102.5K-3.8M-12.1K0.2068.96N/AN/A3216358873
2016-03-29$98.37$97.0017.3%5.0%18.3%20.1%18.8%3.4%1.5%101.6K-4.0M-11.5K0.2073.28N/AN/A3226358873
2016-03-30$98.97$97.0015.6%4.5%17.2%13.6%17.5%2.9%1.8%102.6K-4.2M-11.1K0.2085.96N/AN/A3226458973
2016-03-31$98.33$97.0016.3%4.7%17.6%16.2%17.2%3.2%1.6%101.1K-4.0M-11.4K0.2086.81N/AN/A3216458974