VAW Options History — April 2016

In April 2016, VAW traded between $96.93 and $105.09. ATM implied volatility averaged 17.3%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.1% (HV 20d: 15.2%). Max pain ranged from $95.00 to $97.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2016-04-28: Highest Volume — 495 contracts
  • 2016-04-04: Largest IV spike — 14.2% change
  • 2016-04-29: Highest IV Rank — 29.7%
  • 2016-04-29: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.15$96.93$105.09$99.03$103.49
Max Pain$95.10$95.00$97.00$97.00$95.00
ATM IV17.3%14.2%20.0%15.5%20.0%
Expected Move5.0%4.1%5.7%4.4%5.7%
HV 20d15.2%12.9%18.0%17.6%15.1%
HV 60d21.6%19.0%24.3%24.3%19.0%
IV Rank19.8%8.8%29.7%13.2%29.7%
IV Percentile36.6%14.7%58.7%25.8%58.7%
Term Structure0.7%-0.5%1.8%1.8%-0.1%
VWIV19.0%17.0%21.0%17.0%20.0%
Skew 25d4.2%2.7%5.1%2.7%4.1%
Skew 10d8.1%6.1%10.0%8.2%8.1%
Call IV 25d15.6%13.8%17.8%14.1%17.8%
Put IV 25d19.8%16.8%21.8%16.8%21.8%
Bid-Ask Spread %65.0143.1095.3495.3474.22
Gamma HHI0.240.200.290.280.21
Net GEX107.0K89.9K128.9K103.8K99.9K
Net DEX-4.8M-5.7M-3.7M-4.2M-5.2M
Net VEX-10.6K-12.0K-9.2K-10.9K-11.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.150.310.200.31
Total Volume438.667385495385495
Total OI723.095664794664794

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$99.03$97.0015.5%4.4%17.6%13.2%17.0%2.7%1.8%103.8K-4.2M-10.9K0.2095.34N/AN/A3216459074
2016-04-04$97.97$95.0017.7%5.1%18.0%21.2%18.6%4.6%1.0%101.3K-3.9M-11.2K0.2051.47N/AN/A3276459074
2016-04-05$97.34$95.0019.0%5.5%17.9%26.1%19.4%5.0%0.6%97.6K-3.8M-11.8K0.2043.10N/AN/A3286759674
2016-04-06$98.22$95.0017.4%5.2%16.1%20.1%17.9%4.3%1.5%98.1K-4.0M-11.3K0.2057.19N/AN/A3276759977
2016-04-07$96.93$95.0019.3%5.6%17.0%27.1%19.7%4.8%0.4%92.2K-3.7M-11.9K0.2055.90N/AN/A3376760477
2016-04-08$97.82$95.0016.9%5.2%17.2%18.6%18.9%5.1%1.3%89.9K-4.0M-11.8K0.2747.75N/AN/A3429461477
2016-04-11$98.52$95.0018.1%5.1%15.9%22.7%19.1%5.0%1.0%92.5K-4.1M-12.0K0.2746.55N/AN/A34294618104
2016-04-12$99.56$95.0016.9%4.9%16.1%18.3%19.1%4.7%1.1%106.3K-4.4M-11.3K0.2751.79N/AN/A34294618104
2016-04-13$100.85$95.0016.4%4.7%15.7%16.5%18.4%4.3%1.6%123.2K-4.7M-10.5K0.2859.27N/AN/A34295618104
2016-04-14$100.76$95.0016.4%4.7%14.4%16.6%18.4%4.4%1.2%126.3K-4.7M-10.6K0.2762.93N/AN/A35295623106
2016-04-15$101.28$95.0016.4%4.7%12.9%16.5%18.5%4.3%1.3%126.4K-4.9M-10.7K0.2664.35N/AN/A36195633106
2016-04-18$101.79$95.0015.8%4.5%13.0%14.3%18.4%3.8%0.6%128.9K-5.1M-10.3K0.1569.36N/AN/A3665564866
2016-04-19$103.71$95.0014.2%4.1%14.0%8.8%17.8%3.0%1.2%112.9K-5.6M-9.2K0.1673.64N/AN/A3715865366
2016-04-20$103.62$95.0015.6%4.5%14.1%13.8%18.5%3.5%0.5%114.1K-5.6M-9.3K0.1672.54N/AN/A3685865867
2016-04-21$103.15$95.0017.3%5.0%13.1%20.0%19.8%4.2%0.1%121.9K-5.5M-9.7K0.2372.01N/AN/A3688566067
2016-04-22$103.87$95.0017.5%5.0%13.1%20.5%18.3%4.3%0.0%101.5K-5.5M-10.0K0.2373.60N/AN/A3758666094
2016-04-25$102.82$95.0018.8%5.4%13.9%25.3%21.0%4.6%-0.5%116.7K-5.3M-10.3K0.2668.51N/AN/A3759666595
2016-04-26$104.37$95.0018.1%5.2%14.5%22.8%18.9%3.7%-0.0%97.9K-5.5M-9.7K0.2669.41N/AN/A37596665105
2016-04-27$105.09$95.0017.7%5.1%14.5%21.3%20.7%3.5%0.0%93.3K-5.7M-9.5K0.2577.82N/AN/A37796665105
2016-04-28$103.87$95.0018.0%5.2%15.0%22.4%20.8%4.3%-0.4%101.4K-5.5M-10.0K0.3178.42N/AN/A377118667105
2016-04-29$103.49$95.0020.0%5.7%15.1%29.7%20.0%4.1%-0.1%99.9K-5.2M-11.1K0.3174.22N/AN/A377118667127