VAW Options History — May 2016

In May 2016, VAW traded between $100.24 and $104.30. ATM implied volatility averaged 18.9%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.6% (HV 20d: 16.3%). Max pain ranged from $95.00 to $104.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.32.

Notable Days

2016-05-18: Highest Volume — 541 contracts
2016-05-18: Largest IV spike — 12.8% change
2016-05-18: Highest IV Rank — 32.6%
2016-05-18: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$102.06	$100.24	$104.30	$103.93	$103.28
Max Pain	$102.71	$95.00	$104.00	$95.00	$104.00
ATM IV	18.9%	16.6%	20.8%	19.3%	18.1%
Expected Move	5.4%	4.8%	6.0%	5.5%	5.2%
HV 20d	16.3%	14.3%	17.2%	14.3%	16.4%
HV 60d	17.1%	16.2%	18.8%	18.5%	16.2%
IV Rank	25.3%	16.3%	32.6%	26.9%	21.7%
IV Percentile	45.9%	20.6%	63.9%	54.4%	36.9%
Term Structure	0.1%	-0.8%	0.7%	-0.4%	-0.2%
VWIV	19.3%	18.0%	22.1%	20.2%	20.3%
Skew 25d	4.1%	3.2%	5.0%	4.1%	3.6%
Skew 10d	6.4%	5.2%	8.9%	7.9%	6.5%
Call IV 25d	17.0%	14.9%	19.3%	17.2%	16.6%
Put IV 25d	21.1%	18.2%	23.6%	21.3%	20.2%
Bid-Ask Spread %	39.65	23.45	81.59	76.69	44.74
Gamma HHI	0.19	0.16	0.21	0.20	0.16
Net GEX	107.0K	83.0K	130.2K	94.2K	86.1K
Net DEX	-4.9M	-5.4M	-4.5M	-5.4M	-5.1M
Net VEX	-10.1K	-11.4K	-8.3K	-10.4K	-8.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.30	0.40	0.31	0.40
Total Volume	501.429	449	541	495	482
Total OI	793.143	741	835	794	747

Daily Data (21 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
2016-05-02	$103.93	$95.00	19.3%	5.5%	14.3%	26.9%	20.2%	4.1%	-0.4%	94.2K	-5.4M	-10.4K	0.31	76.69	N/A	N/A	377	118	667	127
2016-05-03	$102.09	$95.00	20.6%	5.9%	15.8%	31.8%	22.1%	3.7%	-0.8%	110.8K	-4.9M	-11.1K	0.31	74.38	N/A	N/A	377	118	667	127
2016-05-04	$101.30	$95.00	20.8%	6.0%	16.0%	32.4%	21.5%	3.8%	-0.4%	113.6K	-4.7M	-11.4K	0.31	81.59	N/A	N/A	377	118	667	127
2016-05-05	$100.69	$104.00	20.8%	5.7%	15.3%	32.4%	19.6%	4.7%	0.1%	116.8K	-4.6M	-11.4K	0.33	26.02	N/A	N/A	378	125	667	127
2016-05-06	$101.62	$104.00	18.6%	5.4%	15.3%	24.4%	19.1%	4.6%	0.6%	113.2K	-4.8M	-11.0K	0.32	23.45	N/A	N/A	386	125	668	134
2016-05-09	$100.25	$104.00	20.4%	5.6%	16.1%	31.2%	18.7%	4.8%	0.1%	123.2K	-4.5M	-11.4K	0.32	29.52	N/A	N/A	386	125	678	134
2016-05-10	$101.96	$104.00	18.7%	5.3%	16.8%	25.0%	18.6%	4.1%	0.2%	116.3K	-5.0M	-10.7K	0.32	25.37	N/A	N/A	386	125	678	134
2016-05-11	$101.74	$104.00	18.3%	5.3%	16.2%	23.6%	18.8%	4.3%	0.3%	117.1K	-5.0M	-10.6K	0.33	24.40	N/A	N/A	386	127	678	134
2016-05-12	$101.93	$104.00	18.6%	5.3%	16.2%	24.4%	18.7%	4.1%	0.3%	111.7K	-5.0M	-10.0K	0.32	24.83	N/A	N/A	401	127	668	134
2016-05-13	$101.08	$104.00	19.4%	5.6%	16.4%	27.5%	19.4%	4.0%	0.1%	129.3K	-4.8M	-10.7K	0.31	36.05	N/A	N/A	406	127	684	134
2016-05-16	$102.56	$104.00	17.9%	5.1%	17.2%	22.2%	19.0%	4.5%	0.5%	111.9K	-5.3M	-9.8K	0.31	30.86	N/A	N/A	408	127	689	134
2016-05-17	$102.03	$104.00	18.4%	5.3%	15.8%	24.0%	19.0%	4.2%	0.5%	113.2K	-5.2M	-10.1K	0.31	30.42	N/A	N/A	408	127	691	134
2016-05-18	$100.24	$104.00	20.8%	6.0%	16.9%	32.6%	19.6%	5.0%	-0.6%	130.2K	-4.7M	-10.8K	0.31	37.55	N/A	N/A	414	127	701	134
2016-05-19	$100.56	$104.00	20.3%	5.8%	17.0%	30.8%	20.2%	4.5%	-0.5%	122.7K	-4.8M	-10.8K	0.31	33.08	N/A	N/A	414	127	701	134
2016-05-20	$101.19	$104.00	18.8%	5.4%	16.9%	25.2%	18.6%	3.9%	0.7%	100.9K	-4.9M	-10.2K	0.31	36.56	N/A	N/A	414	127	700	134
2016-05-23	$102.27	$104.00	18.3%	5.3%	17.1%	23.5%	18.8%	3.8%	0.2%	95.4K	-4.7M	-9.5K	0.30	35.86	N/A	N/A	347	105	637	104
2016-05-24	$103.09	$104.00	17.4%	5.0%	16.4%	20.3%	18.5%	3.7%	0.7%	87.2K	-5.0M	-9.0K	0.30	36.67	N/A	N/A	348	105	639	105
2016-05-25	$104.30	$104.00	16.7%	4.8%	16.8%	16.5%	18.0%	3.2%	0.3%	83.0K	-5.3M	-8.4K	0.30	39.57	N/A	N/A	348	105	641	105
2016-05-26	$103.48	$104.00	17.4%	5.0%	16.5%	19.2%	18.0%	3.4%	0.3%	85.8K	-5.1M	-8.5K	0.30	42.89	N/A	N/A	348	105	641	105
2016-05-27	$103.57	$104.00	16.6%	4.8%	16.5%	16.3%	18.4%	3.4%	0.4%	85.0K	-5.1M	-8.5K	0.31	42.21	N/A	N/A	344	105	641	105
2016-05-31	$103.28	$104.00	18.1%	5.2%	16.4%	21.7%	20.3%	3.6%	-0.2%	86.1K	-5.1M	-8.3K	0.40	44.74	N/A	N/A	344	138	642	105