VAW Options History — June 2016

In June 2016, VAW traded between $97.77 and $106.94. ATM implied volatility averaged 18.8%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.1% (HV 20d: 15.6%). Max pain ranged from $103.00 to $104.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2016-06-16: Highest Volume — 489 contracts
  • 2016-06-24: Largest IV spike — 40.3% change
  • 2016-06-27: Highest IV Rank — 63.0%
  • 2016-06-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.74$97.77$106.94$103.40$102.28
Max Pain$103.32$103.00$104.00$104.00$104.00
ATM IV18.8%14.4%29.9%17.8%18.0%
Expected Move5.4%4.3%8.6%5.1%5.2%
HV 20d15.6%11.7%26.0%15.0%26.0%
HV 60d15.7%14.2%19.3%16.0%19.3%
IV Rank23.5%8.1%63.0%20.8%16.9%
IV Percentile39.6%6.7%91.7%32.9%31.0%
Term Structure0.1%-2.2%1.5%-0.0%1.2%
VWIV21.5%16.4%44.5%19.4%19.0%
Skew 25d4.6%2.7%6.5%3.4%2.7%
Skew 10d10.9%5.2%32.7%5.2%10.1%
Call IV 25d19.0%13.5%47.7%16.0%17.2%
Put IV 25d23.6%17.6%52.1%19.4%19.9%
Bid-Ask Spread %52.8026.30136.6951.6688.88
Gamma HHI0.170.130.260.150.19
Net GEX77.5K39.4K125.4K59.3K82.5K
Net DEX-5.2M-5.9M-4.0M-5.0M-4.9M
Net VEX-7.4K-8.9K-6.3K-8.5K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.300.390.330.39
Total Volume467.045454489457481
Total OI804.5758848795802

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$103.40$104.0017.8%5.1%15.0%20.8%19.4%3.4%-0.0%59.3K-5.0M-8.5K0.3351.66N/AN/A344113642153
2016-06-02$103.85$103.0016.3%4.7%14.8%15.0%17.2%4.4%0.7%39.6K-5.1M-8.3K0.3326.30N/AN/A344113642184
2016-06-03$104.71$103.0014.4%4.3%14.7%8.1%16.8%4.2%1.3%54.8K-5.4M-7.5K0.3330.76N/AN/A344113642184
2016-06-06$105.78$103.0014.6%4.4%14.8%8.8%17.7%3.9%1.2%59.9K-5.6M-6.9K0.3532.92N/AN/A344119643184
2016-06-07$106.02$103.0014.9%4.3%13.6%10.2%17.4%3.7%1.5%62.0K-5.7M-6.3K0.3234.69N/AN/A358115643190
2016-06-08$106.94$103.0015.2%4.3%12.7%10.9%16.4%4.0%0.9%72.7K-5.9M-6.3K0.3237.77N/AN/A360114646170
2016-06-09$106.09$103.0016.1%4.6%13.2%14.2%16.8%4.1%0.9%75.2K-5.7M-7.0K0.3233.31N/AN/A360114648172
2016-06-10$105.37$103.0017.7%5.1%13.5%20.4%18.2%5.0%0.7%78.8K-5.6M-6.6K0.3235.47N/AN/A360114648172
2016-06-13$103.97$103.0020.3%5.8%14.1%29.9%20.4%6.3%-0.5%60.7K-5.1M-8.2K0.3428.75N/AN/A353120648172
2016-06-14$103.10$103.0020.2%5.8%13.6%29.3%19.0%5.5%0.1%39.4K-4.8M-8.5K0.3435.95N/AN/A355120645187
2016-06-15$103.64$103.0019.6%5.6%13.6%27.1%18.9%5.5%-0.2%72.4K-5.0M-8.2K0.3436.39N/AN/A355120647187
2016-06-16$103.94$103.0019.5%5.6%11.7%26.9%22.9%5.2%-0.1%86.1K-5.1M-7.7K0.3839.13N/AN/A355134647187
2016-06-17$104.38$103.0019.0%5.5%11.7%25.1%21.4%4.6%0.2%85.0K-5.2M-7.6K0.3334.77N/AN/A356118647201
2016-06-20$105.30$103.0018.3%5.2%11.9%22.3%22.0%4.9%0.2%78.4K-5.5M-6.5K0.3040.58N/AN/A352104642116
2016-06-21$104.39$103.0019.0%5.5%12.0%25.1%21.2%5.8%-1.0%86.6K-5.4M-6.9K0.3039.15N/AN/A352104647116
2016-06-22$104.32$103.0020.0%5.7%11.7%28.8%21.9%6.5%-1.6%80.4K-5.5M-6.4K0.3050.37N/AN/A349105647116
2016-06-23$106.05$104.0017.9%5.1%12.4%21.0%21.4%5.5%-0.5%78.3K-5.7M-6.4K0.3144.48N/AN/A347107649117
2016-06-24$101.64$104.0025.1%7.2%19.6%46.2%44.5%4.5%-2.2%101.8K-4.9M-7.9K0.31130.74N/AN/A347107656119
2016-06-27$97.77$104.0029.9%8.6%23.8%63.0%39.7%3.5%-0.7%125.4K-4.0M-8.9K0.31136.69N/AN/A347107656119
2016-06-28$98.70$104.0020.6%5.9%24.2%27.3%21.7%4.0%0.1%124.1K-4.1M-8.0K0.3587.12N/AN/A347123656119
2016-06-29$100.56$104.0018.7%5.4%25.3%19.5%19.5%3.6%0.7%101.9K-4.6M-7.7K0.3985.78N/AN/A347134656135
2016-06-30$102.28$104.0018.0%5.2%26.0%16.9%19.0%2.7%1.2%82.5K-4.9M-7.1K0.3988.88N/AN/A347134656146