VAW Options History — July 2016

In July 2016, VAW traded between $100.93 and $108.93. ATM implied volatility averaged 16.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 8.3% (HV 20d: 24.6%). Max pain ranged from $87.00 to $104.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2016-07-11: Highest Volume — 542 contracts
2016-07-08: Largest IV drop — 20.4% change
2016-07-05: Highest IV Rank — 26.7%
2016-07-06: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.40	$100.93	$108.93	$102.75	$108.08
Max Pain	$87.85	$87.00	$104.00	$104.00	$87.00
ATM IV	16.3%	14.2%	20.6%	17.3%	14.9%
Expected Move	4.7%	4.1%	5.7%	5.0%	4.3%
HV 20d	24.6%	14.3%	28.0%	25.9%	14.3%
HV 60d	19.6%	19.0%	20.1%	19.1%	19.0%
IV Rank	9.4%	1.9%	26.7%	14.0%	3.1%
IV Percentile	14.6%	0.4%	58.7%	18.3%	2.8%
Term Structure	1.3%	-0.5%	2.7%	0.5%	1.4%
VWIV	18.0%	16.0%	22.4%	17.3%	16.0%
Skew 25d	3.9%	2.4%	5.1%	3.1%	3.5%
Skew 10d	7.8%	5.5%	11.6%	9.7%	6.9%
Call IV 25d	14.6%	13.1%	18.3%	15.9%	13.4%
Put IV 25d	18.5%	16.6%	23.2%	19.0%	16.9%
Bid-Ask Spread %	85.22	58.07	106.53	91.75	98.65
Gamma HHI	0.14	0.10	0.22	0.19	0.13
Net GEX	40.6K	22.2K	89.8K	73.7K	28.8K
Net DEX	-5.9M	-6.5M	-4.6M	-5.1M	-6.4M
Net VEX	-4.2K	-7.1K	-2.8K	-6.5K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.39	0.49	0.39	0.40
Total Volume	508.25	481	542	481	496
Total OI	816.45	797	847	797	811

Daily Data (20 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
2016-07-01	$102.75	$104.00	17.3%	5.0%	25.9%	14.0%	17.3%	3.1%	0.5%	73.7K	-5.1M	-6.5K	0.39	91.75	N/A	N/A	347	134	651	146
2016-07-05	$100.93	$87.00	20.6%	5.6%	26.2%	26.7%	18.3%	4.9%	1.1%	89.8K	-4.6M	-7.1K	0.40	59.99	N/A	N/A	356	144	651	146
2016-07-06	$101.36	$87.00	20.2%	5.7%	26.3%	25.1%	18.1%	5.1%	1.1%	78.1K	-4.6M	-7.1K	0.42	58.07	N/A	N/A	356	148	647	156
2016-07-07	$101.66	$87.00	19.9%	5.4%	26.0%	24.3%	22.4%	5.1%	1.3%	74.4K	-4.7M	-6.7K	0.42	62.18	N/A	N/A	356	148	647	158
2016-07-08	$104.24	$87.00	15.9%	4.9%	27.7%	8.5%	21.4%	4.1%	2.0%	59.9K	-5.4M	-5.7K	0.47	79.98	N/A	N/A	356	168	647	158
2016-07-11	$104.95	$87.00	16.4%	4.8%	27.7%	10.4%	21.8%	4.7%	2.4%	46.4K	-5.6M	-4.8K	0.49	77.29	N/A	N/A	364	178	647	178
2016-07-12	$106.81	$87.00	15.8%	4.7%	28.0%	8.2%	22.1%	3.9%	2.0%	31.3K	-6.1M	-4.4K	0.49	78.12	N/A	N/A	361	178	658	188
2016-07-13	$107.19	$87.00	15.7%	4.5%	27.7%	8.0%	18.1%	3.7%	2.0%	22.2K	-6.2M	-3.9K	0.49	82.16	N/A	N/A	361	178	659	188
2016-07-14	$107.96	$87.00	15.5%	4.4%	27.8%	7.1%	17.6%	3.4%	2.5%	40.8K	-6.4M	-3.6K	0.49	84.27	N/A	N/A	361	178	659	188
2016-07-15	$108.35	$87.00	15.3%	4.4%	27.8%	6.3%	17.6%	3.9%	2.7%	26.4K	-6.4M	-3.5K	0.49	88.64	N/A	N/A	361	178	659	188
2016-07-18	$108.93	$87.00	14.2%	4.1%	27.8%	1.9%	16.1%	3.5%	1.5%	23.2K	-6.5M	-3.2K	0.40	88.37	N/A	N/A	354	142	652	159
2016-07-19	$107.97	$87.00	15.5%	4.4%	27.9%	5.2%	16.4%	4.2%	0.6%	28.4K	-6.3M	-3.3K	0.40	88.04	N/A	N/A	354	142	652	159
2016-07-20	$108.25	$87.00	15.5%	4.5%	27.7%	5.4%	16.5%	3.7%	-0.2%	25.2K	-6.4M	-3.2K	0.40	90.54	N/A	N/A	354	142	652	159
2016-07-21	$107.58	$87.00	15.6%	4.5%	27.8%	5.7%	17.5%	4.2%	1.1%	28.5K	-6.3M	-3.4K	0.40	87.86	N/A	N/A	354	142	652	159
2016-07-22	$107.83	$87.00	15.4%	4.4%	27.3%	4.9%	17.1%	3.9%	1.6%	25.6K	-6.3M	-3.2K	0.40	90.39	N/A	N/A	354	142	652	159
2016-07-25	$107.48	$87.00	16.5%	4.7%	22.1%	9.4%	16.8%	4.3%	-0.5%	29.0K	-6.3M	-3.1K	0.40	96.29	N/A	N/A	354	142	652	159
2016-07-26	$108.43	$87.00	15.3%	4.4%	15.7%	4.6%	16.8%	4.1%	1.1%	26.2K	-6.4M	-2.9K	0.40	106.53	N/A	N/A	354	142	652	159
2016-07-27	$108.50	$87.00	15.8%	4.5%	15.7%	6.5%	16.0%	2.4%	0.8%	27.0K	-6.5M	-2.8K	0.41	97.88	N/A	N/A	348	142	652	159
2016-07-28	$108.65	$87.00	15.0%	4.3%	14.9%	3.3%	16.8%	2.4%	0.8%	27.2K	-6.5M	-2.8K	0.40	97.39	N/A	N/A	354	142	652	159
2016-07-29	$108.08	$87.00	14.9%	4.3%	14.3%	3.1%	16.0%	3.5%	1.4%	28.8K	-6.4M	-2.8K	0.40	98.65	N/A	N/A	354	142	652	159