VAW Options History — August 2016

In August 2016, VAW traded between $107.01 and $109.70. ATM implied volatility averaged 14.2%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.2% (HV 20d: 10.0%). Max pain ranged from $87.00 to $109.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2016-08-19: Highest Volume — 544 contracts
  • 2016-08-04: Largest IV drop — 12.6% change
  • 2016-08-26: Highest IV Rank — 11.5%
  • 2016-08-03: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.35$107.01$109.70$107.44$108.32
Max Pain$103.61$87.00$109.00$87.00$109.00
ATM IV14.2%12.5%16.8%16.3%15.2%
Expected Move4.1%3.6%4.8%4.7%4.4%
HV 20d10.0%7.6%14.6%14.6%10.8%
HV 60d18.1%17.7%19.0%19.0%18.0%
IV Rank4.7%0.0%11.5%8.3%10.2%
IV Percentile4.7%0.0%18.3%13.1%10.3%
Term Structure1.9%-0.2%3.4%0.2%0.7%
VWIV15.9%13.8%18.5%17.1%15.7%
Skew 25d3.7%2.6%4.5%4.1%3.9%
Skew 10d6.8%4.3%11.7%10.3%11.7%
Call IV 25d12.8%11.0%14.6%14.4%13.6%
Put IV 25d16.4%14.0%18.9%18.6%17.6%
Bid-Ask Spread %76.0336.91101.2199.8095.53
Gamma HHI0.180.080.670.130.08
Net GEX36.7K-11.6K151.5K28.7K-11.6K
Net DEX-3.0M-6.6M-217.7K-6.3M-217.7K
Net VEX-2.4K-2.8K-2.0K-2.8K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.397.000.411.29
Total Volume326.4780544498119
Total OI462127821811147

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$107.44$87.0016.3%4.7%14.6%8.3%17.1%4.1%0.2%28.7K-6.3M-2.8K0.4199.80N/AN/A354144652159
2016-08-02$107.01$87.0016.6%4.8%12.8%9.6%17.4%4.2%-0.2%27.0K-6.2M-2.8K0.4099.66N/AN/A359144652161
2016-08-03$107.47$87.0016.8%4.8%12.8%10.5%17.3%4.2%0.0%31.1K-6.3M-2.7K0.40101.21N/AN/A359144653161
2016-08-04$107.85$103.0014.7%4.5%12.8%2.1%18.5%4.5%2.0%32.8K-6.4M-2.6K0.4036.91N/AN/A359144653161
2016-08-05$108.19$103.0013.2%4.4%9.8%0.0%18.4%4.1%1.7%33.5K-6.5M-2.4K0.3944.38N/AN/A365144653161
2016-08-08$108.57$103.0012.9%4.2%9.7%0.0%18.0%4.0%2.6%50.1K-6.6M-2.3K0.3953.09N/AN/A366144660161
2016-08-09$108.20$103.0013.8%4.1%7.8%3.3%17.4%3.8%2.5%55.0K-3.8M-2.3K0.3963.42N/AN/A366144401161
2016-08-10$108.20$103.0014.4%4.1%7.7%5.6%15.8%4.5%2.3%54.6K-3.8M-2.2K0.3954.01N/AN/A367144401161
2016-08-11$108.81$103.0013.4%3.8%7.6%2.1%15.4%3.6%3.1%76.0K-3.9M-2.0K0.3964.59N/AN/A371145402161
2016-08-12$107.50$103.0014.5%4.2%8.7%6.2%14.5%4.0%2.7%65.3K-3.7M-2.3K0.4262.52N/AN/A371154407162
2016-08-15$108.66$107.0014.0%4.0%9.3%4.4%14.8%3.8%2.4%58.2K-3.9M-2.3K0.4258.21N/AN/A371154411171
2016-08-16$108.17$107.0013.8%3.9%8.9%3.4%14.2%3.6%3.4%57.0K-3.9M-2.3K0.4171.88N/AN/A372154411171
2016-08-17$107.97$107.0013.8%4.0%8.9%3.6%0.0%3.6%2.7%89.3K-1.1M-2.2K0.0081.36N/AN/A010154158
2016-08-18$108.75$107.0012.5%3.6%8.9%0.0%0.0%3.0%3.3%77.8K-1.1M-2.4K0.0080.98N/AN/A00154168
2016-08-19$108.90$107.0012.8%3.7%8.9%0.9%14.1%3.0%3.1%151.5K-3.8M-2.3K0.4385.87N/AN/A380164401181
2016-08-22$108.82$107.0012.9%3.7%8.8%1.5%14.8%2.8%1.4%1.2K-277.0K-2.3K1.0062.97N/AN/A55556760
2016-08-23$109.70$107.0012.5%3.6%8.7%0.0%14.8%3.3%1.9%1.6K-347.4K-2.4K1.0067.30N/AN/A55557063
2016-08-24$108.15$107.0014.0%4.0%10.2%5.6%13.8%3.5%1.6%-1.6K-270.9K-2.4K7.0096.77N/AN/A176863
2016-08-25$108.74$109.0014.3%4.1%10.4%6.6%15.0%3.3%1.5%-8.8K-258.8K-2.5K1.1194.43N/AN/A56627170
2016-08-26$108.28$109.0015.6%4.5%10.3%11.5%15.7%3.8%0.9%-9.0K-247.2K-2.5K1.1182.78N/AN/A56627170
2016-08-29$109.35$109.0014.0%4.0%10.6%5.5%15.7%2.6%2.1%-8.4K-291.3K-2.4K1.1997.88N/AN/A52627170
2016-08-30$109.05$109.0014.4%4.1%10.5%6.9%15.3%3.8%1.0%-7.8K-295.3K-2.4K1.2993.25N/AN/A52677270
2016-08-31$108.32$109.0015.2%4.4%10.8%10.2%15.7%3.9%0.7%-11.6K-217.7K-2.5K1.2995.53N/AN/A52677275