VAW Options History — September 2016

In September 2016, VAW traded between $104.07 and $109.47. ATM implied volatility averaged 16.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.6% (HV 20d: 15.5%). Max pain ranged from $104.00 to $109.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.14.

Notable Days

2016-09-29: Highest Volume — 136 contracts
2016-09-13: Largest IV spike — 43.6% change
2016-09-13: Highest IV Rank — 55.4%
2016-09-13: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$106.43	$104.07	$109.47	$108.30	$107.27
Max Pain	$104.86	$104.00	$109.00	$109.00	$108.00
ATM IV	16.1%	13.5%	24.8%	14.8%	14.3%
Expected Move	4.6%	3.9%	5.6%	4.2%	4.1%
HV 20d	15.5%	10.7%	17.8%	10.7%	17.5%
HV 60d	16.9%	13.8%	19.3%	17.9%	13.9%
IV Rank	15.9%	3.7%	55.4%	8.3%	8.2%
IV Percentile	21.1%	2.8%	82.5%	8.7%	7.5%
Term Structure	0.9%	-0.5%	1.8%	1.5%	1.8%
VWIV	16.3%	13.8%	19.2%	14.6%	14.6%
Skew 25d	4.3%	2.4%	5.9%	4.3%	4.0%
Skew 10d	8.2%	5.5%	13.7%	9.8%	7.8%
Call IV 25d	13.9%	11.8%	17.4%	12.6%	12.4%
Put IV 25d	18.2%	15.4%	20.5%	16.9%	16.4%
Bid-Ask Spread %	67.44	44.92	113.14	106.16	59.29
Gamma HHI	0.10	0.08	0.16	0.08	0.10
Net GEX	-11.0K	-41.4K	5.5K	-12.1K	-6.7K
Net DEX	-128.6K	-303.1K	148.0K	-218.7K	-215.0K
Net VEX	-2.4K	-2.5K	-2.3K	-2.5K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.83	1.44	1.29	1.11
Total Volume	120.619	102	136	119	129
Total OI	155.667	141	183	147	183

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
2016-09-01	$108.30	$109.00	14.8%	4.2%	10.7%	8.3%	14.6%	4.3%	1.5%	-12.1K	-218.7K	-2.5K	1.29	106.16	N/A	N/A	52	67	72	75
2016-09-02	$109.45	$109.00	13.5%	3.9%	11.3%	3.7%	14.7%	2.4%	1.2%	-10.1K	-288.5K	-2.4K	1.33	113.14	N/A	N/A	52	69	72	75
2016-09-06	$109.47	$104.00	15.0%	4.6%	11.3%	9.3%	16.4%	4.2%	0.7%	-11.9K	-303.1K	-2.4K	1.33	48.10	N/A	N/A	52	69	72	77
2016-09-07	$109.40	$104.00	14.8%	4.2%	11.2%	8.3%	16.1%	4.1%	1.3%	-11.6K	-297.4K	-2.4K	1.33	46.50	N/A	N/A	52	69	72	77
2016-09-08	$108.90	$104.00	13.6%	4.2%	11.3%	3.9%	16.3%	4.6%	1.2%	-15.1K	-272.3K	-2.3K	1.33	44.92	N/A	N/A	52	69	72	77
2016-09-09	$105.69	$104.00	18.4%	5.0%	15.4%	26.5%	17.4%	4.3%	0.1%	-15.3K	-54.4K	-2.4K	1.21	66.83	N/A	N/A	52	63	72	77
2016-09-12	$106.59	$104.00	17.3%	4.9%	15.3%	21.4%	15.6%	5.0%	0.1%	-29.3K	-57.6K	-2.4K	1.29	76.95	N/A	N/A	52	67	72	83
2016-09-13	$104.16	$104.00	24.8%	5.6%	16.6%	55.4%	19.2%	3.1%	-0.5%	-23.3K	114.2K	-2.4K	1.44	70.61	N/A	N/A	52	75	72	88
2016-09-14	$104.07	$104.00	19.1%	5.5%	16.6%	29.8%	19.0%	3.2%	-0.2%	-29.5K	148.0K	-2.5K	1.39	64.64	N/A	N/A	54	75	72	93
2016-09-15	$104.97	$104.00	17.3%	5.0%	17.0%	21.5%	17.7%	3.1%	0.5%	-41.4K	103.3K	-2.4K	1.39	64.24	N/A	N/A	54	75	73	93
2016-09-16	$104.68	$104.00	16.2%	4.7%	16.7%	16.9%	17.3%	4.7%	0.9%	-6.7K	82.9K	-2.4K	1.39	72.83	N/A	N/A	54	75	73	86
2016-09-19	$105.15	$104.00	16.4%	4.7%	16.8%	17.3%	17.9%	4.8%	0.9%	-5.4K	-99.0K	-2.3K	0.96	64.32	N/A	N/A	52	50	71	70
2016-09-20	$104.25	$104.00	17.7%	5.1%	17.0%	23.5%	18.0%	5.9%	0.4%	-6.2K	-83.0K	-2.3K	0.96	66.08	N/A	N/A	52	50	71	71
2016-09-21	$105.89	$104.00	15.0%	4.3%	17.8%	11.4%	16.6%	4.6%	1.0%	-5.6K	-145.9K	-2.3K	0.98	71.77	N/A	N/A	54	53	71	71
2016-09-22	$106.43	$104.00	15.4%	4.4%	17.3%	13.1%	15.6%	4.9%	1.0%	-6.8K	-183.4K	-2.3K	0.83	59.54	N/A	N/A	64	53	73	76
2016-09-23	$105.86	$104.00	14.5%	4.2%	17.2%	9.2%	14.6%	4.9%	1.5%	2.9K	-197.3K	-2.4K	0.83	71.70	N/A	N/A	64	53	83	76
2016-09-26	$105.59	$104.00	15.7%	4.5%	17.2%	14.3%	15.9%	5.3%	1.1%	781	-154.1K	-2.4K	0.83	59.49	N/A	N/A	64	53	83	76
2016-09-27	$105.70	$104.00	14.8%	4.2%	16.7%	10.4%	15.5%	4.7%	1.6%	1.2K	-167.1K	-2.3K	0.88	64.29	N/A	N/A	64	56	83	76
2016-09-28	$106.84	$104.00	13.9%	4.0%	17.3%	6.1%	13.8%	4.3%	1.2%	5.5K	-258.5K	-2.3K	0.99	59.20	N/A	N/A	68	67	83	79
2016-09-29	$106.40	$108.00	15.8%	4.5%	17.2%	14.7%	15.0%	4.9%	0.9%	-4.9K	-154.5K	-2.5K	0.97	65.60	N/A	N/A	69	67	88	90
2016-09-30	$107.27	$108.00	14.3%	4.1%	17.5%	8.2%	14.6%	4.0%	1.8%	-6.7K	-215.0K	-2.5K	1.11	59.29	N/A	N/A	61	68	88	95