VAW Options History — October 2016

In October 2016, VAW traded between $103.25 and $106.64. ATM implied volatility averaged 20.6%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.3% (HV 20d: 14.3%). Max pain ranged from $102.00 to $108.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-10-13: Highest Volume — 151 contracts
  • 2016-10-06: Largest IV spike — 86.8% change
  • 2016-10-06: Highest IV Rank — 98.8%
  • 2016-10-31: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.78$103.25$106.64$106.64$104.40
Max Pain$102.86$102.00$108.00$108.00$102.00
ATM IV20.6%14.6%34.4%14.6%29.6%
Expected Move5.8%4.2%8.5%4.2%8.5%
HV 20d14.3%12.3%18.1%17.1%12.3%
HV 60d13.4%12.9%13.7%13.1%13.6%
IV Rank36.6%9.6%98.8%9.6%76.9%
IV Percentile55.1%10.3%99.2%10.3%93.7%
Term Structure-2.4%-12.8%8.1%1.5%-9.4%
VWIV22.2%15.3%29.2%15.3%26.2%
Skew 25d8.3%-1.7%28.7%3.8%28.7%
Skew 10d11.0%-21.5%30.9%7.1%4.6%
Call IV 25d22.6%13.5%35.2%13.5%18.0%
Put IV 25d30.9%17.2%49.5%17.2%46.7%
Bid-Ask Spread %112.8962.09148.0462.09119.41
Gamma HHI0.100.080.130.100.12
Net GEX-10.1K-26.8K-1.2K-9.0K-14.2K
Net DEX-95.5K-263.5K13.2K-153.1K-37.2K
Net VEX-2.2K-3.0K-1.7K-2.5K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.921.191.181.19
Total Volume137.571112151133127
Total OI187.524147208189159

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$106.64$108.0014.6%4.2%17.1%9.6%15.3%3.8%1.5%-9.0K-153.1K-2.5K1.1862.09N/AN/A61729099
2016-10-04$105.18$108.0015.5%4.4%17.6%13.4%15.5%1.4%3.0%-18.2K-13.9K-2.4K1.1687.54N/AN/A617190100
2016-10-05$105.72$108.0018.4%5.3%17.8%26.7%25.1%24.3%0.7%-1.2K-198.5K-3.0K0.92148.04N/AN/A7771105100
2016-10-06$106.48$102.0034.4%4.6%18.1%98.8%20.4%2.4%-1.5%-4.6K-263.5K-2.7K0.92127.32N/AN/A7771105100
2016-10-07$104.80$102.0015.1%5.3%15.6%11.9%19.5%7.4%-1.8%-6.9K-162.7K-2.5K0.9299.89N/AN/A7771105100
2016-10-10$105.36$102.0015.3%5.1%15.4%12.8%19.7%4.7%-0.2%-5.4K-186.8K-2.5K0.9277.33N/AN/A7771105100
2016-10-11$103.75$102.0015.1%5.4%14.1%11.7%19.3%6.7%-0.1%-11.7K-8.4K-2.4K0.9278.02N/AN/A7771105100
2016-10-12$103.81$102.0020.6%5.9%14.1%36.7%25.9%13.4%-5.9%-3.0K-74.3K-2.6K0.92129.93N/AN/A7771105100
2016-10-13$103.25$102.0022.8%6.5%13.8%46.5%26.0%10.9%-3.2%-3.4K13.2K-2.5K0.96138.39N/AN/A7774105100
2016-10-14$103.64$102.0025.1%7.2%13.9%56.6%21.6%14.9%-10.0%-7.2K-59.1K-2.5K0.96115.02N/AN/A7774105103
2016-10-17$103.68$102.0022.3%6.4%13.8%44.3%27.8%6.5%-6.9%-7.6K-10.1K-2.3K0.96122.50N/AN/A7774105103
2016-10-18$104.77$102.0027.8%8.0%14.0%69.1%29.2%8.9%-12.8%-4.6K-146.4K-2.3K1.07130.51N/AN/A6974105103
2016-10-19$105.70$102.0017.3%5.0%13.2%21.8%18.0%3.4%-1.6%-26.8K-106.9K-1.9K1.0794.64N/AN/A697499103
2016-10-20$105.45$102.0017.6%5.1%13.1%23.2%20.7%-1.7%-2.3%-20.8K-76.1K-1.8K1.09121.72N/AN/A697591103
2016-10-21$105.28$102.0017.7%5.1%13.0%23.3%21.8%4.7%0.3%-11.5K9.8K-1.8K1.09110.78N/AN/A697591104
2016-10-24$105.60$102.0017.6%5.0%13.0%22.8%20.8%7.0%8.1%-10.7K-194.0K-1.7K0.93132.11N/AN/A58547275
2016-10-25$104.51$102.0023.8%6.8%13.5%50.8%23.8%4.7%-4.8%-8.2K-184.0K-1.7K0.93131.10N/AN/A58547375
2016-10-26$104.36$102.0024.8%7.1%12.8%55.5%28.8%11.0%-3.7%-3.8K-107.2K-1.9K0.93141.22N/AN/A58547375
2016-10-27$104.04$102.0019.1%5.5%12.8%29.6%22.3%5.7%-0.5%-13.0K-55.5K-1.7K1.12113.86N/AN/A58657375
2016-10-28$104.04$102.0018.4%5.3%12.3%26.7%19.2%5.3%1.1%-20.2K8.3K-1.8K1.1289.34N/AN/A58657386
2016-10-31$104.40$102.0029.6%8.5%12.3%76.9%26.2%28.7%-9.4%-14.2K-37.2K-1.8K1.19119.41N/AN/A58697386