VAW Options History — November 2016

In November 2016, VAW traded between $103.13 and $113.21. ATM implied volatility averaged 20.8%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 8.9% (HV 20d: 11.9%). Max pain ranged from $102.00 to $109.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2016-11-18: Highest Volume — 155 contracts
  • 2016-11-28: Largest IV spike — 139.8% change
  • 2016-11-03: Highest IV Rank — 98.1%
  • 2016-11-28: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.77$103.13$113.21$103.78$113.21
Max Pain$106.29$102.00$109.00$102.00$109.00
ATM IV20.8%13.1%34.3%28.9%20.2%
Expected Move5.7%3.8%9.0%8.3%5.8%
HV 20d11.9%9.3%13.0%11.5%11.9%
HV 60d14.2%13.6%14.7%13.7%14.4%
IV Rank37.4%2.8%98.1%74.0%34.8%
IV Percentile54.5%2.0%98.8%92.9%64.7%
Term Structure-2.3%-12.2%7.4%-12.2%2.8%
VWIV22.9%16.6%35.7%28.7%24.3%
Skew 25d5.5%-7.1%24.3%24.3%6.8%
Skew 10d5.0%-12.1%23.5%6.5%2.1%
Call IV 25d23.1%10.0%35.5%25.3%35.0%
Put IV 25d28.5%15.7%55.0%49.6%41.8%
Bid-Ask Spread %123.6076.59149.38139.46144.86
Gamma HHI0.160.100.270.110.18
Net GEX1.4K-24.1K35.1K-15.4K11.6K
Net DEX-249.0K-519.3K27.1K2.5K-288.9K
Net VEX-1.6K-1.9K-1.4K-1.9K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.821.351.191.27
Total Volume124.28698155127100
Total OI148.71495179163111

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$103.78$102.0028.9%8.3%11.5%74.0%28.7%24.3%-12.2%-15.4K2.5K-1.9K1.19139.46N/AN/A58697390
2016-11-02$103.22$102.0021.2%6.1%11.4%39.0%35.7%19.5%4.2%-11.2K23.3K-1.9K1.35145.82N/AN/A51697390
2016-11-03$103.13$106.0034.3%5.7%11.0%98.1%18.7%6.7%-4.9%-11.2K-18.0K-1.9K1.35132.56N/AN/A51697690
2016-11-04$103.84$106.0031.2%7.6%10.0%84.1%18.6%-7.1%-6.1%-21.2K27.1K-1.7K1.35112.05N/AN/A51697690
2016-11-07$104.96$106.0019.5%5.6%10.6%31.5%17.3%3.6%-1.7%-24.1K-52.5K-1.6K1.19110.44N/AN/A58697690
2016-11-08$105.84$106.0022.0%5.2%9.3%42.9%18.5%4.5%-1.6%-22.0K-112.9K-1.6K1.1378.39N/AN/A61697690
2016-11-09$108.25$106.0016.1%4.6%12.1%16.2%16.6%2.5%0.6%-21.7K-328.9K-1.4K1.05124.06N/AN/A66697890
2016-11-10$109.55$106.0016.1%4.6%12.2%16.1%18.6%3.9%0.0%10.1K-485.8K-1.5K0.9276.59N/AN/A75698390
2016-11-11$108.55$106.0017.8%5.1%12.9%23.9%25.6%-3.1%-5.1%-4.7K-370.8K-1.9K0.92142.21N/AN/A75698990
2016-11-14$109.22$106.0018.7%5.4%13.0%27.9%21.2%2.5%-3.9%3.8K-484.8K-1.6K0.9087.26N/AN/A77698990
2016-11-15$109.84$106.0015.8%4.5%12.7%14.7%17.4%3.2%1.1%28.7K-452.1K-1.5K0.8788.91N/AN/A79698190
2016-11-16$109.66$106.0023.5%6.7%12.5%49.7%30.2%2.9%-11.4%7.4K-397.0K-1.7K0.86134.56N/AN/A80698390
2016-11-17$109.66$106.0021.8%6.2%12.5%41.7%28.0%5.4%-8.9%34.5K-472.5K-1.6K0.86135.08N/AN/A80698490
2016-11-18$109.67$106.0022.1%6.3%12.4%43.3%28.5%1.8%-10.6%-4.1K-519.3K-1.5K0.82121.77N/AN/A85708490
2016-11-21$110.80$106.0015.4%4.4%12.7%13.1%20.8%3.5%7.0%-1.3K-140.2K-1.4K1.23137.12N/AN/A44544451
2016-11-22$112.00$107.0016.8%4.8%12.1%19.3%23.0%4.9%5.9%1.8K-171.4K-1.5K1.23130.91N/AN/A44544554
2016-11-23$112.30$107.0015.1%4.3%12.0%11.8%24.2%-5.0%7.4%5.4K-199.3K-1.5K1.27149.38N/AN/A44565054
2016-11-25$112.64$109.0013.1%3.8%11.7%2.8%19.2%2.6%-0.9%20.8K-268.8K-1.5K1.27132.25N/AN/A44565556
2016-11-28$111.97$109.0031.5%9.0%12.2%85.5%26.4%12.1%-10.8%6.4K-257.4K-1.4K1.27137.44N/AN/A44565556
2016-11-29$112.07$109.0015.7%4.5%12.2%14.5%20.1%18.9%0.5%35.1K-261.6K-1.4K1.27134.45N/AN/A44565556
2016-11-30$113.21$109.0020.2%5.8%11.9%34.8%24.3%6.8%2.8%11.6K-288.9K-1.4K1.27144.86N/AN/A44565556