VAW Options History — December 2016

In December 2016, VAW traded between $112.29 and $117.12. ATM implied volatility averaged 25.0%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 13.9% (HV 20d: 11.1%). Max pain ranged from $109.00 to $115.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2016-12-13: Highest Volume — 114 contracts
  • 2016-12-02: Largest IV spike — 109.0% change
  • 2016-12-08: Highest IV Rank — 100.0%
  • 2016-12-02: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$114.47$112.29$117.12$112.78$112.29
Max Pain$114.14$109.00$115.00$109.00$115.00
ATM IV25.0%13.1%44.2%15.1%16.4%
Expected Move5.1%3.1%9.0%4.3%4.7%
HV 20d11.1%9.5%12.1%11.7%11.6%
HV 60d12.5%11.9%14.4%14.4%12.0%
IV Rank44.8%1.8%100.0%11.5%12.5%
IV Percentile62.5%2.0%100.0%14.7%32.5%
Term Structure-3.2%-15.1%4.0%-4.6%-5.3%
VWIV22.8%13.4%30.9%23.8%20.1%
Skew 25d5.0%-8.7%18.9%2.8%8.5%
Skew 10d7.1%-16.6%24.8%24.8%9.9%
Call IV 25d23.9%12.4%37.9%14.4%31.6%
Put IV 25d28.9%15.7%46.1%17.2%40.0%
Bid-Ask Spread %126.0586.62158.99134.99152.79
Gamma HHI0.180.100.500.270.11
Net GEX3.9K-7.8K33.4K23.9K-292
Net DEX-225.8K-457.3K-85.5K-334.7K-142.1K
Net VEX-1.2K-1.6K-922-1.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.361.171.641.271.28
Total Volume101.14387114100105
Total OI102.4768511911199

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$112.78$109.0015.1%4.3%11.7%11.5%23.8%2.8%-4.6%23.9K-334.7K-1.2K1.27134.99N/AN/A44565556
2016-12-02$113.03$109.0031.5%9.0%11.6%85.5%29.0%8.1%-15.1%10.6K-281.5K-1.3K1.27142.60N/AN/A44565556
2016-12-05$114.28$0.0031.3%4.7%11.8%84.7%0.0%8.5%4.0%8.5K-325.9K-1.2K1.27133.56N/AN/A44565556
2016-12-06$114.44$0.0024.9%4.0%11.6%55.7%0.0%7.5%-0.4%33.4K-412.3K-9911.27112.94N/AN/A44565556
2016-12-07$116.08$0.0032.5%4.3%12.1%90.2%0.0%10.7%-1.0%23.9K-457.3K-1.0K1.22115.56N/AN/A46565556
2016-12-08$117.12$0.0039.1%5.5%10.2%100.0%0.0%-8.7%-8.5%12.7K-402.1K-9221.22127.42N/AN/A46565256
2016-12-09$116.85$0.0044.2%5.7%10.0%100.0%0.0%3.0%-9.0%8.3K-346.6K-1.2K1.22117.26N/AN/A46565256
2016-12-12$116.19$0.0040.3%3.1%9.5%87.9%0.0%1.8%1.0%12.9K-404.4K-9301.4693.77N/AN/A46675256
2016-12-13$115.94$0.0043.8%3.5%9.6%98.7%13.4%2.1%1.4%1.3K-257.6K-1.3K1.4891.68N/AN/A46685267
2016-12-14$114.34$115.0019.3%5.5%11.3%21.4%15.8%9.7%-0.5%-4.1K-170.6K-1.3K1.51132.65N/AN/A45684568
2016-12-15$114.64$115.0018.8%5.4%11.2%19.8%15.2%4.9%-6.0%-7.8K-124.0K-1.2K1.51134.78N/AN/A45684068
2016-12-16$114.24$115.0023.8%6.8%11.3%35.6%24.3%4.5%-7.5%-5.2K-176.3K-1.2K1.51104.11N/AN/A45684068
2016-12-19$113.97$115.0013.1%3.8%11.4%1.8%15.1%-1.9%-3.6%-5.3K-85.5K-1.2K1.64115.40N/AN/A33543352
2016-12-20$114.40$115.0014.5%4.2%11.0%6.4%17.2%2.5%4.0%-7.6K-89.3K-1.2K1.5086.62N/AN/A36543354
2016-12-21$114.57$115.0016.9%4.8%10.5%13.8%27.1%1.3%0.8%-5.6K-116.9K-1.1K1.50145.74N/AN/A36543554
2016-12-22$113.64$115.0025.4%7.3%11.0%40.7%30.9%5.6%-11.1%-4.7K-101.0K-1.2K1.50134.71N/AN/A36543554
2016-12-23$113.86$115.0019.8%5.7%10.9%23.2%29.8%6.9%-2.1%-4.7K-102.5K-1.1K1.50158.99N/AN/A36543554
2016-12-27$114.60$115.0017.4%5.0%10.9%15.4%30.1%18.9%1.6%-4.4K-127.7K-1.1K1.17139.19N/AN/A46543554
2016-12-28$113.28$115.0022.6%6.5%11.8%31.9%28.9%4.8%-4.0%-1.8K-130.9K-1.6K1.17144.24N/AN/A46544554
2016-12-29$113.30$115.0013.5%3.9%11.2%3.2%21.0%4.3%-2.2%-2.0K-151.7K-1.4K1.17128.14N/AN/A46544554
2016-12-30$112.29$115.0016.4%4.7%11.6%12.5%20.1%8.5%-5.3%-292-142.1K-1.4K1.28152.79N/AN/A46594554