VAW Options History — January 2017

In January 2017, VAW traded between $113.13 and $119.61. ATM implied volatility averaged 18.5%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.7% (HV 20d: 12.8%). Max pain ranged from $111.00 to $117.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.25.

Notable Days

2017-01-30: Highest Volume — 155 contracts
2017-01-09: Largest IV spike — 187.5% change
2017-01-09: Highest IV Rank — 76.1%
2017-01-30: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$116.17	$113.13	$119.61	$113.13	$117.81
Max Pain	$113.80	$111.00	$117.00	$115.00	$116.00
ATM IV	18.5%	12.3%	36.6%	26.2%	12.3%
Expected Move	5.0%	3.5%	7.6%	7.5%	3.5%
HV 20d	12.8%	11.0%	14.7%	11.9%	14.2%
HV 60d	12.0%	11.6%	12.8%	12.1%	12.7%
IV Rank	19.0%	0.0%	76.1%	43.3%	0.0%
IV Percentile	39.8%	0.0%	98.4%	84.5%	0.0%
Term Structure	-2.5%	-11.9%	3.5%	-8.0%	3.4%
VWIV	20.0%	14.3%	32.6%	32.6%	22.6%
Skew 25d	5.2%	-14.4%	34.9%	6.9%	3.9%
Skew 10d	11.4%	0.6%	39.1%	9.8%	2.8%
Call IV 25d	18.8%	8.8%	35.6%	35.6%	31.4%
Put IV 25d	24.0%	14.5%	43.8%	42.5%	35.3%
Bid-Ask Spread %	122.80	98.20	154.13	154.13	132.01
Gamma HHI	0.14	0.10	0.20	0.10	0.13
Net GEX	-8.9K	-33.9K	4.7K	-3.7K	-33.9K
Net DEX	-229.3K	-405.8K	-84.4K	-104.6K	-149.0K
Net VEX	-1.5K	-1.7K	-1.2K	-1.5K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	1.00	1.67	1.13	1.67
Total Volume	130.8	111	155	111	155
Total OI	125.55	104	153	104	153

Daily Data (20 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
2017-01-03	$113.13	$115.00	26.2%	7.5%	11.9%	43.3%	32.6%	6.9%	-8.0%	-3.7K	-104.6K	-1.5K	1.13	154.13	N/A	N/A	52	59	45	59
2017-01-04	$115.39	$115.00	21.5%	6.2%	13.3%	28.4%	32.5%	34.9%	-7.7%	-3.1K	-208.2K	-1.6K	1.13	151.22	N/A	N/A	52	59	50	59
2017-01-05	$114.79	$111.00	21.4%	4.6%	13.4%	28.2%	20.0%	6.1%	2.0%	-4.5K	-184.0K	-1.6K	1.13	109.20	N/A	N/A	52	59	50	59
2017-01-06	$114.76	$111.00	12.7%	4.2%	12.3%	0.7%	16.6%	3.0%	2.0%	-1.6K	-229.1K	-1.4K	1.03	113.19	N/A	N/A	58	60	55	59
2017-01-09	$114.35	$111.00	36.6%	6.6%	11.9%	76.1%	23.4%	5.0%	-6.2%	-323	-204.3K	-1.6K	1.00	120.64	N/A	N/A	60	60	56	60
2017-01-10	$114.88	$111.00	23.7%	6.0%	12.0%	35.3%	20.7%	0.3%	-7.3%	3.6K	-246.6K	-1.5K	1.02	123.97	N/A	N/A	60	61	58	60
2017-01-11	$115.57	$111.00	14.2%	4.1%	12.1%	5.5%	15.3%	3.1%	1.2%	4.7K	-272.9K	-1.4K	1.20	98.20	N/A	N/A	60	72	58	61
2017-01-12	$115.34	$113.00	14.9%	4.3%	12.1%	7.6%	16.9%	3.7%	1.6%	-9.7K	-161.5K	-1.6K	1.20	114.37	N/A	N/A	60	72	58	72
2017-01-13	$115.45	$113.00	18.4%	5.3%	11.0%	18.5%	19.1%	16.0%	-0.7%	-6.3K	-193.6K	-1.7K	1.20	132.46	N/A	N/A	60	72	58	72
2017-01-17	$114.70	$113.00	19.5%	5.6%	11.2%	22.0%	14.6%	3.0%	-9.2%	-7.8K	-171.2K	-1.5K	1.20	105.48	N/A	N/A	60	72	58	72
2017-01-18	$115.57	$113.00	23.7%	6.8%	11.5%	35.4%	17.9%	11.9%	-10.3%	-2.4K	-228.7K	-1.4K	1.20	125.95	N/A	N/A	60	72	58	72
2017-01-19	$114.64	$113.00	12.4%	3.6%	11.8%	0.0%	14.8%	2.2%	3.3%	-8.6K	-185.1K	-1.4K	1.20	125.30	N/A	N/A	60	72	58	72
2017-01-20	$115.40	$113.00	13.3%	3.8%	12.0%	2.8%	14.3%	6.0%	3.5%	-7.8K	-230.9K	-1.4K	1.38	104.88	N/A	N/A	60	83	58	72
2017-01-23	$115.88	$117.00	15.0%	4.3%	12.1%	8.1%	14.6%	1.7%	1.7%	-27.2K	-84.4K	-1.4K	1.24	102.57	N/A	N/A	62	77	50	75
2017-01-24	$118.96	$116.00	15.8%	4.5%	14.7%	10.6%	22.8%	-1.2%	-6.1%	-9.9K	-284.0K	-1.5K	1.33	127.25	N/A	N/A	58	77	55	77
2017-01-25	$119.61	$116.00	12.7%	3.6%	14.7%	0.8%	19.1%	15.5%	-1.9%	-16.0K	-382.2K	-1.3K	1.33	130.91	N/A	N/A	58	77	56	77
2017-01-26	$119.61	$116.00	16.4%	4.7%	14.6%	12.6%	14.6%	-3.5%	1.8%	-13.0K	-381.6K	-1.3K	1.33	129.17	N/A	N/A	58	77	56	77
2017-01-27	$119.43	$116.00	12.5%	3.6%	13.8%	0.2%	21.8%	0.1%	-2.0%	-19.4K	-405.8K	-1.2K	1.33	122.33	N/A	N/A	58	77	56	77
2017-01-30	$118.05	$116.00	26.4%	7.6%	14.7%	44.0%	26.9%	-14.4%	-11.9%	-10.5K	-277.4K	-1.4K	1.67	132.71	N/A	N/A	58	97	56	77
2017-01-31	$117.81	$116.00	12.3%	3.5%	14.2%	0.0%	22.6%	3.9%	3.4%	-33.9K	-149.0K	-1.5K	1.67	132.01	N/A	N/A	58	97	56	97