VAW Options History — February 2017

In February 2017, VAW traded between $117.21 and $120.33. ATM implied volatility averaged 20.9%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 9.3% (HV 20d: 11.6%). Max pain ranged from $116.00 to $122.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.49.

Notable Days

2017-02-17: Highest Volume — 163 contracts
2017-02-03: Largest IV spike — 99.4% change
2017-02-06: Highest IV Rank — 74.5%
2017-02-28: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.93	$117.21	$120.33	$118.49	$119.01
Max Pain	$121.68	$116.00	$122.00	$116.00	$122.00
ATM IV	20.9%	12.0%	36.0%	20.7%	30.2%
Expected Move	5.6%	3.8%	8.7%	5.9%	8.7%
HV 20d	11.6%	7.7%	14.1%	14.1%	7.7%
HV 60d	11.9%	11.5%	12.8%	12.7%	11.5%
IV Rank	27.6%	0.0%	74.5%	26.4%	56.7%
IV Percentile	59.8%	0.0%	98.0%	73.4%	94.8%
Term Structure	-4.0%	-11.0%	2.5%	-1.0%	-10.6%
VWIV	18.9%	11.4%	29.4%	25.5%	29.4%
Skew 25d	0.5%	-21.3%	8.2%	-6.7%	-21.3%
Skew 10d	1.9%	-21.5%	22.0%	7.7%	-21.5%
Call IV 25d	22.0%	7.8%	34.3%	33.8%	34.3%
Put IV 25d	22.5%	12.9%	34.0%	27.1%	12.9%
Bid-Ask Spread %	122.52	76.96	153.27	136.52	146.10
Gamma HHI	0.22	0.11	0.49	0.12	0.21
Net GEX	-25.6K	-63.1K	-2.6K	-23.4K	-7.3K
Net DEX	-215.5K	-442.3K	-80.6K	-165.8K	-80.6K
Net VEX	-1.2K	-1.6K	-939	-1.6K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.49	1.14	1.67	1.67	1.29
Total Volume	127.474	60	163	155	64
Total OI	125.474	59	157	153	65

Daily Data (19 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
2017-02-01	$118.49	$116.00	20.7%	5.9%	14.1%	26.4%	25.5%	-6.7%	-1.0%	-23.4K	-165.8K	-1.6K	1.67	136.52	N/A	N/A	58	97	56	97
2017-02-02	$117.98	$122.00	14.5%	4.4%	12.7%	6.8%	12.6%	2.0%	0.0%	-41.9K	-206.0K	-1.4K	1.64	78.81	N/A	N/A	59	97	56	97
2017-02-03	$118.42	$122.00	28.9%	4.2%	12.5%	52.0%	18.7%	3.4%	1.0%	-24.2K	-164.0K	-1.6K	1.64	83.57	N/A	N/A	59	97	57	97
2017-02-06	$118.03	$122.00	36.0%	6.4%	12.6%	74.5%	24.0%	4.0%	-5.1%	-21.5K	-181.6K	-1.5K	1.64	129.66	N/A	N/A	59	97	57	97
2017-02-07	$117.21	$122.00	12.0%	4.1%	12.8%	0.0%	12.8%	2.4%	1.1%	-53.3K	-182.0K	-1.3K	1.64	77.82	N/A	N/A	59	97	57	97
2017-02-08	$117.39	$122.00	19.2%	5.5%	12.8%	22.4%	16.7%	6.7%	-4.7%	-23.3K	-84.8K	-1.6K	1.64	119.42	N/A	N/A	59	97	57	97
2017-02-09	$117.81	$122.00	22.9%	6.6%	12.7%	33.9%	25.3%	3.7%	-7.6%	-21.7K	-130.4K	-1.5K	1.64	128.45	N/A	N/A	59	97	57	97
2017-02-10	$118.83	$122.00	13.6%	3.9%	12.9%	4.9%	13.0%	3.8%	1.3%	-58.6K	-314.5K	-1.1K	1.56	76.96	N/A	N/A	62	97	57	97
2017-02-13	$119.84	$122.00	23.3%	6.7%	13.1%	35.1%	15.7%	4.0%	-11.0%	-23.9K	-442.3K	-1.1K	1.56	127.51	N/A	N/A	62	97	60	97
2017-02-14	$119.70	$122.00	23.4%	6.7%	12.8%	35.6%	17.2%	4.4%	-10.7%	-63.1K	-426.2K	-1.1K	1.58	127.31	N/A	N/A	62	98	59	97
2017-02-15	$119.89	$122.00	18.7%	5.4%	12.7%	21.0%	16.6%	-1.1%	-5.1%	-23.2K	-260.7K	-1.2K	1.58	153.21	N/A	N/A	62	98	59	98
2017-02-16	$119.68	$122.00	18.3%	5.3%	12.2%	19.7%	16.4%	-12.7%	2.5%	-39.8K	-397.3K	-1.1K	1.58	118.62	N/A	N/A	62	98	59	98
2017-02-17	$119.37	$122.00	13.4%	3.8%	12.2%	4.5%	11.4%	1.7%	1.7%	-34.0K	-420.8K	-1.0K	1.63	99.06	N/A	N/A	62	101	59	98
2017-02-21	$120.33	$122.00	20.7%	5.9%	12.4%	27.0%	19.9%	8.2%	-7.0%	-3.1K	-144.1K	-969	1.14	153.27	N/A	N/A	28	32	29	30
2017-02-22	$120.32	$122.00	21.1%	6.1%	8.4%	28.4%	24.1%	5.8%	-3.8%	-5.1K	-145.1K	-939	1.14	147.16	N/A	N/A	28	32	29	32
2017-02-23	$119.22	$122.00	14.1%	4.0%	8.8%	6.4%	17.1%	3.5%	0.0%	-8.1K	-115.3K	-1.0K	1.14	143.13	N/A	N/A	28	32	29	32
2017-02-24	$119.17	$122.00	27.4%	7.9%	8.8%	47.9%	23.4%	1.8%	-8.6%	-2.6K	-121.5K	-1.0K	1.21	135.92	N/A	N/A	28	34	29	32
2017-02-27	$119.02	$122.00	19.0%	5.4%	8.8%	21.8%	18.8%	-3.6%	-8.0%	-8.1K	-111.2K	-1.1K	1.29	145.37	N/A	N/A	28	36	29	34
2017-02-28	$119.01	$122.00	30.2%	8.7%	7.7%	56.7%	29.4%	-21.3%	-10.6%	-7.3K	-80.6K	-1.1K	1.29	146.10	N/A	N/A	28	36	29	36