VAW Options History — March 2017

In March 2017, VAW traded between $116.99 and $121.53. ATM implied volatility averaged 22.2%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 9.0% (HV 20d: 13.2%). Max pain ranged from $115.00 to $122.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-03-01: Highest Volume — 74 contracts
  • 2017-03-08: Largest IV spike — 174.4% change
  • 2017-03-09: Highest IV Rank — 91.6%
  • 2017-03-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.74$116.99$121.53$121.53$119.24
Max Pain$117.75$115.00$122.00$122.00$118.00
ATM IV22.2%12.3%41.5%19.1%13.6%
Expected Move5.4%3.5%8.8%5.5%3.9%
HV 20d13.2%10.6%16.1%10.6%13.4%
HV 60d12.6%11.8%13.3%12.1%12.4%
IV Rank31.8%1.0%91.6%22.0%5.1%
IV Percentile60.4%0.4%99.2%65.5%8.7%
Term Structure-1.9%-15.0%5.0%-0.2%1.7%
VWIV21.3%13.8%30.1%22.6%24.0%
Skew 25d0.9%-24.1%16.9%9.2%-8.2%
Skew 10d5.8%-22.1%25.7%25.7%18.4%
Call IV 25d20.2%11.6%35.9%12.8%24.7%
Put IV 25d21.1%11.8%34.3%21.9%16.5%
Bid-Ask Spread %125.8381.82155.51150.85131.38
Gamma HHI0.200.150.400.400.15
Net GEX6.8K-8.1K20.0K-8.1K18.9K
Net DEX-178.1K-327.3K-74.8K-172.0K-327.3K
Net VEX-1.1K-1.4K-871-871-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.320.950.950.32
Total Volume67.43552747466
Total OI67.65251756568

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$121.53$122.0019.1%5.5%10.6%22.0%22.6%9.2%-0.2%-8.1K-172.0K-8710.95150.85N/AN/A38362936
2017-03-02$119.90$122.0030.5%8.8%11.7%57.6%19.2%-24.1%-15.0%-271-164.4K-1.3K0.95139.06N/AN/A38363936
2017-03-03$119.95$122.0018.7%5.4%11.6%21.0%17.4%3.3%1.6%-2.3K-152.5K-1.2K0.95150.77N/AN/A38363936
2017-03-06$119.13$0.0030.3%5.9%11.8%56.9%0.0%2.6%-2.3%-2.4K-118.8K-1.2K0.95111.14N/AN/A38363936
2017-03-07$118.09$0.0014.1%4.0%12.2%6.5%0.0%-7.1%5.0%-2.5K-90.5K-1.1K0.95119.15N/AN/A38363936
2017-03-08$118.11$0.0038.6%5.4%11.9%82.8%0.0%1.8%3.0%-1.0K-106.7K-1.3K0.95137.85N/AN/A38363936
2017-03-09$117.47$0.0041.5%6.2%12.1%91.6%0.0%-1.1%-7.3%-1.2K-81.7K-1.2K0.95111.91N/AN/A38363936
2017-03-10$117.93$0.0027.6%6.2%12.1%48.6%0.0%12.1%-6.7%-4.4K-85.2K-1.1K0.95109.95N/AN/A38363936
2017-03-13$118.45$0.0016.2%4.1%11.8%13.2%0.0%2.8%1.2%1.8K-97.6K-1.1K0.9583.41N/AN/A38363936
2017-03-14$117.74$0.0030.9%3.9%11.5%58.7%0.0%2.4%2.7%2.3K-74.8K-1.1K0.9581.82N/AN/A38363936
2017-03-15$119.92$0.0018.6%5.3%13.4%20.7%0.0%9.1%-0.8%-574-145.7K-1.1K0.95134.04N/AN/A38363936
2017-03-16$119.14$0.0015.2%4.4%13.5%10.1%0.0%0.0%2.1%-1.7K-122.1K-1.1K0.95103.81N/AN/A38363936
2017-03-17$119.78$0.0014.5%4.1%13.7%7.7%0.0%3.3%1.0%16.0K-118.7K-9750.95119.12N/AN/A38363936
2017-03-20$120.13$0.0022.7%6.5%13.7%33.4%14.1%5.8%-9.1%17.0K-247.9K-9510.37113.56N/AN/A38143912
2017-03-21$117.76$115.0015.8%4.5%15.1%11.9%16.7%2.4%-2.8%13.8K-231.5K-1.0K0.37131.03N/AN/A38143914
2017-03-22$118.00$115.0015.8%4.5%15.2%11.9%28.6%16.9%1.4%13.6K-216.7K-9610.37155.51N/AN/A38143914
2017-03-23$118.48$115.0017.8%5.1%14.9%18.1%23.4%-4.5%-3.8%14.5K-216.8K-9310.35150.78N/AN/A40143914
2017-03-24$116.99$115.0018.7%5.4%15.6%20.9%16.9%-1.8%3.9%13.4K-216.5K-1.0K0.35114.79N/AN/A40144114
2017-03-27$117.35$115.0026.6%7.6%15.6%45.5%26.7%1.8%-4.5%14.4K-224.4K-9860.33143.28N/AN/A48164114
2017-03-28$118.59$118.0025.9%7.4%16.1%43.3%23.8%-11.6%-10.8%20.0K-283.2K-1.3K0.33138.69N/AN/A49165116
2017-03-29$118.51$118.0026.0%7.4%14.1%43.5%30.1%4.6%-5.1%16.9K-294.8K-1.4K0.33141.25N/AN/A49165216
2017-03-30$118.93$118.0012.3%3.5%13.4%1.0%13.8%1.8%0.3%18.2K-305.5K-1.3K0.33120.88N/AN/A49165216
2017-03-31$119.24$118.0013.6%3.9%13.4%5.1%24.0%-8.2%1.7%18.9K-327.3K-1.3K0.32131.38N/AN/A50165216