VAW Options History — April 2017

In April 2017, VAW traded between $116.32 and $121.70. ATM implied volatility averaged 19.8%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.8% (HV 20d: 12.0%). Max pain ranged from $104.00 to $118.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.31.

Notable Days

2017-04-27: Highest Volume — 72 contracts
2017-04-11: Largest IV spike — 162.2% change
2017-04-11: Highest IV Rank — 75.5%
2017-04-26: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$118.80	$116.32	$121.70	$118.35	$120.19
Max Pain	$107.47	$104.00	$118.00	$118.00	$110.00
ATM IV	19.8%	12.9%	36.3%	14.7%	22.2%
Expected Move	5.4%	3.8%	6.6%	4.2%	6.4%
HV 20d	12.0%	9.6%	13.5%	13.5%	11.8%
HV 60d	12.3%	11.7%	12.7%	12.5%	12.1%
IV Rank	24.5%	3.0%	75.5%	8.3%	31.7%
IV Percentile	55.3%	4.4%	97.2%	18.7%	78.2%
Term Structure	-3.3%	-16.5%	4.7%	-0.6%	-5.0%
VWIV	20.8%	13.7%	31.3%	15.8%	31.3%
Skew 25d	2.5%	-15.9%	21.0%	-15.9%	1.4%
Skew 10d	8.5%	-0.7%	25.3%	1.6%	12.3%
Call IV 25d	22.5%	12.3%	32.0%	30.4%	32.0%
Put IV 25d	25.0%	13.1%	35.1%	14.5%	33.4%
Bid-Ask Spread %	116.94	86.76	142.22	125.37	136.52
Gamma HHI	0.18	0.13	0.26	0.15	0.23
Net GEX	20.5K	13.0K	29.8K	16.1K	26.4K
Net DEX	-325.3K	-418.2K	-249.6K	-319.2K	-414.9K
Net VEX	-1.2K	-1.3K	-1.1K	-1.3K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.29	0.32	0.32	0.29
Total Volume	67.211	66	72	66	72
Total OI	70.105	67	76	69	76

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
2017-04-03	$118.35	$118.00	14.7%	4.2%	13.5%	8.3%	15.8%	-15.9%	-0.6%	16.1K	-319.2K	-1.3K	0.32	125.37	N/A	N/A	50	16	53	16
2017-04-04	$118.67	$118.00	13.6%	3.9%	13.1%	5.0%	16.6%	-2.1%	4.7%	20.0K	-309.1K	-1.3K	0.32	134.46	N/A	N/A	50	16	53	16
2017-04-05	$118.44	$118.00	18.4%	5.3%	13.1%	19.9%	24.2%	-11.7%	2.0%	18.8K	-318.5K	-1.3K	0.32	142.22	N/A	N/A	50	16	53	16
2017-04-06	$118.95	$104.00	12.9%	4.8%	13.0%	3.0%	14.7%	-3.5%	-2.7%	19.5K	-306.1K	-1.2K	0.32	99.00	N/A	N/A	50	16	53	16
2017-04-07	$118.99	$104.00	29.5%	6.1%	13.0%	54.5%	20.0%	12.2%	-6.9%	18.8K	-302.0K	-1.3K	0.32	121.12	N/A	N/A	50	16	53	16
2017-04-10	$119.06	$104.00	13.8%	4.1%	12.9%	5.7%	15.0%	2.1%	1.1%	19.3K	-326.9K	-1.2K	0.32	88.33	N/A	N/A	50	16	53	16
2017-04-11	$119.02	$104.00	36.3%	6.2%	12.7%	75.5%	17.0%	-0.4%	-5.0%	18.9K	-312.0K	-1.3K	0.32	105.16	N/A	N/A	50	16	54	15
2017-04-12	$117.36	$104.00	20.3%	5.8%	11.8%	25.9%	26.4%	2.3%	-0.2%	18.4K	-291.0K	-1.3K	0.32	120.91	N/A	N/A	50	16	54	15
2017-04-13	$116.32	$104.00	22.4%	6.4%	12.0%	32.5%	25.9%	4.3%	-2.9%	17.7K	-256.1K	-1.3K	0.32	122.01	N/A	N/A	50	16	54	15
2017-04-17	$116.40	$104.00	16.4%	4.7%	11.8%	13.6%	14.7%	2.6%	-0.2%	14.3K	-249.6K	-1.1K	0.32	93.38	N/A	N/A	50	16	54	15
2017-04-18	$116.90	$104.00	19.2%	5.5%	11.9%	22.3%	18.3%	3.3%	-1.1%	13.0K	-256.9K	-1.1K	0.31	86.76	N/A	N/A	51	16	54	15
2017-04-19	$116.88	$104.00	22.6%	6.5%	9.6%	33.1%	19.0%	3.1%	-3.3%	18.3K	-278.2K	-1.2K	0.31	121.45	N/A	N/A	51	16	56	15
2017-04-20	$118.69	$104.00	19.2%	5.5%	11.1%	22.4%	18.6%	17.2%	-10.5%	22.3K	-299.6K	-1.1K	0.31	114.49	N/A	N/A	51	16	56	15
2017-04-21	$118.47	$104.00	20.6%	5.9%	11.1%	26.8%	27.9%	0.6%	-3.6%	18.4K	-323.8K	-1.2K	0.31	131.76	N/A	N/A	51	16	56	15
2017-04-24	$120.15	$104.00	13.2%	3.8%	11.1%	3.9%	13.7%	2.3%	1.1%	29.0K	-376.3K	-1.1K	0.31	100.12	N/A	N/A	51	16	56	11
2017-04-25	$121.70	$110.00	22.6%	6.5%	11.8%	33.0%	18.1%	21.0%	-10.0%	23.2K	-410.5K	-1.1K	0.30	126.16	N/A	N/A	53	16	56	15
2017-04-26	$121.60	$110.00	23.1%	6.6%	11.4%	34.7%	30.0%	4.5%	-16.5%	27.0K	-418.2K	-1.1K	0.30	125.99	N/A	N/A	53	16	58	15
2017-04-27	$121.05	$110.00	16.1%	4.6%	11.5%	12.7%	27.5%	3.7%	-2.7%	29.8K	-411.4K	-1.1K	0.29	126.65	N/A	N/A	56	16	58	15
2017-04-28	$120.19	$110.00	22.2%	6.4%	11.8%	31.7%	31.3%	1.4%	-5.0%	26.4K	-414.9K	-1.3K	0.29	136.52	N/A	N/A	56	16	61	15