VAW Options History — May 2017

In May 2017, VAW traded between $117.59 and $120.36. ATM implied volatility averaged 19.3%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 7.0% (HV 20d: 12.3%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.25.

Notable Days

2017-05-01: Highest Volume — 72 contracts
2017-05-23: Largest IV spike — 96.0% change
2017-05-04: Highest IV Rank — 54.2%
2017-05-03: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$119.22	$117.59	$120.36	$120.30	$119.45
Max Pain	$113.33	$110.00	$115.00	$110.00	$115.00
ATM IV	19.3%	12.3%	29.4%	24.0%	21.3%
Expected Move	5.1%	3.5%	7.2%	6.9%	6.1%
HV 20d	12.3%	11.2%	14.2%	11.8%	11.2%
HV 60d	12.5%	11.9%	13.0%	12.1%	11.9%
IV Rank	22.8%	1.0%	54.2%	37.4%	28.8%
IV Percentile	53.5%	0.8%	90.9%	84.5%	72.6%
Term Structure	-1.2%	-11.9%	5.2%	-4.9%	5.2%
VWIV	25.4%	12.5%	37.1%	31.4%	36.3%
Skew 25d	7.5%	-0.2%	28.0%	2.6%	6.1%
Skew 10d	10.9%	-3.8%	40.8%	13.9%	20.2%
Call IV 25d	18.2%	7.0%	33.7%	33.7%	32.4%
Put IV 25d	25.8%	14.6%	38.9%	36.4%	38.6%
Bid-Ask Spread %	132.27	96.19	164.36	140.17	161.72
Gamma HHI	0.22	0.19	0.26	0.22	0.23
Net GEX	26.1K	17.9K	32.8K	27.2K	24.9K
Net DEX	-333.8K	-416.5K	-223.7K	-408.1K	-267.9K
Net VEX	-1.0K	-1.2K	-847	-1.2K	-847
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.17	0.29	0.29	0.17
Total Volume	61.955	40	72	72	42
Total OI	65.591	41	76	76	45

Daily Data (22 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
2017-05-01	$120.30	$110.00	24.0%	6.9%	11.8%	37.4%	31.4%	2.6%	-4.9%	27.2K	-408.1K	-1.2K	0.29	140.17	N/A	N/A	56	16	61	15
2017-05-02	$120.00	$110.00	13.7%	3.9%	11.5%	5.3%	12.5%	11.0%	1.1%	32.0K	-416.5K	-1.2K	0.29	117.45	N/A	N/A	56	16	61	15
2017-05-03	$118.78	$110.00	25.1%	7.2%	12.1%	40.9%	26.2%	28.0%	-10.5%	25.6K	-364.1K	-1.2K	0.29	143.24	N/A	N/A	56	16	61	15
2017-05-04	$118.90	$0.00	29.4%	4.4%	12.1%	54.2%	0.0%	20.2%	0.3%	28.0K	-359.6K	-1.2K	0.29	151.19	N/A	N/A	56	16	61	15
2017-05-05	$120.36	$0.00	22.3%	4.7%	12.7%	32.2%	0.0%	21.5%	-4.0%	32.8K	-398.6K	-1.1K	0.29	129.28	N/A	N/A	56	16	61	15
2017-05-08	$119.30	$0.00	25.8%	5.3%	13.2%	42.9%	0.0%	2.2%	-0.2%	30.5K	-377.9K	-1.1K	0.29	96.19	N/A	N/A	56	16	61	15
2017-05-09	$118.57	$0.00	20.1%	4.6%	13.4%	25.3%	0.0%	2.1%	-0.9%	28.8K	-370.8K	-1.2K	0.29	157.38	N/A	N/A	56	16	61	15
2017-05-10	$119.38	$0.00	15.8%	4.5%	13.6%	11.8%	0.0%	6.7%	1.0%	30.2K	-369.1K	-1.0K	0.29	122.73	N/A	N/A	56	16	61	15
2017-05-11	$119.11	$0.00	15.3%	4.4%	12.6%	10.2%	0.0%	-0.2%	1.5%	30.1K	-363.4K	-980	0.29	112.53	N/A	N/A	56	16	61	15
2017-05-12	$118.90	$0.00	17.0%	4.9%	12.1%	15.5%	0.0%	2.8%	-2.0%	29.2K	-363.4K	-1.1K	0.29	154.41	N/A	N/A	56	16	61	15
2017-05-15	$119.91	$0.00	17.6%	5.1%	12.4%	17.6%	0.0%	8.4%	-4.6%	32.8K	-397.2K	-1.0K	0.29	141.76	N/A	N/A	56	16	61	15
2017-05-16	$120.16	$0.00	18.1%	5.2%	12.3%	18.9%	0.0%	9.2%	1.9%	32.6K	-404.9K	-977	0.29	129.58	N/A	N/A	56	16	61	15
2017-05-17	$117.96	$0.00	18.9%	5.4%	14.2%	21.5%	0.0%	4.5%	-1.6%	27.9K	-334.1K	-999	0.29	142.79	N/A	N/A	55	16	61	15
2017-05-18	$117.59	$0.00	14.6%	4.2%	13.1%	8.0%	0.0%	2.7%	0.8%	24.5K	-313.2K	-929	0.29	99.84	N/A	N/A	55	16	61	15
2017-05-19	$118.47	$0.00	21.8%	6.2%	13.4%	30.5%	0.0%	3.4%	-11.9%	19.6K	-356.3K	-929	0.29	125.42	N/A	N/A	55	16	61	15
2017-05-22	$118.61	$0.00	12.3%	3.5%	12.3%	1.0%	15.0%	2.3%	1.2%	20.3K	-237.2K	-900	0.18	116.49	N/A	N/A	34	6	38	3
2017-05-23	$118.96	$115.00	24.1%	6.9%	11.3%	37.7%	30.3%	13.2%	-2.9%	17.9K	-223.7K	-920	0.18	133.45	N/A	N/A	34	6	38	5
2017-05-24	$119.55	$115.00	22.7%	6.5%	11.6%	33.2%	35.1%	6.6%	-0.1%	21.4K	-249.9K	-898	0.18	141.61	N/A	N/A	34	6	38	5
2017-05-25	$119.43	$115.00	13.7%	3.9%	11.5%	5.2%	14.3%	3.2%	0.9%	18.2K	-251.7K	-906	0.18	120.64	N/A	N/A	34	6	38	5
2017-05-26	$119.59	$115.00	17.6%	5.1%	11.2%	17.5%	37.1%	6.9%	2.6%	19.5K	-256.5K	-851	0.17	164.36	N/A	N/A	36	6	38	5
2017-05-30	$119.63	$115.00	13.8%	4.0%	11.2%	5.7%	16.1%	2.8%	0.1%	19.9K	-259.3K	-926	0.17	107.66	N/A	N/A	36	6	40	5
2017-05-31	$119.45	$115.00	21.3%	6.1%	11.2%	28.8%	36.3%	6.1%	5.2%	24.9K	-267.9K	-847	0.17	161.72	N/A	N/A	36	6	40	5