VAW Options History — June 2017 In June 2017, VAW traded between $120.70 and $123.75. ATM implied volatility averaged 23.7%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 12.8% (HV 20d: 10.8%). Max pain ranged from $115.00 to $118.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.22.
Notable Days 2017-06-29 : Highest Volume — 60 contracts2017-06-09 : Largest IV spike — 56.2% change2017-06-12 : Highest IV Rank — 100.0%2017-06-01 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $121.69 $120.70 $123.75 $120.75 $122.08 Max Pain $117.45 $115.00 $118.00 $115.00 $118.00 ATM IV 23.7% 12.7% 49.8% 26.1% 25.6% Expected Move 5.5% 3.6% 7.5% 7.5% 7.3% HV 20d 10.8% 9.7% 11.7% 11.2% 11.7% HV 60d 11.6% 11.2% 12.0% 12.0% 11.5% IV Rank 33.0% 1.8% 100.0% 44.0% 36.1% IV Percentile 67.7% 3.2% 100.0% 87.3% 84.1% Term Structure -5.7% -13.6% 0.5% -8.1% -8.2% VWIV 21.8% 13.9% 38.4% 38.4% 14.5% Skew 25d 4.2% -10.3% 15.4% 5.0% 4.4% Skew 10d 5.2% -6.3% 21.5% -0.0% 0.9% Call IV 25d 21.7% 10.6% 35.4% 35.4% 15.5% Put IV 25d 25.8% 10.5% 40.4% 40.4% 19.9% Bid-Ask Spread % 139.80 98.22 157.39 157.39 138.44 Gamma HHI 0.21 0.17 0.31 0.23 0.17 Net GEX 21.2K 16.0K 29.5K 22.6K 22.6K Net DEX -316.6K -369.1K -286.1K -290.1K -369.1K Net VEX -914 -1.2K -785 -844 -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.22 0.18 0.23 0.18 0.18 Total Volume 49.091 46 60 46 60 Total OI 50.227 45 62 45 62
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 2017-06-01 $120.75 $115.00 26.1% 7.5% 11.2% 44.0% 38.4% 5.0% -8.1% 22.6K -290.1K -844 0.18 157.39 N/A N/A 39 7 40 5 2017-06-02 $121.53 $115.00 21.5% 6.2% 11.4% 29.6% 13.9% 0.2% -3.1% 19.6K -304.8K -973 0.23 153.54 N/A N/A 39 9 42 6 2017-06-05 $121.00 $0.00 30.2% 5.7% 10.7% 56.7% 0.0% 0.7% -6.8% 18.6K -321.6K -900 0.23 140.30 N/A N/A 39 9 42 8 2017-06-06 $120.93 $0.00 22.8% 4.4% 10.2% 33.7% 0.0% 7.2% -5.5% 19.8K -287.6K -986 0.23 150.28 N/A N/A 39 9 42 8 2017-06-07 $121.00 $0.00 25.7% 4.4% 9.9% 42.5% 0.0% 14.5% -0.8% 20.3K -303.0K -1.0K 0.23 126.43 N/A N/A 39 9 42 8 2017-06-08 $121.50 $0.00 23.3% 5.7% 9.7% 35.1% 0.0% 1.1% -6.3% 25.6K -326.6K -832 0.23 143.78 N/A N/A 39 9 42 8 2017-06-09 $122.73 $0.00 36.4% 4.9% 10.2% 75.8% 0.0% 8.8% -8.4% 29.5K -348.5K -802 0.23 140.15 N/A N/A 39 9 42 8 2017-06-12 $122.29 $0.00 49.8% 5.9% 10.3% 100.0% 0.0% 4.6% -7.3% 18.6K -318.5K -952 0.23 132.95 N/A N/A 39 9 42 8 2017-06-13 $123.75 $0.00 31.6% 4.6% 10.6% 52.0% 0.0% 15.4% -5.9% 29.2K -362.0K -785 0.23 145.69 N/A N/A 39 9 42 8 2017-06-14 $122.38 $0.00 18.0% 5.2% 11.5% 15.9% 0.0% 0.3% -1.9% 16.0K -315.6K -965 0.23 146.80 N/A N/A 39 9 42 8 2017-06-15 $121.09 $0.00 21.2% 6.1% 10.0% 24.3% 0.0% 5.0% -6.8% 19.1K -294.3K -967 0.23 137.05 N/A N/A 39 9 42 8 2017-06-16 $121.39 $0.00 22.1% 6.3% 9.9% 26.9% 0.0% 5.3% -9.2% 20.9K -298.1K -939 0.23 144.06 N/A N/A 39 9 42 8 2017-06-19 $122.63 $0.00 20.2% 5.8% 10.1% 21.7% 17.4% -6.7% -0.9% 16.9K -309.7K -944 0.23 144.31 N/A N/A 39 9 42 6 2017-06-20 $122.07 $118.00 12.8% 3.7% 10.4% 2.2% 14.2% -1.8% 0.1% 19.7K -330.9K -890 0.23 109.67 N/A N/A 39 9 42 8 2017-06-21 $120.70 $118.00 14.5% 4.2% 11.3% 6.8% 26.5% 4.8% -6.4% 22.1K -286.1K -945 0.23 148.34 N/A N/A 39 9 42 8 2017-06-22 $121.04 $118.00 18.9% 5.4% 11.2% 18.4% 28.3% 12.8% -5.0% 23.5K -306.3K -830 0.23 153.05 N/A N/A 39 9 42 8 2017-06-23 $121.67 $118.00 19.0% 5.5% 11.3% 18.6% 28.4% 7.1% -8.1% 24.2K -301.6K -871 0.23 151.28 N/A N/A 39 9 42 8 2017-06-26 $122.00 $118.00 23.0% 6.6% 11.3% 29.2% 18.0% 7.3% -13.6% 20.0K -317.5K -856 0.23 142.27 N/A N/A 39 9 42 8 2017-06-27 $121.41 $118.00 25.4% 7.3% 11.5% 35.5% 32.8% 2.6% -8.9% 16.8K -299.2K -908 0.23 137.90 N/A N/A 39 9 42 8 2017-06-28 $122.15 $118.00 12.7% 3.6% 11.6% 1.8% 14.1% 3.2% 0.5% 21.5K -344.9K -803 0.22 98.22 N/A N/A 41 9 42 8 2017-06-29 $121.07 $118.00 19.7% 5.6% 11.6% 20.3% 14.8% -10.3% -4.5% 19.1K -329.5K -887 0.18 133.78 N/A N/A 51 9 44 8 2017-06-30 $122.08 $118.00 25.6% 7.3% 11.7% 36.1% 14.5% 4.4% -8.2% 22.6K -369.1K -1.2K 0.18 138.44 N/A N/A 51 9 54 8
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