VAW Options History — July 2017

In July 2017, VAW traded between $121.46 and $126.01. ATM implied volatility averaged 22.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 11.5% (HV 20d: 10.7%). Max pain ranged from $109.00 to $118.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.14.

Notable Days

  • 2017-07-13: Highest Volume — 75 contracts
  • 2017-07-28: Largest IV spike — 127.5% change
  • 2017-07-11: Highest IV Rank — 60.1%
  • 2017-07-03: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.11$121.46$126.01$122.66$123.47
Max Pain$110.90$109.00$118.00$118.00$113.00
ATM IV22.1%9.9%34.7%27.6%23.5%
Expected Move5.6%2.8%7.9%7.9%6.7%
HV 20d10.7%9.6%12.2%11.7%9.6%
HV 60d11.2%10.7%11.7%11.6%10.8%
IV Rank27.5%0.0%60.1%41.3%34.1%
IV Percentile64.8%0.0%95.6%87.7%75.8%
Term Structure-5.8%-13.0%-0.2%-5.9%-9.0%
VWIV21.2%13.0%33.3%33.3%26.4%
Skew 25d3.7%-9.3%24.7%24.7%3.1%
Skew 10d5.4%-9.3%23.6%2.1%12.7%
Call IV 25d23.9%12.2%33.3%12.2%33.1%
Put IV 25d27.6%13.6%36.9%36.9%36.1%
Bid-Ask Spread %139.25120.39159.81145.78148.91
Gamma HHI0.150.130.200.180.13
Net GEX30.5K23.7K38.2K25.5K30.7K
Net DEX-531.2K-637.4K-377.8K-394.0K-516.0K
Net VEX-1.4K-1.6K-1.1K-1.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.140.170.170.15
Total Volume71.3562756270
Total OI75.462796277

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$122.66$118.0027.6%7.9%11.7%41.3%33.3%24.7%-5.9%25.5K-394.0K-1.1K0.17145.78N/AN/A539548
2017-07-05$122.24$118.0025.2%7.2%11.8%35.0%23.4%-7.4%-8.1%24.3K-377.8K-1.2K0.14159.81N/AN/A649568
2017-07-06$121.46$109.0026.7%4.7%12.0%39.0%18.4%6.0%-0.7%29.9K-418.4K-1.6K0.14142.26N/AN/A649678
2017-07-07$122.28$109.0030.8%5.1%12.2%49.8%18.4%14.5%-6.9%29.4K-426.1K-1.6K0.14137.89N/AN/A649678
2017-07-10$123.16$109.0030.8%5.1%11.9%49.7%18.8%-1.1%-5.8%30.5K-466.0K-1.5K0.14139.34N/AN/A649678
2017-07-11$123.09$109.0034.7%5.2%11.8%60.1%19.3%8.5%-1.8%28.6K-455.7K-1.6K0.14135.67N/AN/A649678
2017-07-12$124.36$109.0015.8%4.5%11.6%10.2%20.7%6.8%-0.2%31.7K-505.8K-1.5K0.14139.79N/AN/A649678
2017-07-13$124.24$109.0016.0%4.6%10.9%10.7%21.6%7.6%-1.2%30.5K-500.0K-1.5K0.14138.30N/AN/A669678
2017-07-14$125.11$109.0016.8%4.8%10.2%12.7%21.7%8.4%-3.8%31.6K-536.7K-1.5K0.14140.67N/AN/A639698
2017-07-17$125.22$109.0019.0%5.5%10.2%18.7%20.5%1.7%-2.9%38.2K-626.3K-1.3K0.14120.39N/AN/A639718
2017-07-18$124.66$109.0021.4%6.1%9.9%24.9%21.4%1.0%-10.8%34.7K-585.5K-1.4K0.14134.03N/AN/A639718
2017-07-19$126.01$109.0019.9%5.7%10.2%20.8%20.7%3.4%-8.9%35.4K-637.4K-1.3K0.14137.99N/AN/A639718
2017-07-20$125.03$109.0018.8%5.4%9.7%18.0%19.1%-4.5%-3.3%30.0K-632.8K-1.3K0.14133.03N/AN/A639718
2017-07-21$124.87$109.0022.6%6.5%9.8%28.1%17.0%-0.9%-9.0%31.2K-613.4K-1.4K0.14121.60N/AN/A639718
2017-07-24$124.83$109.0021.6%6.2%9.7%25.6%24.2%7.6%-13.0%33.3K-552.4K-1.4K0.15144.04N/AN/A619696
2017-07-25$125.94$113.0019.4%5.6%10.1%19.7%20.4%-9.3%-7.2%28.7K-631.6K-1.3K0.15141.20N/AN/A619698
2017-07-26$125.15$113.0019.7%5.7%10.2%20.5%24.2%4.8%-8.0%32.0K-575.9K-1.4K0.15143.52N/AN/A619698
2017-07-27$124.44$113.009.9%2.8%10.4%0.0%13.0%8.2%-1.8%23.7K-634.6K-1.2K0.15137.88N/AN/A619698
2017-07-28$124.00$113.0022.6%6.5%9.8%31.8%22.4%-8.5%-7.7%30.8K-538.5K-1.4K0.15142.84N/AN/A619698
2017-07-31$123.47$113.0023.5%6.7%9.6%34.1%26.4%3.1%-9.0%30.7K-516.0K-1.4K0.15148.91N/AN/A619698