VAW Options History — August 2017

In August 2017, VAW traded between $120.54 and $124.28. ATM implied volatility averaged 19.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 9.8% (HV 20d: 9.6%). Max pain ranged from $113.00 to $120.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.17.

Notable Days

  • 2017-08-18: Highest Volume — 77 contracts
  • 2017-08-03: Largest IV spike — 162.8% change
  • 2017-08-08: Highest IV Rank — 51.9%
  • 2017-08-29: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.22$120.54$124.28$123.61$124.28
Max Pain$119.13$113.00$120.00$113.00$120.00
ATM IV19.4%9.9%30.6%23.8%24.7%
Expected Move5.1%2.8%8.1%6.8%7.1%
HV 20d9.6%8.8%10.2%9.5%10.2%
HV 60d10.3%9.9%10.6%10.5%10.5%
IV Rank23.8%0.0%51.9%34.9%37.2%
IV Percentile48.2%0.0%90.9%77.8%77.4%
Term Structure-2.7%-12.3%2.4%-8.1%-10.1%
VWIV23.3%13.2%34.3%25.9%33.9%
Skew 25d1.7%-20.4%19.7%-20.4%-12.1%
Skew 10d2.7%-16.7%17.7%9.5%5.3%
Call IV 25d19.4%10.5%33.5%32.7%30.7%
Put IV 25d21.1%12.3%36.1%12.3%18.6%
Bid-Ask Spread %130.9668.54159.81148.90156.44
Gamma HHI0.180.120.590.130.19
Net GEX26.0K-55.5K43.0K32.8K20.3K
Net DEX-378.4K-595.4K-140.6K-516.2K-232.6K
Net VEX-1.2K-1.4K-1.0K-1.4K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.140.190.150.17
Total Volume60.21738777042
Total OI66.39142827746

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$123.61$113.0023.8%6.8%9.5%34.9%25.9%-20.4%-8.1%32.8K-516.2K-1.4K0.15148.90N/AN/A619698
2017-08-02$123.49$113.009.9%2.8%9.4%0.0%17.9%2.0%1.1%36.2K-595.4K-1.1K0.14135.06N/AN/A639698
2017-08-03$122.50$0.0026.0%4.3%9.6%40.4%0.0%0.8%1.8%34.7K-498.7K-1.4K0.16159.81N/AN/A6310718
2017-08-04$123.03$0.0013.2%3.9%9.4%8.3%0.0%2.3%0.5%36.1K-558.1K-1.3K0.1668.54N/AN/A6310719
2017-08-07$123.25$0.0022.4%4.8%9.1%31.5%0.0%2.9%2.0%34.7K-533.8K-1.3K0.1697.57N/AN/A6310719
2017-08-08$122.20$0.0030.6%3.7%9.6%51.9%0.0%-1.5%0.7%37.9K-493.0K-1.3K0.16144.06N/AN/A6310719
2017-08-09$121.90$0.0020.0%5.7%8.8%25.3%0.0%2.3%-6.4%37.2K-483.1K-1.3K0.16136.01N/AN/A6310719
2017-08-10$120.65$0.0018.8%5.4%9.4%22.3%0.0%0.9%2.1%35.4K-455.6K-1.3K0.16132.92N/AN/A6310719
2017-08-11$120.54$0.0015.1%4.3%8.8%13.0%14.8%0.4%1.5%42.5K-434.3K-1.2K0.19112.64N/AN/A6312719
2017-08-14$121.57$120.0023.3%6.7%9.5%33.7%26.4%14.4%-12.3%43.0K-493.1K-1.2K0.19111.17N/AN/A63127111
2017-08-15$121.70$120.0023.2%6.7%9.5%33.4%27.7%13.8%-8.4%37.3K-517.6K-1.2K0.19129.39N/AN/A63127111
2017-08-16$122.47$120.0019.5%5.6%8.9%24.1%28.1%3.9%-4.5%35.7K-481.0K-1.2K0.19147.40N/AN/A63127111
2017-08-17$120.84$120.0015.3%4.4%9.6%13.5%16.6%3.6%-1.7%37.9K-446.6K-1.1K0.19133.60N/AN/A63127111
2017-08-18$120.93$120.0019.1%5.5%9.6%23.1%22.0%5.0%-3.8%-55.5K-499.9K-1.0K0.18156.60N/AN/A65127111
2017-08-21$120.86$120.0016.0%4.6%9.6%15.4%16.7%3.1%-3.3%15.1K-140.6K-1.0K0.1991.66N/AN/A326366
2017-08-22$122.31$120.0020.1%5.8%10.1%25.6%31.2%19.7%-1.7%17.3K-168.0K-1.0K0.19143.52N/AN/A326366
2017-08-23$122.31$120.0019.8%5.7%10.0%24.9%27.0%-11.4%-4.3%18.9K-188.5K-1.1K0.18158.56N/AN/A346396
2017-08-24$122.17$120.0012.2%3.5%9.8%5.8%13.2%2.4%1.0%18.7K-178.1K-1.1K0.18107.74N/AN/A336396
2017-08-25$122.53$120.0012.0%3.4%9.9%5.3%15.2%4.1%2.4%19.9K-195.8K-1.1K0.18119.88N/AN/A336406
2017-08-28$122.67$120.0012.1%3.5%9.8%5.4%13.5%2.5%1.0%19.8K-194.7K-1.1K0.18108.29N/AN/A336406
2017-08-29$122.30$120.0028.2%8.1%9.8%45.9%32.4%0.4%-9.1%21.6K-194.2K-1.1K0.18153.58N/AN/A336406
2017-08-30$123.06$120.0020.3%5.8%10.1%26.1%34.3%-0.1%-2.9%20.0K-203.5K-1.1K0.18158.62N/AN/A336406
2017-08-31$124.28$120.0024.7%7.1%10.2%37.2%33.9%-12.1%-10.1%20.3K-232.6K-1.1K0.17156.44N/AN/A366406