VAW Options History — October 2017

In October 2017, VAW traded between $130.05 and $134.23. ATM implied volatility averaged 14.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 7.9% (HV 20d: 6.9%). Max pain ranged from $115.00 to $128.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.18.

Notable Days

  • 2017-10-31: Highest Volume — 111 contracts
  • 2017-10-10: Largest IV drop — 63.0% change
  • 2017-10-09: Highest IV Rank — 45.5%
  • 2017-10-04: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.00$130.05$134.23$130.05$133.28
Max Pain$117.74$115.00$128.00$115.00$128.00
ATM IV14.8%9.9%29.7%21.8%12.6%
Expected Move4.0%2.8%6.6%6.2%3.6%
HV 20d6.9%6.3%8.7%8.7%6.7%
HV 60d8.9%8.5%9.5%9.5%8.7%
IV Rank11.2%0.1%45.5%27.3%6.3%
IV Percentile22.0%0.4%88.1%60.3%11.1%
Term Structure-0.8%-11.2%2.7%-9.0%0.9%
VWIV13.6%11.1%17.6%16.9%12.9%
Skew 25d1.6%-14.6%5.9%-3.9%2.8%
Skew 10d5.2%-6.0%10.4%8.2%6.1%
Call IV 25d14.1%9.4%26.6%24.1%11.0%
Put IV 25d15.6%11.4%30.1%20.2%13.8%
Bid-Ask Spread %92.5752.03148.16148.1676.39
Gamma HHI0.180.140.280.280.15
Net GEX36.9K22.5K59.1K33.6K58.0K
Net DEX-682.6K-901.7K-463.3K-463.3K-872.9K
Net VEX-1.8K-2.7K-993-1.0K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.110.430.120.35
Total Volume64.7733811138111
Total OI87.5455414854148

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$130.05$0.0021.8%6.2%8.7%27.3%0.0%-3.9%-9.0%33.6K-463.3K-1.0K0.12148.16N/AN/A344504
2017-10-03$130.80$0.0014.5%4.2%7.1%10.7%0.0%-3.6%-2.5%27.6K-524.1K-9930.12142.84N/AN/A344524
2017-10-04$130.75$0.0023.2%6.6%7.2%30.6%0.0%-14.6%-11.2%28.8K-494.3K-1.1K0.12146.78N/AN/A344524
2017-10-05$131.40$115.0023.8%4.0%7.3%32.0%16.9%5.0%-2.7%22.5K-487.7K-1.1K0.12139.85N/AN/A344524
2017-10-06$131.19$115.0025.1%5.4%7.4%35.0%15.4%4.6%-4.8%24.3K-499.2K-1.1K0.18134.06N/AN/A346524
2017-10-09$131.11$115.0029.7%4.8%6.8%45.5%11.8%3.0%0.8%25.3K-523.5K-1.0K0.14114.28N/AN/A446526
2017-10-10$131.02$115.0011.0%5.6%6.5%2.5%11.6%3.5%-6.1%29.4K-573.2K-1.5K0.14103.14N/AN/A446626
2017-10-11$131.18$115.0014.9%4.3%6.4%11.4%17.6%5.3%-2.0%27.3K-536.0K-1.6K0.14141.62N/AN/A446626
2017-10-12$131.45$115.0014.1%4.1%6.4%9.8%16.5%5.9%-0.4%28.9K-565.7K-1.5K0.14140.85N/AN/A446626
2017-10-13$132.21$115.0010.5%3.0%6.5%1.5%14.2%2.1%2.7%27.6K-627.0K-1.3K0.1167.52N/AN/A566626
2017-10-16$132.07$115.0010.7%3.1%6.3%1.9%11.1%1.9%2.2%39.0K-759.6K-2.2K0.1154.92N/AN/A566846
2017-10-17$131.60$115.0010.7%3.1%6.5%1.9%13.9%2.1%2.0%40.1K-743.0K-2.2K0.1152.03N/AN/A566846
2017-10-18$131.46$115.0011.1%3.2%6.4%2.8%13.9%2.1%2.1%40.6K-740.0K-2.2K0.1156.16N/AN/A566846
2017-10-19$131.78$115.0010.7%3.1%6.3%1.8%13.5%2.4%1.8%39.3K-753.9K-2.1K0.1152.97N/AN/A566846
2017-10-20$132.78$115.009.9%2.8%6.5%0.1%12.7%2.0%2.5%37.4K-787.4K-2.1K0.1165.45N/AN/A566846
2017-10-23$132.58$115.0010.8%3.1%6.6%2.0%14.0%1.7%1.1%37.2K-788.8K-2.0K0.1472.39N/AN/A568846
2017-10-24$133.47$115.0010.8%3.1%6.7%2.1%11.7%1.4%1.7%33.4K-809.5K-2.0K0.1277.95N/AN/A587848
2017-10-25$132.88$115.0012.3%3.5%6.8%5.5%13.1%2.9%1.4%52.7K-832.5K-2.3K0.4367.92N/AN/A6829969
2017-10-26$134.23$128.0011.9%3.4%7.2%4.7%12.6%2.1%1.0%43.3K-901.7K-2.5K0.3761.69N/AN/A792910631
2017-10-27$133.61$128.0011.9%3.4%7.6%4.7%12.5%2.6%1.2%59.1K-898.5K-2.7K0.3762.07N/AN/A792911731
2017-10-30$133.03$128.0013.1%3.8%6.9%7.4%13.2%3.0%0.7%57.0K-834.6K-2.6K0.3757.53N/AN/A792911731
2017-10-31$133.28$128.0012.6%3.6%6.7%6.3%12.9%2.8%0.9%58.0K-872.9K-2.6K0.3576.39N/AN/A822911731