VAW Options History — November 2017

In November 2017, VAW traded between $129.61 and $134.47. ATM implied volatility averaged 12.9%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.3% (HV 20d: 8.5%). Max pain ranged from $126.00 to $138.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.30.

Notable Days

2017-11-16: Highest Volume — 151 contracts
2017-11-21: Largest IV drop — 10.9% change
2017-11-14: Highest IV Rank — 10.2%
2017-11-14: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$132.35	$129.61	$134.47	$133.90	$134.47
Max Pain	$131.95	$126.00	$138.00	$128.00	$129.00
ATM IV	12.9%	11.2%	14.3%	12.5%	13.3%
Expected Move	3.7%	3.2%	4.1%	3.6%	3.8%
HV 20d	8.5%	6.8%	10.1%	6.8%	9.5%
HV 60d	8.3%	7.9%	8.6%	8.5%	8.0%
IV Rank	6.9%	3.0%	10.2%	6.0%	7.9%
IV Percentile	15.2%	5.6%	25.4%	10.7%	21.8%
Term Structure	0.1%	-1.4%	1.2%	1.2%	-1.4%
VWIV	11.8%	10.4%	13.6%	13.4%	13.0%
Skew 25d	2.8%	2.2%	3.3%	2.3%	2.5%
Skew 10d	5.2%	3.7%	7.0%	5.6%	4.1%
Call IV 25d	12.0%	10.3%	13.0%	11.9%	11.6%
Put IV 25d	14.7%	12.6%	16.3%	14.2%	14.1%
Bid-Ask Spread %	39.31	19.84	68.78	68.78	62.60
Gamma HHI	0.15	0.11	0.27	0.17	0.14
Net GEX	41.8K	-27.0K	71.4K	66.6K	71.4K
Net DEX	-702.5K	-958.2K	-531.0K	-958.2K	-698.9K
Net VEX	-2.4K	-2.7K	-2.1K	-2.6K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.17	0.57	0.35	0.57
Total Volume	121.143	94	151	111	99
Total OI	152.667	107	192	151	129

Daily Data (21 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
2017-11-01	$133.90	$128.00	12.5%	3.6%	6.8%	6.0%	13.4%	2.3%	1.2%	66.6K	-958.2K	-2.6K	0.35	68.78	N/A	N/A	82	29	120	31
2017-11-02	$133.20	$0.00	12.7%	3.9%	7.0%	6.4%	12.1%	2.8%	0.1%	59.0K	-891.4K	-2.6K	0.31	25.56	N/A	N/A	93	29	120	31
2017-11-03	$132.91	$138.00	12.3%	3.9%	7.1%	5.7%	12.1%	2.9%	-0.0%	66.4K	-885.8K	-2.7K	0.31	19.84	N/A	N/A	93	29	131	31
2017-11-06	$132.57	$138.00	12.9%	4.0%	7.1%	6.9%	12.4%	2.8%	-0.3%	57.0K	-845.6K	-2.5K	0.31	21.59	N/A	N/A	93	29	131	31
2017-11-07	$132.56	$138.00	12.3%	3.9%	7.1%	5.6%	11.5%	3.0%	0.1%	53.9K	-825.7K	-2.5K	0.28	27.85	N/A	N/A	104	29	131	31
2017-11-08	$132.58	$137.00	12.9%	3.7%	7.1%	7.0%	11.2%	3.2%	0.5%	62.3K	-864.8K	-2.5K	0.28	22.20	N/A	N/A	104	29	142	31
2017-11-09	$131.29	$137.00	14.1%	4.0%	8.0%	9.7%	11.4%	3.2%	0.0%	26.7K	-712.5K	-2.5K	0.28	27.37	N/A	N/A	104	29	142	31
2017-11-10	$130.95	$137.00	14.2%	4.1%	7.7%	9.9%	11.5%	3.3%	0.2%	14.7K	-681.8K	-2.4K	0.28	30.25	N/A	N/A	104	29	142	31
2017-11-13	$131.63	$137.00	13.8%	3.9%	8.0%	8.9%	11.3%	3.2%	0.2%	6.2K	-736.7K	-2.3K	0.27	25.62	N/A	N/A	106	29	142	31
2017-11-14	$130.29	$137.00	14.3%	4.1%	8.7%	10.2%	11.3%	3.3%	-0.2%	-13.7K	-603.6K	-2.2K	0.27	35.52	N/A	N/A	106	29	144	31
2017-11-15	$129.61	$132.00	14.0%	4.0%	8.8%	9.5%	11.6%	3.1%	0.5%	-13.9K	-544.2K	-2.2K	0.28	38.35	N/A	N/A	109	31	147	32
2017-11-16	$131.36	$126.00	13.1%	3.7%	10.1%	7.3%	10.9%	2.7%	0.6%	-27.0K	-710.0K	-2.2K	0.26	43.70	N/A	N/A	120	31	147	34
2017-11-17	$131.71	$126.00	12.5%	3.6%	9.8%	6.0%	10.4%	3.1%	1.2%	61.2K	-735.6K	-2.3K	0.26	33.40	N/A	N/A	120	31	158	34
2017-11-20	$131.90	$126.00	12.6%	3.6%	9.8%	6.1%	12.0%	2.6%	0.1%	63.3K	-560.3K	-2.2K	0.17	47.18	N/A	N/A	80	14	101	6
2017-11-21	$132.68	$128.00	11.2%	3.2%	9.7%	3.0%	11.2%	2.3%	0.4%	61.0K	-575.9K	-2.3K	0.31	58.85	N/A	N/A	80	25	101	17
2017-11-22	$132.51	$129.00	11.6%	3.3%	9.6%	3.8%	11.7%	2.4%	-0.1%	46.4K	-537.3K	-2.4K	0.31	46.67	N/A	N/A	80	25	101	28
2017-11-24	$133.09	$129.00	12.0%	3.4%	9.0%	4.9%	11.5%	2.2%	-0.2%	48.4K	-581.8K	-2.3K	0.31	43.64	N/A	N/A	80	25	101	28
2017-11-27	$132.38	$129.00	12.6%	3.6%	9.0%	6.3%	12.3%	2.4%	-0.4%	40.0K	-531.0K	-2.2K	0.31	48.17	N/A	N/A	80	25	101	28
2017-11-28	$133.68	$129.00	12.3%	3.5%	9.6%	5.7%	12.4%	2.3%	-0.2%	59.3K	-629.3K	-2.2K	0.31	50.40	N/A	N/A	80	25	101	28
2017-11-29	$133.99	$129.00	13.0%	3.7%	9.6%	7.0%	13.6%	2.4%	-0.9%	67.8K	-643.0K	-2.3K	0.31	48.06	N/A	N/A	80	25	101	28
2017-11-30	$134.47	$129.00	13.3%	3.8%	9.5%	7.9%	13.0%	2.5%	-1.4%	71.4K	-698.9K	-2.1K	0.57	62.60	N/A	N/A	63	36	101	28