VAW Options History — December 2017

In December 2017, VAW traded between $132.33 and $137.00. ATM implied volatility averaged 12.4%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.7% (HV 20d: 10.7%). Max pain ranged from $129.00 to $135.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2017-12-26: Highest Volume — 173 contracts
2017-12-13: Largest IV drop — 13.0% change
2017-12-04: Highest IV Rank — 12.9%
2017-12-01: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$134.77	$132.33	$137.00	$133.48	$136.84
Max Pain	$132.67	$129.00	$135.00	$129.00	$135.00
ATM IV	12.4%	10.3%	15.5%	14.3%	11.3%
Expected Move	3.4%	3.0%	4.1%	4.1%	3.2%
HV 20d	10.7%	9.3%	11.6%	9.7%	10.8%
HV 60d	8.8%	8.2%	9.5%	8.2%	9.1%
IV Rank	5.9%	1.0%	12.9%	10.2%	3.3%
IV Percentile	15.2%	1.2%	35.7%	29.4%	7.9%
Term Structure	1.1%	-1.0%	1.7%	-1.0%	1.2%
VWIV	13.3%	11.8%	14.2%	14.2%	13.6%
Skew 25d	2.4%	2.0%	3.0%	2.7%	2.3%
Skew 10d	4.8%	3.9%	6.6%	5.1%	5.2%
Call IV 25d	11.1%	9.9%	13.2%	13.0%	10.5%
Put IV 25d	13.5%	12.0%	15.7%	15.7%	12.8%
Bid-Ask Spread %	35.07	19.96	62.80	62.80	46.73
Gamma HHI	0.16	0.12	0.30	0.12	0.14
Net GEX	55.0K	33.0K	94.5K	45.2K	41.5K
Net DEX	-672.6K	-907.9K	-508.5K	-537.8K	-907.9K
Net VEX	-3.4K	-5.6K	-2.2K	-2.5K	-5.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.33	0.94	0.48	0.90
Total Volume	125.3	69	173	93	167
Total OI	164.95	105	215	145	215

Daily Data (20 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
2017-12-01	$133.48	$129.00	14.3%	4.1%	9.7%	10.2%	14.2%	2.7%	-1.0%	45.2K	-537.8K	-2.5K	0.48	62.80	N/A	N/A	63	30	106	39
2017-12-04	$134.78	$0.00	15.5%	3.8%	10.3%	12.9%	0.0%	2.1%	1.1%	72.8K	-662.4K	-2.4K	0.46	25.87	N/A	N/A	72	33	106	34
2017-12-05	$134.04	$0.00	14.5%	3.7%	10.4%	10.5%	0.0%	3.0%	1.1%	69.3K	-626.0K	-2.7K	0.46	21.82	N/A	N/A	72	33	117	37
2017-12-06	$133.02	$0.00	14.5%	3.7%	10.8%	10.7%	0.0%	2.5%	1.1%	58.7K	-537.6K	-2.6K	0.46	19.96	N/A	N/A	72	33	117	37
2017-12-07	$133.95	$0.00	13.6%	3.5%	11.1%	8.5%	0.0%	2.3%	1.0%	74.2K	-604.3K	-2.6K	0.46	24.97	N/A	N/A	72	33	117	37
2017-12-08	$133.93	$0.00	12.7%	3.4%	10.4%	6.4%	0.0%	2.3%	1.3%	79.3K	-598.9K	-2.6K	0.46	27.39	N/A	N/A	72	33	117	37
2017-12-11	$134.12	$0.00	13.5%	3.4%	10.3%	8.4%	0.0%	2.0%	1.1%	85.9K	-613.9K	-2.4K	0.46	27.52	N/A	N/A	72	33	117	37
2017-12-12	$134.13	$0.00	12.9%	3.2%	10.2%	7.0%	0.0%	2.4%	1.4%	84.8K	-605.5K	-2.3K	0.46	29.96	N/A	N/A	72	33	117	37
2017-12-13	$134.49	$0.00	11.2%	3.2%	9.3%	3.1%	0.0%	2.2%	1.5%	94.5K	-632.3K	-2.3K	0.46	32.85	N/A	N/A	72	33	117	37
2017-12-14	$132.33	$0.00	11.5%	3.3%	11.1%	3.6%	0.0%	2.5%	1.7%	48.2K	-508.5K	-2.2K	0.47	24.38	N/A	N/A	72	34	117	37
2017-12-15	$133.03	$0.00	11.1%	3.2%	10.2%	2.7%	0.0%	2.4%	1.1%	36.0K	-539.4K	-2.3K	0.43	27.49	N/A	N/A	79	34	117	40
2017-12-18	$135.19	$0.00	11.6%	3.3%	11.6%	3.9%	12.6%	2.0%	0.9%	33.0K	-644.3K	-2.5K	0.33	33.91	N/A	N/A	52	17	85	20
2017-12-19	$135.08	$130.00	11.2%	3.2%	11.6%	3.1%	12.5%	2.1%	1.1%	34.4K	-647.4K	-2.5K	0.88	35.58	N/A	N/A	76	67	86	22
2017-12-20	$135.50	$130.00	11.3%	3.2%	11.5%	3.2%	12.5%	2.1%	1.1%	36.1K	-670.1K	-4.9K	0.83	51.21	N/A	N/A	81	67	110	72
2017-12-21	$135.73	$130.00	10.3%	3.0%	11.5%	1.0%	11.8%	2.1%	1.5%	41.1K	-719.8K	-5.0K	0.77	46.38	N/A	N/A	88	68	115	72
2017-12-22	$136.14	$135.00	11.7%	3.3%	11.4%	4.1%	13.3%	2.2%	1.2%	42.0K	-797.3K	-5.3K	0.72	37.10	N/A	N/A	94	68	124	73
2017-12-26	$136.15	$135.00	12.4%	3.6%	11.2%	5.8%	14.2%	2.6%	1.2%	45.2K	-851.6K	-5.5K	0.84	44.65	N/A	N/A	94	79	130	73
2017-12-27	$136.38	$135.00	12.1%	3.5%	10.7%	5.1%	14.0%	2.6%	1.4%	39.2K	-843.2K	-5.6K	0.84	38.24	N/A	N/A	94	79	130	84
2017-12-28	$137.00	$135.00	11.6%	3.3%	10.8%	4.0%	14.1%	2.8%	1.4%	38.8K	-904.3K	-5.4K	0.94	42.66	N/A	N/A	84	79	130	84
2017-12-29	$136.84	$135.00	11.3%	3.2%	10.8%	3.3%	13.6%	2.3%	1.2%	41.5K	-907.9K	-5.4K	0.90	46.73	N/A	N/A	88	79	131	84