VAW Options History — January 2018

In January 2018, VAW traded between $138.77 and $144.45. ATM implied volatility averaged 12.5%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.1% (HV 20d: 10.4%). Max pain ranged from $129.00 to $136.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2018-01-10: Highest Volume — 284 contracts
  • 2018-01-10: Largest IV spike — 17.5% change
  • 2018-01-29: Highest IV Rank — 12.4%
  • 2018-01-29: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$142.10$138.77$144.45$138.77$141.69
Max Pain$133.05$129.00$136.00$135.00$136.00
ATM IV12.5%10.1%15.3%10.4%14.2%
Expected Move3.6%2.9%4.4%3.0%4.1%
HV 20d10.4%9.4%11.5%11.3%10.2%
HV 60d10.0%9.4%10.4%9.4%10.3%
IV Rank5.9%0.5%12.4%1.2%9.9%
IV Percentile21.6%1.2%45.6%1.6%39.3%
Term Structure1.2%-0.4%2.0%1.3%0.3%
VWIV16.3%10.7%20.7%12.9%17.6%
Skew 25d3.0%1.5%5.1%2.4%4.8%
Skew 10d7.0%4.9%10.6%5.2%9.6%
Call IV 25d12.0%9.7%13.6%9.7%12.9%
Put IV 25d15.0%11.7%18.6%12.2%17.8%
Bid-Ask Spread %52.6337.5875.5554.9756.51
Gamma HHI0.140.070.260.140.08
Net GEX50.7K9.6K92.2K42.3K18.8K
Net DEX-1.8M-2.1M-1.1M-1.1M-1.8M
Net VEX-6.8K-9.0K-4.8K-5.0K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.490.900.900.58
Total Volume245.381167284167283
Total OI341.286219438219438

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$138.77$135.0010.4%3.0%11.3%1.2%12.9%2.4%1.3%42.3K-1.1M-5.0K0.9054.97N/AN/A887913584
2018-01-03$139.75$135.0010.1%2.9%11.1%0.5%10.7%2.0%1.3%38.5K-1.2M-4.8K0.7975.55N/AN/A1179213584
2018-01-04$140.69$129.0010.9%3.4%10.8%2.3%15.0%2.1%1.8%81.8K-1.4M-5.6K0.8656.67N/AN/A120103164108
2018-01-05$141.82$129.0010.9%3.5%10.3%2.3%13.9%2.0%1.8%75.7K-1.6M-5.4K0.7757.45N/AN/A149114167108
2018-01-08$142.05$129.0011.8%3.7%10.2%4.3%16.7%2.2%1.4%70.1K-1.9M-6.2K0.8656.92N/AN/A146125195119
2018-01-09$141.58$133.0010.1%3.3%10.4%0.6%15.5%2.1%1.9%70.2K-1.8M-6.1K0.8440.88N/AN/A149125192130
2018-01-10$140.99$133.0011.9%3.4%10.7%4.6%14.8%2.4%1.8%84.0K-1.7M-6.6K0.7938.49N/AN/A159125201130
2018-01-11$143.06$133.0011.6%3.3%11.5%3.9%15.6%1.5%1.8%71.4K-2.1M-6.4K0.8561.07N/AN/A149126211130
2018-01-12$143.13$133.0012.9%3.7%11.5%6.9%17.1%2.3%1.7%69.9K-2.1M-6.4K0.6062.03N/AN/A15190212128
2018-01-16$141.57$133.0012.4%3.6%10.5%5.7%14.4%2.7%2.0%92.2K-1.9M-7.0K0.6758.13N/AN/A150101214143
2018-01-17$142.06$133.0013.0%3.7%10.4%7.2%16.7%2.9%1.2%70.4K-2.0M-7.0K0.6737.58N/AN/A150100214154
2018-01-18$141.73$133.0013.2%3.8%9.4%7.6%17.0%3.7%1.5%81.7K-1.9M-7.1K0.6544.36N/AN/A155100214155
2018-01-19$142.84$133.0012.9%3.7%9.5%6.9%16.0%3.1%1.3%24.4K-2.1M-7.1K0.6252.30N/AN/A161100219166
2018-01-22$142.63$133.0012.5%3.6%9.7%5.9%15.1%2.9%0.9%35.0K-1.8M-7.3K0.4951.05N/AN/A13566205142
2018-01-23$142.69$133.0012.6%3.6%9.7%6.3%17.0%3.3%0.5%33.4K-1.9M-7.2K0.5443.68N/AN/A13573205143
2018-01-24$143.23$133.0013.2%3.8%9.7%7.5%18.5%3.7%0.6%30.0K-1.9M-7.2K0.6450.25N/AN/A13586206150
2018-01-25$144.03$133.0013.7%3.9%9.7%8.7%19.5%4.1%0.7%15.0K-1.9M-7.3K0.5952.39N/AN/A14888206163
2018-01-26$144.45$135.0013.4%3.8%9.7%8.1%19.6%3.8%0.6%19.2K-2.0M-7.6K0.6651.78N/AN/A14898217166
2018-01-29$143.29$135.0015.3%4.4%10.4%12.4%20.7%4.5%-0.4%9.6K-1.8M-7.9K0.5853.91N/AN/A16998217177
2018-01-30$142.03$135.0015.1%4.3%11.1%11.9%18.6%5.1%0.4%30.4K-1.9M-8.8K0.5349.20N/AN/A17493243177
2018-01-31$141.69$136.0014.2%4.1%10.2%9.9%17.6%4.8%0.3%18.8K-1.8M-9.0K0.5856.51N/AN/A179104248190