VAW Options History — February 2018

In February 2018, VAW traded between $129.74 and $139.80. ATM implied volatility averaged 20.8%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.6% (HV 20d: 21.4%). Max pain ranged from $135.00 to $146.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2018-02-13: Highest Volume — 432 contracts
  • 2018-02-05: Largest IV spike — 61.2% change
  • 2018-02-05: Highest IV Rank — 45.6%
  • 2018-02-09: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.29$129.74$139.80$139.80$134.40
Max Pain$138.95$135.00$146.00$146.00$135.00
ATM IV20.8%14.8%29.7%14.8%23.5%
Expected Move5.7%4.2%7.5%4.2%6.7%
HV 20d21.4%11.1%24.8%11.1%24.8%
HV 60d15.3%10.7%16.9%10.7%16.9%
IV Rank25.0%11.4%45.6%11.4%31.3%
IV Percentile66.0%43.7%92.5%43.7%81.3%
Term Structure-0.9%-4.7%5.2%0.3%-3.0%
VWIV19.5%13.6%26.1%13.6%26.1%
Skew 25d3.9%-2.4%13.8%3.2%2.4%
Skew 10d10.6%-3.5%31.5%4.2%4.1%
Call IV 25d23.6%12.9%37.5%12.9%37.5%
Put IV 25d27.5%16.1%43.5%16.1%39.9%
Bid-Ask Spread %106.0534.68134.3234.68133.69
Gamma HHI0.130.080.780.090.09
Net GEX115.7K-28.0K1.2M1.1K102.4K
Net DEX-612.4K-1.5M617.1K-1.4M-1.1M
Net VEX-10.9K-11.6K-9.8K-9.8K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.490.690.690.50
Total Volume352.263272432303311
Total OI507.316407606454454

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$139.80$146.0014.8%4.2%11.1%11.4%13.6%3.2%0.3%1.1K-1.4M-9.8K0.6934.68N/AN/A179124253201
2018-02-02$136.33$146.0018.4%4.8%14.0%19.6%14.9%1.4%-0.1%-28.0K-374.1K-10.4K0.6345.58N/AN/A213134253223
2018-02-05$132.26$146.0029.7%6.7%16.8%45.6%21.4%2.6%-2.4%22.1K433.8K-10.5K0.6245.80N/AN/A227141287233
2018-02-06$134.82$142.0029.2%6.6%18.6%44.5%18.9%-2.4%1.0%32.2K-182.1K-11.3K0.62119.85N/AN/A228141301234
2018-02-07$134.28$142.0019.1%5.5%18.6%21.3%19.2%-2.0%4.2%41.2K-372.8K-11.2K0.63121.62N/AN/A235149303234
2018-02-08$129.74$142.0019.7%5.6%21.8%22.6%24.9%-0.7%5.2%37.4K301.5K-10.9K0.63109.12N/AN/A235149311242
2018-02-09$131.27$142.0026.1%7.5%21.4%37.3%22.5%0.7%1.7%36.0K617.1K-10.6K0.59112.16N/AN/A256151311243
2018-02-12$133.72$142.0023.1%6.6%22.9%30.5%19.7%13.8%-2.7%44.3K-38.4K-11.6K0.59109.54N/AN/A256151337244
2018-02-13$133.67$142.0020.6%5.9%22.7%24.6%19.9%9.4%-0.7%32.7K-77.8K-11.3K0.5487.99N/AN/A281151337244
2018-02-14$135.77$135.0020.3%5.8%23.6%24.0%17.4%-1.0%-2.4%49.8K-622.6K-11.6K0.54120.94N/AN/A260141362244
2018-02-15$136.44$135.0018.0%5.2%23.7%18.6%18.0%3.6%-0.4%33.8K-970.5K-11.5K0.54132.19N/AN/A260141362244
2018-02-16$137.04$135.0021.2%6.1%23.6%26.0%17.8%0.4%-3.8%1.2M-1.1M-11.2K0.54125.19N/AN/A261141362244
2018-02-20$136.02$135.0019.6%5.6%23.6%22.2%20.1%4.5%-1.9%64.1K-800.8K-10.8K0.5996.66N/AN/A171101252155
2018-02-21$135.72$135.0018.2%5.2%23.6%19.2%20.3%-1.5%0.6%58.2K-948.5K-11.0K0.59134.32N/AN/A172101256155
2018-02-22$136.09$135.0019.0%5.5%23.6%21.0%22.6%12.2%-4.7%65.2K-930.3K-10.9K0.49122.68N/AN/A205101257155
2018-02-23$137.85$135.0016.3%4.7%24.0%14.8%16.9%4.6%-3.4%140.4K-1.2M-10.9K0.49105.72N/AN/A205101293155
2018-02-26$138.45$135.0021.7%6.2%24.1%27.2%19.2%12.6%-4.4%95.7K-1.5M-10.9K0.50133.07N/AN/A205103293155
2018-02-27$136.88$135.0015.9%4.6%24.2%13.9%17.8%10.1%-0.7%130.2K-1.3M-10.8K0.49124.14N/AN/A209103293157
2018-02-28$134.40$135.0023.5%6.7%24.8%31.3%26.1%2.4%-3.0%102.4K-1.1M-10.9K0.50133.69N/AN/A208103297157