VAW Options History — March 2018

In March 2018, VAW traded between $126.62 and $138.41. ATM implied volatility averaged 21.3%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.6% (HV 20d: 18.8%). Max pain ranged from $132.00 to $136.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-03-15: Highest Volume — 352 contracts
  • 2018-03-13: Largest IV spike — 77.4% change
  • 2018-03-13: Highest IV Rank — 59.7%
  • 2018-03-02: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.12$126.62$138.41$133.53$128.97
Max Pain$134.10$132.00$136.00$135.00$132.00
ATM IV21.3%15.4%35.8%23.3%23.0%
Expected Move5.3%4.3%7.4%6.7%6.6%
HV 20d18.8%14.6%24.8%24.8%21.6%
HV 60d17.7%16.7%19.7%16.9%19.7%
IV Rank26.3%12.7%59.7%30.9%30.1%
IV Percentile66.5%44.4%98.4%81.3%79.4%
Term Structure-0.0%-10.1%6.9%-8.1%-1.8%
VWIV20.4%14.5%31.5%31.5%28.8%
Skew 25d2.1%-12.8%7.5%-3.8%-0.6%
Skew 10d6.3%-8.8%19.9%19.9%6.3%
Call IV 25d22.5%13.1%37.6%36.0%34.1%
Put IV 25d24.6%17.3%36.9%32.2%33.5%
Bid-Ask Spread %117.8572.35141.35134.24136.74
Gamma HHI0.120.090.180.100.12
Net GEX113.1K54.4K275.3K123.7K95.5K
Net DEX-597.2K-1.4M93.2K-581.8K-248.7K
Net VEX-9.1K-10.7K-7.6K-10.6K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.290.600.500.29
Total Volume295.333238352307307
Total OI420.857330472454414

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$133.53$135.0023.3%6.7%24.8%30.9%31.5%-3.8%-8.1%123.7K-581.8K-10.6K0.50134.24N/AN/A204103297157
2018-03-02$133.70$135.0025.8%7.4%24.5%36.5%31.3%-0.7%-10.1%119.8K-427.9K-10.5K0.54136.25N/AN/A190103297158
2018-03-05$135.04$135.0026.3%5.6%23.3%37.6%21.7%5.6%-4.9%135.0K-645.0K-10.3K0.54114.46N/AN/A193104299158
2018-03-06$136.40$135.0017.8%4.9%20.7%18.2%17.8%5.0%-0.9%179.7K-1.0M-10.4K0.6099.37N/AN/A193115302159
2018-03-07$136.29$135.0028.6%5.0%19.7%43.1%21.1%4.8%0.1%109.5K-1.1M-10.7K0.60137.22N/AN/A193116302170
2018-03-08$135.81$135.0018.2%4.5%19.7%19.0%18.1%6.0%2.0%167.0K-654.6K-9.5K0.6097.40N/AN/A193116277171
2018-03-09$138.36$135.0031.8%4.3%15.8%50.3%16.4%2.4%1.2%109.8K-1.2M-9.4K0.60141.35N/AN/A193116277171
2018-03-12$138.41$135.0020.2%4.7%15.5%23.7%15.7%2.4%0.1%140.0K-1.4M-9.0K0.6083.17N/AN/A193116277171
2018-03-13$137.60$135.0035.8%4.7%14.6%59.7%18.1%-3.3%-2.3%146.3K-1.3M-8.8K0.6097.62N/AN/A193116277171
2018-03-14$135.69$135.0016.8%4.8%15.6%15.8%17.2%5.0%0.3%275.3K-725.1K-8.7K0.5272.35N/AN/A222116277171
2018-03-15$134.24$135.0015.8%4.5%15.0%13.6%14.5%0.6%3.5%79.7K-562.4K-8.8K0.52141.23N/AN/A232120261171
2018-03-16$134.29$136.0015.4%4.4%14.9%12.7%15.1%1.8%0.4%57.4K-387.7K-8.6K0.52139.93N/AN/A232120283175
2018-03-19$132.30$136.0017.8%5.1%15.6%18.1%17.7%6.1%-2.2%54.4K-194.0K-8.1K0.45112.17N/AN/A16474203127
2018-03-20$131.80$135.0017.3%5.0%15.4%17.1%17.5%2.9%2.0%58.2K-272.3K-8.3K0.43104.76N/AN/A17174212127
2018-03-21$133.40$132.0015.6%4.5%16.2%13.2%18.1%6.2%3.5%106.1K-787.9K-9.3K0.43116.35N/AN/A17174253127
2018-03-22$129.12$132.0018.9%5.4%19.6%20.7%17.2%1.3%6.0%87.6K-337.2K-8.4K0.40136.47N/AN/A17168253127
2018-03-23$126.84$132.0017.5%5.0%19.4%17.5%22.4%-12.8%6.9%77.8K-217.1K-8.5K0.40126.58N/AN/A17168253128
2018-03-26$129.28$132.0021.2%6.1%20.9%26.0%19.1%5.1%0.0%82.5K93.2K-7.6K0.31107.90N/AN/A22669253128
2018-03-27$127.93$132.0019.1%5.5%20.9%21.1%20.0%7.5%0.7%87.3K-315.8K-8.7K0.31111.50N/AN/A22669273129
2018-03-28$126.62$132.0021.8%6.3%20.3%27.5%29.2%2.1%3.4%81.5K-296.8K-8.6K0.29127.79N/AN/A23869273129
2018-03-29$128.97$132.0023.0%6.6%21.6%30.1%28.8%-0.6%-1.8%95.5K-248.7K-8.6K0.29136.74N/AN/A23869285129