VAW Options History — April 2018

In April 2018, VAW traded between $126.02 and $136.39. ATM implied volatility averaged 20.9%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.4% (HV 20d: 24.3%). Max pain ranged from $126.00 to $132.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2018-04-03: Highest Volume — 363 contracts
  • 2018-04-18: Largest IV spike — 45.0% change
  • 2018-04-04: Highest IV Rank — 45.2%
  • 2018-04-04: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.38$126.02$136.39$126.02$129.74
Max Pain$126.86$126.00$132.00$132.00$126.00
ATM IV20.9%15.6%29.5%25.3%20.6%
Expected Move5.8%4.5%8.5%7.3%5.9%
HV 20d24.3%21.0%26.4%22.9%21.0%
HV 60d21.7%20.2%22.7%20.2%22.7%
IV Rank25.4%13.1%45.2%35.5%24.6%
IV Percentile66.2%42.1%93.7%87.3%67.5%
Term Structure-2.1%-13.7%3.1%1.0%-5.9%
VWIV21.9%17.2%33.9%33.3%26.0%
Skew 25d6.7%-1.5%27.7%-1.5%8.8%
Skew 10d8.1%-12.0%29.0%-3.4%2.0%
Call IV 25d22.0%14.5%39.8%39.8%30.8%
Put IV 25d28.7%18.8%48.7%38.3%39.6%
Bid-Ask Spread %119.9995.16133.83129.56132.68
Gamma HHI0.110.090.130.120.09
Net GEX135.7K86.6K175.7K86.6K136.6K
Net DEX-1.1M-1.9M81.7K-229.4K-966.2K
Net VEX-8.4K-9.1K-7.5K-8.5K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.220.300.290.30
Total Volume342306363306338
Total OI462.571414505414505

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$126.02$132.0025.3%7.3%22.9%35.5%33.3%-1.5%1.0%86.6K-229.4K-8.5K0.29129.56N/AN/A23868285129
2018-04-03$127.72$132.0023.4%6.7%23.2%31.0%22.2%4.6%-6.1%90.6K81.7K-7.5K0.23122.86N/AN/A29568285130
2018-04-04$128.72$132.0029.5%8.5%23.0%45.2%33.9%27.7%-13.7%106.1K-476.3K-9.0K0.22126.38N/AN/A29565322130
2018-04-05$131.13$126.0026.9%5.3%24.2%39.0%18.9%12.0%-2.1%130.9K-878.4K-9.1K0.23102.45N/AN/A28665322130
2018-04-06$128.16$126.0022.5%5.7%25.4%29.0%20.5%4.4%-0.3%121.2K-539.4K-8.5K0.23101.53N/AN/A28667321130
2018-04-09$129.14$126.0023.9%6.4%24.4%32.2%20.5%3.4%-1.6%127.9K-620.3K-8.5K0.2495.16N/AN/A27467321132
2018-04-10$131.68$126.0021.4%5.5%25.7%26.4%18.8%2.8%-0.4%131.2K-1.0M-9.1K0.24125.35N/AN/A27467322132
2018-04-11$130.58$126.0020.8%6.0%25.8%25.0%21.1%-0.3%-0.7%129.4K-1.0M-8.8K0.24129.79N/AN/A27467322132
2018-04-12$132.31$126.0020.0%5.7%26.0%23.1%19.0%9.8%0.4%147.0K-1.1M-8.6K0.24108.02N/AN/A27467322132
2018-04-13$131.72$126.0018.6%5.3%25.8%19.9%19.2%3.2%1.9%151.3K-1.3M-8.8K0.24120.41N/AN/A27467322132
2018-04-16$133.65$126.0017.8%5.1%26.4%18.3%20.1%3.7%3.1%175.7K-1.4M-8.4K0.24121.14N/AN/A27467322132
2018-04-17$135.36$126.0015.6%4.5%26.1%13.1%20.6%6.4%1.1%124.6K-1.7M-8.7K0.24133.77N/AN/A27467322132
2018-04-18$136.39$126.0022.6%6.5%26.2%29.3%22.9%8.9%-6.2%123.3K-1.9M-8.8K0.24119.25N/AN/A27767325132
2018-04-19$135.18$126.0018.0%5.1%26.1%18.6%17.4%4.5%-0.0%156.1K-1.9M-7.8K0.26118.99N/AN/A27772328132
2018-04-20$134.07$126.0016.9%4.8%23.3%16.1%17.2%4.3%0.6%125.6K-1.7M-8.0K0.2597.02N/AN/A28872328137
2018-04-23$133.46$126.0017.3%5.0%22.2%17.1%18.8%4.8%-0.3%163.0K-1.5M-8.4K0.27110.98N/AN/A25267341134
2018-04-24$129.99$126.0021.7%6.2%23.6%27.2%22.0%2.7%-5.8%150.4K-1.0M-8.3K0.30127.45N/AN/A25979341135
2018-04-25$130.96$126.0018.7%5.4%23.3%20.3%21.4%7.0%-1.3%156.3K-931.8K-8.3K0.30131.51N/AN/A25979355150
2018-04-26$131.87$126.0018.8%5.4%23.0%20.6%23.4%5.3%-3.2%162.6K-1.2M-8.4K0.30133.83N/AN/A25979355150
2018-04-27$131.20$126.0019.1%5.5%22.3%21.3%22.0%17.8%-4.7%152.3K-975.3K-8.2K0.30131.56N/AN/A25979355150
2018-04-30$129.74$126.0020.6%5.9%21.0%24.6%26.0%8.8%-5.9%136.6K-966.2K-7.8K0.30132.68N/AN/A25979355150