VAW Options History — May 2018

In May 2018, VAW traded between $128.67 and $136.42. ATM implied volatility averaged 19.2%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.9% (HV 20d: 15.4%). Max pain ranged from $126.00 to $130.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2018-05-17: Highest Volume — 375 contracts
  • 2018-05-09: Largest IV drop — 49.5% change
  • 2018-05-08: Highest IV Rank — 47.1%
  • 2018-05-02: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.15$128.67$136.42$128.67$132.93
Max Pain$129.64$126.00$130.00$126.00$130.00
ATM IV19.2%12.9%30.3%22.6%22.1%
Expected Move5.1%3.7%7.7%6.5%6.3%
HV 20d15.4%11.3%20.7%20.7%12.2%
HV 60d19.8%18.9%22.2%22.2%19.1%
IV Rank21.5%6.9%47.1%29.3%28.1%
IV Percentile58.4%25.4%96.0%77.0%74.6%
Term Structure-2.0%-9.1%3.3%-9.1%-4.6%
VWIV17.9%11.6%29.5%26.6%25.1%
Skew 25d3.9%-8.5%16.6%4.5%8.8%
Skew 10d3.9%-16.3%24.4%-16.3%3.8%
Call IV 25d23.0%13.6%36.5%36.5%34.0%
Put IV 25d26.9%15.3%42.8%41.0%42.8%
Bid-Ask Spread %133.34105.13154.42134.91152.01
Gamma HHI0.160.080.830.100.19
Net GEX166.7K4.8K732.1K128.3K4.8K
Net DEX-1.1M-3.1M71.4K-427.0K-38.6K
Net VEX-5.8K-7.6K-4.4K-7.2K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.270.690.270.69
Total Volume276.545105375370105
Total OI410.091200531504208

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$128.67$126.0022.6%6.5%20.7%29.3%26.6%4.5%-9.1%128.3K-427.0K-7.2K0.27134.91N/AN/A29179355149
2018-05-02$129.18$126.0026.8%7.7%20.6%38.9%29.5%1.6%-8.0%165.0K-965.3K-7.6K0.27129.17N/AN/A29179386140
2018-05-03$129.18$130.0023.9%5.0%19.4%32.3%14.7%-1.9%2.6%176.3K-783.9K-7.3K0.27128.71N/AN/A29379388140
2018-05-04$131.34$130.0019.1%4.9%18.5%21.1%14.0%5.7%1.4%249.4K-1.1M-6.8K0.27124.62N/AN/A29379388140
2018-05-07$131.20$130.0023.2%4.6%18.3%30.6%11.6%-3.9%-0.2%247.8K-1.2M-6.7K0.27105.13N/AN/A29379388140
2018-05-08$131.11$130.0030.3%5.0%17.0%47.1%14.8%-0.5%2.8%169.1K-1.4M-7.5K0.27141.17N/AN/A29379388141
2018-05-09$132.50$130.0015.3%4.4%17.1%12.5%14.5%1.8%0.0%200.2K-1.6M-7.3K0.27138.06N/AN/A29380388141
2018-05-10$133.67$130.0017.1%4.9%16.7%16.5%15.3%8.5%0.2%316.1K-2.0M-6.3K0.27119.67N/AN/A29380388142
2018-05-11$133.72$130.0017.9%5.1%16.6%18.5%15.3%16.6%-0.4%195.3K-2.0M-7.0K0.27129.32N/AN/A29380388142
2018-05-14$133.78$130.0015.3%4.4%15.8%12.5%14.2%6.1%-2.1%275.5K-2.2M-5.6K0.27114.19N/AN/A29480388142
2018-05-15$133.32$130.0014.1%4.0%15.1%9.7%15.8%-8.5%3.3%312.5K-2.2M-5.5K0.27111.41N/AN/A29480389142
2018-05-16$135.15$130.0016.2%4.6%15.7%14.5%16.2%6.6%-0.7%234.8K-2.4M-5.6K0.27138.83N/AN/A29380389142
2018-05-17$135.68$130.0022.2%6.4%15.4%28.2%16.1%6.6%-7.8%199.7K-2.6M-5.6K0.28126.80N/AN/A29382386142
2018-05-18$136.02$130.0017.7%5.1%15.1%18.0%17.8%7.4%-4.6%732.1K-3.1M-4.9K0.28137.09N/AN/A28882386144
2018-05-21$136.42$130.0012.9%3.7%15.0%6.9%15.4%-1.3%1.5%11.6K-104.1K-4.6K0.58110.60N/AN/A724210298
2018-05-22$135.70$130.0013.5%3.9%11.3%8.3%16.5%-8.0%2.5%12.3K-224.8K-4.7K0.58134.53N/AN/A724210299
2018-05-23$135.09$130.0018.5%5.3%11.4%19.7%17.9%6.9%-3.5%9.5K-33.0K-4.7K0.55154.42N/AN/A764210299
2018-05-24$134.76$130.0014.3%4.1%11.3%10.1%17.1%14.8%-0.4%9.6K-125.0K-4.8K0.69151.71N/AN/A624310799
2018-05-25$134.11$130.0018.5%5.3%11.3%19.8%20.6%-1.6%-6.6%6.3K-32.5K-4.7K0.69152.18N/AN/A6243108100
2018-05-29$132.16$130.0021.6%6.2%11.8%26.8%20.6%10.0%-4.0%5.8K71.4K-4.5K0.69147.01N/AN/A6243108100
2018-05-30$133.72$130.0020.1%5.8%11.9%23.5%23.6%5.5%-5.4%5.6K53.8K-4.4K0.69151.87N/AN/A6243108100
2018-05-31$132.93$130.0022.1%6.3%12.2%28.1%25.1%8.8%-4.6%4.8K-38.6K-4.7K0.69152.01N/AN/A6243108100