VAW Options History — June 2018

In June 2018, VAW traded between $131.07 and $138.18. ATM implied volatility averaged 21.3%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 8.5% (HV 20d: 12.8%). Max pain ranged from $130.00 to $136.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-06-15: Highest Volume — 122 contracts
  • 2018-06-11: Largest IV spike — 194.0% change
  • 2018-06-12: Highest IV Rank — 87.1%
  • 2018-06-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.72$131.07$138.18$134.24$131.92
Max Pain$134.55$130.00$136.00$130.00$136.00
ATM IV21.3%13.6%47.8%23.1%19.5%
Expected Move4.5%3.1%6.6%6.6%5.6%
HV 20d12.8%11.3%15.8%12.5%14.1%
HV 60d17.7%15.5%19.2%19.2%15.5%
IV Rank26.2%8.6%87.1%30.4%22.2%
IV Percentile61.5%31.3%99.2%79.8%64.7%
Term Structure-0.5%-11.2%3.8%-11.2%-0.6%
VWIV18.7%13.6%25.3%25.3%20.5%
Skew 25d1.6%-7.2%9.2%9.2%6.9%
Skew 10d4.6%-9.1%13.0%9.4%9.4%
Call IV 25d22.2%12.2%34.4%34.4%29.3%
Put IV 25d23.8%14.0%43.6%43.6%36.2%
Bid-Ask Spread %143.79124.83156.37154.29149.98
Gamma HHI0.190.140.230.180.20
Net GEX3.7K-28.8K24.9K7.7K-4.0K
Net DEX-45.8K-449.1K369.6K-34.2K159.7K
Net VEX-3.9K-4.5K-3.4K-4.5K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.670.820.690.79
Total Volume110.333105122105113
Total OI212.857207218208218

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$134.24$130.0023.1%6.6%12.5%30.4%25.3%9.2%-11.2%7.7K-34.2K-4.5K0.69154.29N/AN/A6243108100
2018-06-04$134.99$0.0025.2%3.8%11.4%35.2%0.0%-1.1%2.2%15.1K-35.1K-4.5K0.69147.19N/AN/A6243108100
2018-06-05$135.94$0.0028.0%3.9%11.5%41.7%0.0%0.3%3.1%12.6K-157.4K-4.4K0.71150.48N/AN/A6244108100
2018-06-06$137.90$0.0030.0%4.1%12.3%46.4%0.0%9.1%-2.0%15.6K-239.9K-4.1K0.70139.52N/AN/A6344108101
2018-06-07$137.51$0.0021.9%3.1%12.0%27.6%0.0%4.3%-0.0%17.4K-278.9K-4.3K0.70131.87N/AN/A6344109101
2018-06-08$137.78$0.0013.6%3.2%11.7%8.6%0.0%1.9%3.8%19.0K-337.2K-4.2K0.67129.27N/AN/A6644109101
2018-06-11$138.18$0.0040.1%4.1%11.7%69.5%0.0%1.0%1.8%7.6K-449.1K-3.8K0.67145.22N/AN/A6644112101
2018-06-12$137.97$0.0047.8%4.0%11.8%87.1%0.0%3.5%-0.9%24.9K-413.6K-4.0K0.67148.42N/AN/A6644112101
2018-06-13$136.86$0.0014.2%4.1%12.2%9.9%0.0%4.4%-0.8%20.9K-358.3K-4.1K0.67152.91N/AN/A6644112101
2018-06-14$136.86$0.0016.5%4.7%11.3%15.2%0.0%2.1%-1.0%19.5K-183.3K-4.1K0.70124.83N/AN/A6646112101
2018-06-15$135.88$0.0014.1%4.0%11.5%9.7%13.6%3.2%-0.7%-28.8K-253.4K-4.1K0.82151.94N/AN/A6755112104
2018-06-18$135.52$135.0014.6%4.2%11.5%10.8%14.3%-1.2%1.2%5.3K-194.2K-4.0K0.76156.37N/AN/A624710899
2018-06-19$133.14$133.0019.3%5.5%13.0%21.7%21.8%7.7%-2.2%2.0K127.4K-3.7K0.76128.38N/AN/A6247108105
2018-06-20$133.06$133.0015.7%4.5%12.9%13.4%18.4%2.0%0.4%47767.8K-4.0K0.77150.22N/AN/A6248108105
2018-06-21$131.52$133.0016.1%4.6%13.4%14.4%17.2%0.3%0.2%-1.6K165.9K-3.9K0.81148.56N/AN/A6250108106
2018-06-22$133.59$136.0016.3%4.7%14.7%14.7%17.4%-4.5%-2.5%-8.8K156.2K-3.7K0.81147.85N/AN/A6250108108
2018-06-25$131.35$136.0017.5%5.0%15.8%17.5%20.6%-7.2%-0.4%-10.4K368.6K-3.4K0.81143.32N/AN/A6250108108
2018-06-26$132.08$136.0015.8%4.5%15.1%13.6%16.1%-6.2%-1.9%-15.8K305.2K-3.5K0.81145.98N/AN/A6250108109
2018-06-27$131.69$136.0017.4%5.0%14.4%17.4%17.4%-1.0%-0.5%-9.2K252.5K-3.6K0.81126.42N/AN/A6250108109
2018-06-28$131.07$136.0020.2%5.8%14.4%23.7%21.3%-1.1%0.6%-11.4K369.6K-3.4K0.81146.56N/AN/A6250109109
2018-06-29$131.92$136.0019.5%5.6%14.1%22.2%20.5%6.9%-0.6%-4.0K159.7K-3.6K0.79149.98N/AN/A6350109109