VAW Options History — July 2018

In July 2018, VAW traded between $130.82 and $135.61. ATM implied volatility averaged 18.9%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.4% (HV 20d: 13.5%). Max pain ranged from $133.00 to $136.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2018-07-05: Highest Volume — 114 contracts
  • 2018-07-30: Largest IV spike — 43.7% change
  • 2018-07-09: Highest IV Rank — 28.7%
  • 2018-07-18: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.34$130.82$135.61$131.01$135.61
Max Pain$133.43$133.00$136.00$136.00$133.00
ATM IV18.9%14.7%22.4%21.2%21.1%
Expected Move5.2%4.2%6.4%6.1%6.0%
HV 20d13.5%11.8%15.8%14.0%11.8%
HV 60d13.6%12.5%14.8%14.8%12.5%
IV Rank20.7%11.0%28.7%26.0%25.7%
IV Percentile60.4%38.1%79.4%71.8%73.0%
Term Structure-2.0%-11.2%2.7%-3.5%-11.2%
VWIV18.8%15.0%25.3%22.4%25.3%
Skew 25d4.7%-7.1%20.4%11.2%6.8%
Skew 10d5.3%-3.8%24.2%24.2%2.6%
Call IV 25d20.3%9.4%32.1%27.4%30.5%
Put IV 25d25.0%14.8%38.5%38.5%37.3%
Bid-Ask Spread %123.2795.54148.86148.86140.05
Gamma HHI0.200.150.350.230.15
Net GEX523-122.9K40.2K-9.9K31.7K
Net DEX-87.5K-463.3K180.6K180.6K-388.9K
Net VEX-2.8K-3.4K-2.1K-3.3K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.781.000.790.84
Total Volume10594114113103
Total OI206.571191216208194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$131.01$136.0021.2%6.1%14.0%26.0%22.4%11.2%-3.5%-9.9K180.6K-3.3K0.79148.86N/AN/A635011098
2018-07-03$130.82$136.0021.9%6.3%13.7%27.6%20.3%-7.1%-5.5%-1.8K47.8K-3.4K0.79144.60N/AN/A635011098
2018-07-05$131.92$133.0021.3%4.4%12.9%26.3%15.8%5.7%2.7%-14.9K154.5K-3.2K0.78122.87N/AN/A645011099
2018-07-06$132.78$133.0020.2%4.5%13.2%23.7%18.8%6.2%1.7%-1.3K33.3K-3.4K0.93103.08N/AN/A555111299
2018-07-09$134.03$133.0022.4%4.9%13.8%28.7%17.9%3.9%-0.1%1.7K-60.9K-3.2K0.93133.26N/AN/A5551112100
2018-07-10$134.90$133.0015.9%4.4%14.0%13.8%16.6%2.1%0.4%5.0K-115.9K-3.1K0.9395.54N/AN/A5551112101
2018-07-11$132.99$133.0018.8%5.4%14.7%20.5%18.4%3.1%2.1%5.4K-64.3K-3.4K0.93115.83N/AN/A5551112101
2018-07-12$133.07$133.0018.3%5.2%14.6%19.3%20.3%7.8%2.7%4.7K-93.9K-3.4K0.93122.64N/AN/A5551112101
2018-07-13$133.10$133.0019.8%5.7%14.6%22.8%19.0%8.7%-1.2%-335.5K-3.2K0.93119.14N/AN/A5551112101
2018-07-16$131.85$133.0016.9%4.9%14.7%16.2%18.4%2.6%1.3%1.8K-15.7K-2.9K0.93127.75N/AN/A5551112101
2018-07-17$133.88$133.0018.7%5.4%15.8%20.2%19.0%16.8%-6.3%-8.0K-9.6K-2.8K0.93120.45N/AN/A5551112101
2018-07-18$133.88$133.0022.3%6.4%14.5%28.6%19.8%20.4%-6.3%5.3K-106.6K-3.1K0.93124.93N/AN/A5551112101
2018-07-19$133.21$133.0016.0%4.6%14.6%14.1%16.3%4.6%0.8%-17.9K56.7K-2.5K1.00113.27N/AN/A5151112101
2018-07-20$132.83$135.0015.9%4.6%14.0%13.9%17.0%-6.8%2.7%-122.9K124.4K-2.5K0.98123.61N/AN/A5251113103
2018-07-23$132.22$134.0017.8%5.1%12.9%18.1%17.4%5.5%-2.5%-1.8K45.6K-2.5K0.84109.58N/AN/A514311394
2018-07-24$133.44$133.0014.8%4.2%11.8%11.3%15.0%-0.2%-0.7%13.0K-214.3K-2.2K0.90108.08N/AN/A524711384
2018-07-25$134.12$133.0016.2%4.6%11.8%14.5%16.7%1.9%-0.2%15.7K-241.1K-2.2K0.87119.54N/AN/A544711378
2018-07-26$135.30$133.0021.7%6.2%12.0%27.1%20.6%-4.2%-10.8%33.5K-355.5K-2.5K0.84129.37N/AN/A564711578
2018-07-27$134.77$133.0014.7%4.2%12.0%11.0%16.0%3.8%-2.1%40.2K-463.3K-2.1K0.84127.77N/AN/A564711678
2018-07-30$134.39$133.0021.1%6.0%11.9%25.8%24.4%6.5%-5.1%31.6K-356.5K-2.3K0.84138.44N/AN/A564711678
2018-07-31$135.61$133.0021.1%6.0%11.8%25.7%25.3%6.8%-11.2%31.7K-388.9K-2.3K0.84140.05N/AN/A564711678