VAW Options History — August 2018 In August 2018, VAW traded between $130.24 and $136.23. ATM implied volatility averaged 18.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.2% (HV 20d: 13.0%). Max pain ranged from $131.00 to $138.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.52.
Notable Days 2018-08-15 : Highest Volume — 126 contracts2018-08-08 : Largest IV spike — 105.8% change2018-08-08 : Highest IV Rank — 45.5%2018-08-02 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $133.60 $130.24 $136.23 $134.15 $134.21 Max Pain $134.57 $131.00 $138.00 $133.00 $135.00 ATM IV 18.3% 13.4% 29.7% 22.7% 19.0% Expected Move 4.9% 3.8% 6.9% 6.5% 5.5% HV 20d 13.0% 11.2% 14.7% 12.6% 14.1% HV 60d 13.1% 12.7% 13.5% 12.7% 13.3% IV Rank 19.2% 8.1% 45.5% 29.4% 21.0% IV Percentile 56.4% 28.2% 95.6% 82.5% 65.1% Term Structure -1.2% -11.7% 3.5% -7.7% -3.0% VWIV 18.3% 13.3% 27.2% 27.2% 21.2% Skew 25d 3.5% -7.7% 16.4% 4.3% -7.7% Skew 10d 3.3% -8.4% 17.2% 5.1% 3.7% Call IV 25d 18.4% 11.8% 32.7% 32.7% 28.3% Put IV 25d 21.8% 15.6% 37.1% 37.1% 20.5% Bid-Ask Spread % 125.96 94.85 149.82 142.07 149.82 Gamma HHI 0.18 0.10 0.55 0.15 0.11 Net GEX 18.2K -49.4K 99.9K 29.5K 22.6K Net DEX -237.2K -454.7K 66.1K -308.3K -275.7K Net VEX -1.5K -2.3K -1.1K -2.3K -1.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.22 0.81 0.81 0.27 Total Volume 92.304 52 126 105 62 Total OI 140.913 52 211 194 65
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2018-08-01 $134.15 $133.00 22.7% 6.5% 12.6% 29.4% 27.2% 4.3% -7.7% 29.5K -308.3K -2.3K 0.81 142.07 N/A N/A 58 47 116 78 2018-08-02 $133.00 $133.00 24.1% 6.9% 12.8% 32.6% 25.7% 4.1% -11.7% 18.7K -161.4K -2.2K 0.81 141.53 N/A N/A 58 47 118 78 2018-08-03 $134.27 $133.00 19.9% 5.7% 13.0% 23.0% 17.2% 3.9% -8.8% 21.0K -264.5K -1.8K 0.81 132.93 N/A N/A 58 47 118 78 2018-08-06 $134.54 $138.00 17.1% 4.4% 12.6% 16.5% 13.4% 2.8% 1.2% 10.0K -304.9K -1.6K 0.70 105.03 N/A N/A 67 47 118 78 2018-08-07 $134.75 $138.00 14.4% 4.2% 12.4% 10.4% 14.1% 2.0% 2.7% 53.6K -446.7K -1.7K 0.70 96.77 N/A N/A 67 47 123 78 2018-08-08 $134.51 $138.00 29.7% 3.9% 11.2% 45.5% 16.9% 2.6% 2.7% 32.2K -347.8K -2.1K 0.70 148.01 N/A N/A 67 47 123 78 2018-08-09 $134.85 $138.00 14.2% 3.8% 11.3% 9.9% 14.0% 3.8% 2.0% 54.7K -454.7K -1.7K 0.72 118.93 N/A N/A 72 52 123 78 2018-08-10 $132.90 $131.00 18.1% 4.8% 12.5% 19.0% 13.3% 7.1% 0.8% 4.5K -218.8K -1.9K 0.72 113.65 N/A N/A 72 52 128 83 2018-08-13 $131.60 $131.00 15.4% 4.3% 12.5% 12.6% 15.0% 6.0% 1.9% -37.8K -49.0K -1.6K 0.72 94.85 N/A N/A 72 52 128 83 2018-08-14 $132.40 $131.00 26.5% 4.9% 11.4% 38.2% 18.2% 8.4% -0.6% -46.7K -120.1K -1.4K 0.71 107.45 N/A N/A 73 52 128 83 2018-08-15 $130.24 $131.00 17.4% 5.0% 12.7% 17.3% 20.4% -7.3% 3.5% 3.6K 492 -1.6K 0.73 130.16 N/A N/A 73 53 125 81 2018-08-16 $131.29 $135.00 16.8% 4.8% 13.1% 15.8% 15.3% 4.6% 1.9% -49.4K 66.1K -1.4K 0.73 108.27 N/A N/A 73 53 125 82 2018-08-17 $132.20 $135.00 15.5% 4.4% 13.3% 12.8% 15.6% 1.8% 0.9% 99.9K -79.7K -1.1K 0.73 110.94 N/A N/A 73 53 125 82 2018-08-20 $133.00 $135.00 14.5% 4.1% 13.4% 10.5% 14.4% 4.7% 2.4% 20.7K -211.6K -1.1K 0.24 122.05 N/A N/A 42 10 43 9 2018-08-21 $133.92 $135.00 14.9% 4.3% 13.2% 11.5% 15.2% 1.3% 1.1% 19.6K -242.7K -1.2K 0.23 116.29 N/A N/A 43 10 44 10 2018-08-22 $133.40 $135.00 18.3% 5.3% 13.2% 19.4% 21.1% 4.4% -2.9% 20.0K -252.8K -1.3K 0.26 131.43 N/A N/A 43 11 45 10 2018-08-23 $132.19 $135.00 13.4% 3.9% 13.1% 8.1% 14.4% 2.1% 3.3% 18.2K -213.0K -1.2K 0.26 122.05 N/A N/A 43 11 45 11 2018-08-24 $133.87 $135.00 14.5% 4.1% 13.9% 10.5% 14.5% 3.3% 0.7% 16.7K -218.1K -1.2K 0.22 115.39 N/A N/A 49 11 45 11 2018-08-27 $135.66 $135.00 17.7% 5.1% 14.7% 17.9% 23.9% 16.4% -5.7% 27.6K -321.9K -1.5K 0.23 147.00 N/A N/A 52 12 54 11 2018-08-28 $135.29 $135.00 19.6% 5.6% 14.3% 22.2% 24.5% 5.1% -3.7% 27.2K -351.4K -1.5K 0.25 149.56 N/A N/A 52 13 54 12 2018-08-29 $136.23 $135.00 17.4% 5.0% 14.0% 17.3% 24.6% 4.6% -5.3% 27.2K -348.5K -1.4K 0.25 147.26 N/A N/A 52 13 54 13 2018-08-30 $134.40 $135.00 18.9% 5.4% 14.5% 20.8% 20.8% 1.7% -3.1% 25.7K -331.2K -1.5K 0.27 145.67 N/A N/A 49 13 54 13 2018-08-31 $134.21 $135.00 19.0% 5.5% 14.1% 21.0% 21.2% -7.7% -3.0% 22.6K -275.7K -1.5K 0.27 149.82 N/A N/A 49 13 52 13
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