VAW Options History — September 2018

In September 2018, VAW traded between $131.13 and $137.53. ATM implied volatility averaged 16.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.2% (HV 20d: 12.4%). Max pain ranged from $133.00 to $136.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.25.

Notable Days

2018-09-21: Highest Volume — 79 contracts
2018-09-26: Largest IV spike — 41.6% change
2018-09-04: Highest IV Rank — 28.4%
2018-09-04: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$134.20	$131.13	$137.53	$133.12	$131.13
Max Pain	$134.16	$133.00	$136.00	$135.00	$136.00
ATM IV	16.5%	12.4%	22.3%	22.3%	18.3%
Expected Move	4.7%	3.5%	6.4%	6.4%	5.2%
HV 20d	12.4%	10.6%	14.9%	14.4%	10.6%
HV 60d	12.8%	11.9%	13.5%	13.4%	12.6%
IV Rank	16.5%	6.5%	28.4%	28.4%	22.1%
IV Percentile	48.0%	15.5%	81.7%	81.7%	62.3%
Term Structure	-1.7%	-8.8%	3.7%	-6.2%	-8.8%
VWIV	16.9%	13.2%	30.6%	30.6%	16.5%
Skew 25d	5.8%	0.5%	16.5%	1.0%	3.6%
Skew 10d	7.7%	-3.4%	17.7%	9.5%	17.4%
Call IV 25d	16.2%	11.5%	34.4%	34.4%	19.0%
Put IV 25d	22.0%	15.2%	35.4%	35.4%	22.7%
Bid-Ask Spread %	124.31	92.65	151.58	150.05	132.96
Gamma HHI	0.15	0.11	0.73	0.11	0.11
Net GEX	37.5K	19.0K	218.3K	22.3K	27.1K
Net DEX	-316.3K	-484.8K	-236.4K	-247.2K	-236.4K
Net VEX	-1.3K	-1.5K	-1.2K	-1.4K	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.18	0.29	0.27	0.20
Total Volume	67.579	62	79	62	66
Total OI	70.263	65	79	65	72

Daily Data (19 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
2018-09-04	$133.12	$135.00	22.3%	6.4%	14.4%	28.4%	30.6%	1.0%	-6.2%	22.3K	-247.2K	-1.4K	0.27	150.05	N/A	N/A	49	13	52	13
2018-09-05	$134.16	$135.00	18.3%	5.3%	14.7%	19.3%	16.8%	0.6%	-2.4%	20.2K	-261.1K	-1.4K	0.26	128.68	N/A	N/A	50	13	52	13
2018-09-06	$134.41	$134.00	17.0%	4.9%	14.7%	16.4%	15.2%	9.7%	-3.2%	25.5K	-277.4K	-1.4K	0.26	112.98	N/A	N/A	50	13	53	13
2018-09-07	$133.38	$134.00	16.6%	5.1%	14.9%	15.3%	15.4%	3.7%	-1.0%	20.0K	-241.7K	-1.3K	0.26	92.65	N/A	N/A	50	13	53	13
2018-09-10	$133.52	$134.00	17.9%	4.7%	13.9%	18.3%	15.5%	5.6%	-0.8%	22.3K	-259.7K	-1.3K	0.25	107.25	N/A	N/A	51	13	53	13
2018-09-11	$133.53	$133.00	16.5%	4.4%	13.4%	15.2%	15.5%	4.3%	0.6%	20.7K	-254.2K	-1.3K	0.29	94.40	N/A	N/A	51	15	54	13
2018-09-12	$133.71	$133.00	15.7%	4.5%	13.3%	13.2%	14.3%	4.8%	0.3%	19.0K	-256.5K	-1.3K	0.29	108.70	N/A	N/A	51	15	54	15
2018-09-13	$134.07	$133.00	15.1%	4.3%	11.7%	13.7%	17.1%	7.5%	0.9%	26.1K	-274.2K	-1.3K	0.29	110.78	N/A	N/A	51	15	54	15
2018-09-14	$134.41	$133.00	15.2%	4.4%	11.4%	14.0%	14.9%	4.8%	1.6%	21.6K	-275.3K	-1.2K	0.29	112.07	N/A	N/A	51	15	54	15
2018-09-17	$134.52	$133.00	13.3%	3.8%	11.2%	8.8%	15.5%	10.1%	1.9%	24.6K	-292.2K	-1.2K	0.27	127.53	N/A	N/A	56	15	54	15
2018-09-18	$135.14	$133.00	14.6%	4.2%	11.1%	12.5%	15.0%	2.2%	0.4%	34.9K	-341.2K	-1.3K	0.26	138.29	N/A	N/A	57	15	60	15
2018-09-19	$136.10	$133.00	12.4%	3.5%	11.2%	6.5%	14.3%	4.1%	3.7%	48.1K	-390.3K	-1.3K	0.25	112.81	N/A	N/A	59	15	60	15
2018-09-20	$137.53	$133.00	16.4%	4.7%	11.5%	17.2%	18.2%	15.1%	-7.6%	38.2K	-474.3K	-1.4K	0.25	151.58	N/A	N/A	59	15	64	15
2018-09-21	$136.95	$133.00	16.1%	4.6%	11.0%	16.4%	17.6%	0.5%	-3.4%	218.3K	-484.8K	-1.4K	0.25	136.63	N/A	N/A	63	16	64	15
2018-09-24	$134.77	$136.00	17.9%	5.1%	12.0%	21.0%	15.4%	16.5%	-6.5%	34.3K	-421.1K	-1.4K	0.18	133.61	N/A	N/A	57	10	61	9
2018-09-25	$134.29	$136.00	13.4%	3.8%	11.0%	9.1%	13.2%	2.7%	1.7%	31.6K	-379.0K	-1.4K	0.18	121.15	N/A	N/A	57	10	61	10
2018-09-26	$133.15	$136.00	18.9%	5.4%	11.3%	23.9%	21.2%	7.0%	-5.4%	29.4K	-356.1K	-1.5K	0.18	149.01	N/A	N/A	57	10	61	10
2018-09-27	$131.82	$136.00	18.2%	5.2%	11.4%	21.9%	18.5%	5.7%	1.0%	28.9K	-286.7K	-1.4K	0.19	140.83	N/A	N/A	57	11	61	11
2018-09-28	$131.13	$136.00	18.3%	5.2%	10.6%	22.1%	16.5%	3.6%	-8.8%	27.1K	-236.4K	-1.3K	0.20	132.96	N/A	N/A	55	11	61	11