VAW Options History — October 2018

In October 2018, VAW traded between $112.67 and $132.41. ATM implied volatility averaged 23.0%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.8% (HV 20d: 16.2%). Max pain ranged from $125.00 to $136.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.32.

Notable Days

  • 2018-10-17: Highest Volume — 91 contracts
  • 2018-10-23: Largest IV spike — 51.4% change
  • 2018-10-25: Highest IV Rank — 59.5%
  • 2018-10-25: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.09$112.67$132.41$131.80$117.38
Max Pain$126.43$125.00$136.00$136.00$125.00
ATM IV23.0%15.8%32.5%15.9%29.6%
Expected Move6.5%4.5%9.3%4.6%8.5%
HV 20d16.2%10.3%23.5%10.8%23.5%
HV 60d14.4%12.2%17.3%12.6%17.3%
IV Rank34.5%15.5%59.5%15.8%51.7%
IV Percentile79.9%43.7%98.8%44.8%95.6%
Term Structure-3.1%-10.2%3.4%-2.3%-5.7%
VWIV23.7%15.0%36.3%16.9%28.7%
Skew 25d2.4%-10.3%11.9%-10.3%0.8%
Skew 10d4.5%-9.1%16.7%7.4%5.0%
Call IV 25d26.4%12.7%40.9%27.8%34.4%
Put IV 25d28.9%17.5%40.5%17.5%35.2%
Bid-Ask Spread %119.03105.03140.23121.97113.74
Gamma HHI0.120.090.150.100.12
Net GEX14.2K5.5K28.0K26.3K7.4K
Net DEX-40.8K-320.8K106.4K-285.4K91.6K
Net VEX-979-1.4K-459-1.3K-596
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.200.490.200.26
Total Volume76.26167916772
Total OI84.26171967185

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$131.80$136.0015.9%4.6%10.8%15.8%16.9%-10.3%-2.3%26.3K-285.4K-1.3K0.20121.97N/AN/A56115912
2018-10-02$132.41$136.0017.5%5.0%10.7%20.1%15.8%5.7%-1.0%26.7K-273.3K-1.3K0.20128.94N/AN/A56116012
2018-10-03$131.88$136.0021.8%6.2%10.3%31.3%25.7%5.3%-3.6%28.0K-320.8K-1.4K0.20140.23N/AN/A56116112
2018-10-04$130.69$125.0019.5%4.9%10.6%25.3%15.9%5.5%-2.3%27.2K-238.2K-1.3K0.20111.75N/AN/A56116112
2018-10-05$129.71$125.0015.8%4.5%10.6%15.5%15.0%-4.5%3.4%25.4K-232.8K-1.3K0.28128.06N/AN/A57166112
2018-10-08$130.01$125.0020.2%5.5%10.7%27.0%18.9%4.8%-2.6%19.7K-150.9K-1.2K0.29118.62N/AN/A55166217
2018-10-09$125.56$125.0018.9%5.3%15.9%23.6%17.9%-0.9%-1.0%18.5K-91.6K-1.1K0.42115.61N/AN/A53226417
2018-10-10$122.52$125.0021.7%6.2%17.6%31.0%20.4%-6.7%-10.2%11.1K-20.6K-1.2K0.44123.46N/AN/A54246525
2018-10-11$121.45$125.0024.1%6.9%17.4%37.5%26.3%4.8%-1.1%10.6K18.9K-1.1K0.49114.31N/AN/A55276622
2018-10-12$121.05$125.0023.4%6.7%17.2%35.6%25.3%0.4%-4.2%8.9K38.4K-1.1K0.46119.28N/AN/A59276726
2018-10-15$121.14$125.0024.1%6.9%17.2%37.5%26.2%3.3%-1.9%9.0K31.3K-1.2K0.46126.21N/AN/A59276926
2018-10-16$122.76$125.0024.0%6.9%18.1%37.2%21.6%8.3%-3.8%7.2K80.3K-1.0K0.43117.52N/AN/A63276926
2018-10-17$121.66$125.0018.7%5.4%17.6%23.2%22.9%4.9%0.0%15.5K-29.5K-1.1K0.42132.37N/AN/A64277521
2018-10-18$120.68$125.0020.5%5.9%16.6%27.9%27.1%11.7%1.1%16.0K-42.4K-1.1K0.42115.27N/AN/A64277521
2018-10-19$119.62$125.0023.4%6.7%16.6%35.7%20.2%9.3%-2.0%11.1K21.1K-9480.42115.46N/AN/A64277520
2018-10-22$118.89$125.0017.1%4.9%16.2%19.0%27.5%10.1%-2.8%13.6K-21.4K-8940.25123.27N/AN/A57146617
2018-10-23$117.52$125.0025.9%7.4%16.3%41.9%24.4%11.9%-2.0%10.3K37.2K-7590.25108.60N/AN/A57146716
2018-10-24$113.89$125.0025.8%7.4%18.5%41.7%24.5%-3.0%-5.5%7.5K74.7K-5650.25105.03N/AN/A57146716
2018-10-25$115.17$125.0032.5%9.3%19.6%59.5%28.3%-7.5%-9.0%7.7K73.1K-6240.25115.10N/AN/A57146716
2018-10-26$114.01$125.0030.4%8.7%19.7%53.8%36.3%-5.0%-4.9%6.6K93.0K-5580.26115.04N/AN/A57156716
2018-10-29$112.67$125.0030.7%8.8%19.2%54.6%29.6%0.9%-7.4%5.5K102.0K-4590.26111.23N/AN/A57156717
2018-10-30$115.56$125.0027.6%7.9%22.2%46.4%29.5%6.3%-2.5%6.2K106.4K-5250.26116.68N/AN/A57156717
2018-10-31$117.38$125.0029.6%8.5%23.5%51.7%28.7%0.8%-5.7%7.4K91.6K-5960.26113.74N/AN/A57156718