VAW Options History — November 2018

In November 2018, VAW traded between $117.83 and $124.67. ATM implied volatility averaged 25.3%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.8% (HV 20d: 23.5%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.23.

Notable Days

2018-11-12: Highest Volume — 76 contracts
2018-11-09: Largest IV spike — 97.9% change
2018-11-13: Highest IV Rank — 100.0%
2018-11-01: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$120.84	$117.83	$124.67	$120.66	$121.13
Max Pain	$120.79	$120.00	$125.00	$125.00	$120.00
ATM IV	25.3%	17.7%	53.8%	27.7%	23.4%
Expected Move	6.3%	4.4%	7.9%	7.9%	6.7%
HV 20d	23.5%	18.5%	26.3%	26.3%	18.5%
HV 60d	18.7%	18.1%	19.4%	18.3%	19.4%
IV Rank	37.1%	17.4%	100.0%	46.8%	30.3%
IV Percentile	80.5%	46.0%	100.0%	93.7%	81.0%
Term Structure	-1.5%	-7.9%	4.6%	-7.9%	-6.0%
VWIV	23.1%	15.9%	33.9%	33.9%	32.5%
Skew 25d	5.9%	-0.5%	23.3%	23.3%	1.4%
Skew 10d	14.5%	1.2%	31.8%	8.9%	25.7%
Call IV 25d	23.1%	14.9%	34.6%	18.8%	34.1%
Put IV 25d	29.1%	21.7%	42.1%	42.1%	35.5%
Bid-Ask Spread %	118.32	98.03	137.41	130.42	136.03
Gamma HHI	0.20	0.11	0.58	0.12	0.25
Net GEX	9.0K	-23.9K	20.0K	11.6K	8.3K
Net DEX	-1.3K	-70.4K	66.8K	34.6K	-24.3K
Net VEX	-591	-901	-358	-751	-418
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.18	0.27	0.26	0.18
Total Volume	59.333	39	76	72	39
Total OI	66.476	37	91	85	37

Daily Data (21 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
2018-11-01	$120.66	$125.00	27.7%	7.9%	26.3%	46.8%	33.9%	23.3%	-7.9%	11.6K	34.6K	-751	0.26	130.42	N/A	N/A	57	15	67	18
2018-11-02	$120.79	$125.00	25.2%	7.2%	26.3%	40.1%	22.6%	3.1%	-5.2%	11.4K	28.3K	-745	0.26	120.73	N/A	N/A	57	15	67	18
2018-11-05	$120.87	$0.00	28.3%	6.4%	26.3%	48.3%	0.0%	4.4%	-1.6%	9.9K	47.6K	-651	0.26	98.10	N/A	N/A	57	15	67	18
2018-11-06	$122.14	$0.00	24.5%	6.3%	24.0%	38.2%	20.0%	4.7%	-1.5%	12.5K	20.6K	-712	0.25	107.90	N/A	N/A	59	15	67	18
2018-11-07	$124.67	$125.00	19.1%	5.3%	23.5%	23.8%	19.1%	7.8%	-0.4%	18.7K	-63.4K	-805	0.27	124.80	N/A	N/A	59	16	71	18
2018-11-08	$123.74	$120.00	18.5%	4.4%	23.5%	22.2%	15.9%	3.8%	1.1%	20.0K	-70.4K	-818	0.27	128.17	N/A	N/A	59	16	71	19
2018-11-09	$122.25	$120.00	36.6%	5.5%	23.9%	70.3%	25.7%	5.1%	1.8%	18.5K	-57.3K	-901	0.27	102.57	N/A	N/A	59	16	71	19
2018-11-12	$120.68	$120.00	29.6%	5.9%	24.3%	51.8%	18.5%	4.1%	-1.7%	10.6K	32.5K	-627	0.27	113.49	N/A	N/A	60	16	71	19
2018-11-13	$119.98	$120.00	53.8%	6.2%	23.9%	100.0%	21.8%	6.7%	1.3%	11.0K	39.9K	-565	0.27	104.28	N/A	N/A	60	16	72	19
2018-11-14	$120.36	$120.00	22.9%	6.6%	23.7%	29.2%	19.3%	4.2%	-2.0%	10.2K	58.3K	-614	0.27	109.27	N/A	N/A	60	16	72	19
2018-11-15	$121.86	$120.00	23.8%	6.8%	24.0%	31.3%	24.7%	6.3%	-5.7%	10.1K	66.8K	-554	0.27	109.68	N/A	N/A	60	16	72	19
2018-11-16	$122.94	$120.00	21.8%	6.3%	23.9%	26.8%	24.3%	10.9%	-4.1%	-23.9K	56.1K	-577	0.27	125.38	N/A	N/A	60	16	72	19
2018-11-19	$120.64	$120.00	17.7%	5.1%	24.8%	17.4%	24.3%	2.4%	2.8%	9.6K	-62.0K	-573	0.18	125.94	N/A	N/A	33	6	31	6
2018-11-20	$118.83	$120.00	23.5%	6.7%	25.1%	30.7%	21.2%	5.2%	-0.7%	7.6K	-28.6K	-500	0.18	120.92	N/A	N/A	33	6	31	6
2018-11-21	$119.72	$120.00	23.8%	6.8%	22.2%	31.4%	22.5%	11.8%	-2.0%	7.7K	-25.8K	-467	0.18	130.04	N/A	N/A	33	6	31	6
2018-11-23	$118.42	$120.00	23.0%	6.6%	22.4%	29.6%	30.5%	0.3%	2.5%	7.3K	-32.6K	-509	0.18	137.41	N/A	N/A	33	6	31	6
2018-11-26	$119.61	$120.00	23.8%	6.8%	22.2%	31.4%	25.1%	7.8%	-1.9%	7.6K	-19.8K	-439	0.18	115.97	N/A	N/A	33	6	31	6
2018-11-27	$117.83	$120.00	24.6%	7.1%	22.5%	33.2%	20.9%	7.2%	-4.3%	6.2K	-1.0K	-358	0.18	98.03	N/A	N/A	33	6	31	6
2018-11-28	$119.66	$120.00	18.6%	5.3%	21.4%	19.3%	18.2%	-0.5%	4.6%	6.8K	-7.2K	-405	0.18	129.02	N/A	N/A	33	6	31	6
2018-11-29	$120.78	$120.00	21.7%	6.2%	20.9%	26.5%	21.0%	4.6%	-1.0%	8.1K	-19.6K	-415	0.18	116.48	N/A	N/A	33	6	31	6
2018-11-30	$121.13	$120.00	23.4%	6.7%	18.5%	30.3%	32.5%	1.4%	-6.0%	8.3K	-24.3K	-418	0.18	136.03	N/A	N/A	33	6	31	6