VAW Options History — December 2018

In December 2018, VAW traded between $104.67 and $122.82. ATM implied volatility averaged 28.1%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.7% (HV 20d: 22.4%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.13.

Notable Days

2018-12-24: Highest Volume — 22 contracts
2018-12-06: Largest IV spike — 27.8% change
2018-12-06: Highest IV Rank — 53.7%
2018-12-26: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$112.50	$104.67	$122.82	$122.82	$110.65
Max Pain	$114.35	$110.00	$120.00	$120.00	$110.00
ATM IV	28.1%	22.6%	33.6%	22.6%	30.0%
Expected Move	7.7%	6.5%	9.4%	6.5%	8.6%
HV 20d	22.4%	19.2%	26.0%	19.2%	25.7%
HV 60d	21.6%	19.6%	23.6%	19.6%	23.6%
IV Rank	41.2%	28.5%	53.7%	28.5%	45.5%
IV Percentile	90.2%	76.2%	98.0%	76.2%	93.3%
Term Structure	-1.5%	-8.1%	3.6%	-3.7%	-3.0%
VWIV	24.5%	18.9%	34.7%	23.7%	34.7%
Skew 25d	3.7%	-8.0%	12.8%	3.9%	8.7%
Skew 10d	9.0%	-9.5%	27.5%	27.5%	4.2%
Call IV 25d	27.4%	19.4%	38.1%	24.8%	27.5%
Put IV 25d	31.1%	24.0%	42.4%	28.7%	36.2%
Bid-Ask Spread %	111.36	80.58	133.33	133.07	129.62
Gamma HHI	0.34	0.15	0.59	0.22	0.15
Net GEX	7.2K	4.0K	12.0K	12.0K	4.0K
Net DEX	-29.2K	-107.1K	7.9K	-107.1K	-14.5K
Net VEX	-317	-496	-225	-496	-234
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	1.00	0.00
Total Volume	6.2	0	22	2	0
Total OI	38.55	34	42	40	35

Daily Data (20 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
2018-12-03	$122.82	$120.00	22.6%	6.5%	19.2%	28.5%	23.7%	3.9%	-3.7%	12.0K	-107.1K	-496	1.00	133.07	N/A	N/A	1	1	34	6
2018-12-04	$119.05	$120.00	25.5%	7.3%	22.3%	35.2%	18.9%	12.8%	-6.3%	8.9K	-75.3K	-406	0.17	133.33	N/A	N/A	6	1	34	6
2018-12-05	$118.88	$120.00	26.3%	7.5%	21.9%	36.9%	19.5%	1.8%	-8.1%	9.1K	-72.8K	-389	0.17	132.60	N/A	N/A	6	1	34	6
2018-12-06	$117.08	$115.00	33.6%	6.9%	20.8%	53.7%	27.7%	-7.5%	0.3%	7.6K	-35.6K	-401	0.00	117.16	N/A	N/A	2	0	29	5
2018-12-07	$116.67	$115.00	29.5%	6.5%	20.7%	44.3%	22.5%	1.1%	-3.1%	9.4K	-43.6K	-412	0.13	131.19	N/A	N/A	8	1	36	6
2018-12-10	$114.44	$115.00	32.5%	8.1%	21.3%	51.3%	0.0%	-8.0%	-0.1%	6.9K	-22.2K	-346	0.00	94.48	N/A	N/A	0	0	31	5
2018-12-11	$114.19	$115.00	28.3%	7.5%	21.0%	41.7%	0.0%	6.1%	-1.0%	7.2K	-20.1K	-297	0.00	92.49	N/A	N/A	8	0	31	5
2018-12-12	$115.35	$115.00	23.9%	6.9%	21.5%	31.6%	0.0%	7.8%	-1.4%	9.5K	-48.6K	-407	0.00	80.58	N/A	N/A	8	0	35	5
2018-12-13	$113.10	$115.00	23.1%	6.6%	22.3%	29.8%	0.0%	6.0%	1.9%	9.1K	-40.9K	-370	0.00	113.51	N/A	N/A	8	0	35	5
2018-12-14	$111.69	$115.00	25.0%	7.2%	21.7%	34.2%	0.0%	4.8%	0.7%	8.2K	-20.3K	-321	0.13	92.02	N/A	N/A	8	1	35	5
2018-12-17	$109.44	$115.00	25.0%	7.2%	21.8%	34.1%	0.0%	3.0%	2.1%	5.3K	-7.7K	-225	0.00	114.50	N/A	N/A	0	0	31	4
2018-12-18	$110.88	$115.00	26.4%	7.6%	22.2%	37.2%	0.0%	7.9%	1.1%	5.9K	-11.0K	-239	0.00	83.39	N/A	N/A	4	0	31	4
2018-12-19	$108.99	$115.00	26.4%	7.6%	22.4%	37.3%	0.0%	-0.2%	0.3%	7.1K	-14.0K	-285	0.00	119.76	N/A	N/A	4	0	35	4
2018-12-20	$107.64	$115.00	29.1%	8.3%	22.1%	43.4%	19.1%	2.0%	-0.9%	5.3K	-1.1K	-240	0.25	103.31	N/A	N/A	4	1	35	4
2018-12-21	$107.08	$111.00	29.9%	8.6%	22.0%	45.2%	19.5%	4.0%	-0.0%	4.6K	7.9K	-231	0.20	107.18	N/A	N/A	5	1	35	5
2018-12-24	$104.67	$111.00	30.4%	8.7%	22.1%	46.4%	30.4%	5.7%	3.6%	4.6K	-7.4K	-255	0.10	104.03	N/A	N/A	20	2	35	4
2018-12-26	$108.19	$110.00	32.7%	9.4%	26.0%	51.6%	29.9%	3.7%	-2.7%	5.3K	-5.0K	-248	0.00	114.11	N/A	N/A	7	0	36	4
2018-12-27	$109.64	$110.00	32.2%	9.2%	25.8%	50.6%	23.2%	6.2%	-5.3%	5.7K	-8.1K	-240	0.00	110.97	N/A	N/A	8	0	36	4
2018-12-28	$109.64	$110.00	30.4%	8.7%	25.3%	46.5%	34.7%	4.0%	-4.1%	7.7K	-36.6K	-291	0.00	119.92	N/A	N/A	8	0	37	4
2018-12-31	$110.65	$110.00	30.0%	8.6%	25.7%	45.5%	0.0%	8.7%	-3.0%	4.0K	-14.5K	-234	0.00	129.62	N/A	N/A	0	0	31	4