VAW Options History — January 2019

In January 2019, VAW traded between $108.89 and $120.53. ATM implied volatility averaged 23.1%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 1.3% (HV 20d: 24.5%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.02.

Notable Days

2019-01-04: Highest Volume — 14 contracts
2019-01-07: Largest IV spike — 41.3% change
2019-01-07: Highest IV Rank — 50.6%
2019-01-02: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$115.62	$108.89	$120.53	$111.04	$118.85
Max Pain	$114.75	$110.00	$115.00	$110.00	$115.00
ATM IV	23.1%	18.2%	32.2%	29.4%	24.1%
Expected Move	6.4%	5.2%	8.4%	8.4%	5.7%
HV 20d	24.5%	20.6%	27.8%	24.9%	21.9%
HV 60d	23.6%	22.3%	24.3%	23.6%	22.5%
IV Rank	27.1%	14.1%	50.6%	44.1%	28.2%
IV Percentile	66.5%	35.7%	96.0%	90.1%	76.2%
Term Structure	-1.6%	-7.3%	1.8%	1.2%	-1.8%
VWIV	20.4%	17.0%	24.3%	24.3%	17.3%
Skew 25d	5.7%	-1.8%	10.8%	1.6%	10.0%
Skew 10d	8.0%	-5.2%	26.2%	5.3%	4.1%
Call IV 25d	21.0%	12.0%	30.6%	26.5%	12.0%
Put IV 25d	26.7%	20.8%	32.2%	28.1%	22.0%
Bid-Ask Spread %	117.26	98.40	130.81	120.50	101.79
Gamma HHI	0.17	0.11	0.28	0.16	0.24
Net GEX	11.2K	3.6K	17.5K	3.6K	17.0K
Net DEX	-111.0K	-193.0K	-10.5K	-10.5K	-161.2K
Net VEX	-478	-564	-207	-207	-534
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.14	0.00	0.00
Total Volume	2.762	0	14	1	1
Total OI	45.429	35	49	35	49

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
2019-01-02	$111.04	$110.00	29.4%	8.4%	24.9%	44.1%	0.0%	1.6%	1.2%	3.6K	-10.5K	-207	0.00	120.50	N/A	N/A	1	0	31	4
2019-01-03	$108.89	$115.00	28.0%	8.0%	23.6%	41.0%	0.0%	6.0%	-3.8%	4.4K	-23.5K	-272	0.00	104.48	N/A	N/A	1	0	32	4
2019-01-04	$113.00	$115.00	22.8%	6.8%	27.8%	29.0%	24.3%	6.6%	-0.4%	4.8K	-23.0K	-238	0.08	113.62	N/A	N/A	13	1	32	4
2019-01-07	$113.71	$115.00	32.2%	6.7%	27.6%	50.6%	24.2%	5.0%	-0.9%	7.5K	-71.9K	-418	0.00	118.45	N/A	N/A	4	0	38	3
2019-01-08	$114.67	$115.00	25.3%	6.5%	27.8%	34.7%	17.0%	7.1%	1.8%	8.7K	-92.8K	-487	0.00	120.48	N/A	N/A	6	0	42	3
2019-01-09	$114.82	$115.00	22.3%	6.4%	26.9%	27.7%	24.2%	1.7%	-1.3%	9.8K	-110.2K	-555	0.00	124.94	N/A	N/A	6	0	44	3
2019-01-10	$115.99	$115.00	21.5%	6.2%	27.1%	23.5%	20.0%	9.7%	0.3%	9.7K	-114.0K	-545	0.00	99.74	N/A	N/A	6	0	44	3
2019-01-11	$115.61	$115.00	21.5%	6.2%	26.9%	23.6%	18.5%	6.7%	-1.3%	9.9K	-116.5K	-531	0.00	109.98	N/A	N/A	6	0	44	3
2019-01-14	$114.87	$115.00	22.4%	6.4%	26.0%	24.1%	0.0%	6.8%	-1.4%	9.3K	-104.9K	-505	0.00	110.06	N/A	N/A	0	0	44	3
2019-01-15	$113.96	$115.00	20.5%	5.9%	25.8%	19.5%	0.0%	10.7%	0.2%	8.5K	-91.4K	-467	0.00	98.40	N/A	N/A	0	0	44	3
2019-01-16	$114.69	$115.00	19.8%	5.7%	24.6%	18.0%	19.2%	1.2%	-0.4%	10.6K	-103.5K	-498	0.00	127.66	N/A	N/A	2	0	44	3
2019-01-17	$116.31	$115.00	19.0%	5.4%	24.6%	15.9%	18.9%	7.6%	-1.9%	11.0K	-113.2K	-499	0.00	124.64	N/A	N/A	2	0	44	3
2019-01-18	$118.31	$115.00	18.2%	5.2%	24.0%	14.1%	17.3%	7.6%	0.4%	11.2K	-136.9K	-504	0.14	108.23	N/A	N/A	7	1	44	3
2019-01-22	$116.50	$115.00	23.3%	6.7%	24.3%	26.3%	0.0%	1.6%	-3.9%	14.0K	-141.9K	-564	0.00	126.44	N/A	N/A	0	0	46	2
2019-01-23	$115.99	$115.00	24.8%	7.1%	24.3%	30.0%	0.0%	3.9%	-7.3%	13.7K	-137.4K	-553	0.00	128.01	N/A	N/A	0	0	46	2
2019-01-24	$115.61	$115.00	21.8%	6.3%	22.3%	22.8%	0.0%	-1.8%	-0.5%	14.8K	-125.8K	-519	0.00	121.52	N/A	N/A	0	0	46	2
2019-01-25	$118.10	$115.00	22.1%	6.3%	20.7%	23.5%	0.0%	7.9%	-2.3%	16.6K	-150.1K	-539	0.00	129.30	N/A	N/A	0	0	46	2
2019-01-28	$117.61	$115.00	23.9%	6.9%	20.6%	27.9%	0.0%	10.8%	-5.1%	14.8K	-153.8K	-553	0.00	130.81	N/A	N/A	0	0	46	2
2019-01-29	$118.91	$115.00	19.3%	5.5%	20.7%	16.6%	0.0%	6.3%	-0.6%	17.5K	-155.9K	-517	0.00	114.61	N/A	N/A	0	0	46	2
2019-01-30	$120.53	$115.00	23.8%	6.8%	20.9%	27.5%	0.0%	3.1%	-4.9%	17.5K	-193.0K	-533	0.00	128.87	N/A	N/A	1	0	46	2
2019-01-31	$118.85	$0.00	24.1%	5.7%	21.9%	28.2%	0.0%	10.0%	-1.8%	17.0K	-161.2K	-534	0.00	101.79	N/A	N/A	1	0	47	2