VAW Options History — February 2019 In February 2019, VAW traded between $117.56 and $125.75. ATM implied volatility averaged 18.3%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.6% (HV 20d: 16.7%). Max pain ranged from $119.00 to $119.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.11.
Notable Days 2019-02-21 : Highest Volume — 22 contracts2019-02-28 : Largest IV spike — 48.8% change2019-02-28 : Highest IV Rank — 36.4%2019-02-28 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $121.72 $117.56 $125.75 $119.40 $123.28 Max Pain $119.00 $119.00 $119.00 $119.00 $119.00 ATM IV 18.3% 13.6% 27.5% 25.4% 27.5% Expected Move 5.2% 3.9% 7.9% 5.5% 7.9% HV 20d 16.7% 14.7% 20.2% 20.2% 14.9% HV 60d 21.9% 21.3% 22.5% 22.5% 21.4% IV Rank 14.2% 2.9% 36.4% 31.4% 36.4% IV Percentile 32.7% 2.4% 86.5% 81.0% 86.5% Term Structure -1.5% -10.8% 5.6% 1.1% -10.8% VWIV 19.3% 8.2% 29.1% 18.5% 23.8% Skew 25d 3.5% -2.8% 11.2% 2.3% 3.2% Skew 10d 4.5% -2.3% 17.5% 6.4% 17.5% Call IV 25d 15.4% 8.9% 25.2% 19.6% 10.9% Put IV 25d 18.8% 14.0% 25.1% 21.9% 14.0% Bid-Ask Spread % 112.80 69.41 148.62 142.95 148.62 Gamma HHI 0.20 0.14 0.27 0.21 0.16 Net GEX 18.3K 7.9K 27.8K 16.7K 22.6K Net DEX -209.2K -360.3K -70.6K -171.5K -250.0K Net VEX -553 -690 -454 -547 -690 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.11 0.00 1.57 0.00 1.57 Total Volume 9.316 0 22 5 18 Total OI 51.105 28 72 49 39
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 2019-02-01 $119.40 $0.00 25.4% 5.5% 20.2% 31.4% 0.0% 2.3% 1.1% 16.7K -171.5K -547 0.00 142.95 N/A N/A 5 0 47 2 2019-02-04 $119.21 $0.00 16.7% 4.9% 16.2% 10.5% 0.0% 4.2% 1.2% 25.6K -177.9K -515 0.00 103.48 N/A N/A 0 10 51 2 2019-02-05 $120.10 $0.00 16.4% 4.8% 16.2% 9.6% 0.0% -2.8% 5.6% 13.7K -172.2K -584 0.00 69.41 N/A N/A 0 10 51 12 2019-02-06 $119.62 $0.00 16.1% 4.6% 16.3% 8.9% 0.0% 2.2% 0.8% 12.4K -146.0K -593 0.00 110.85 N/A N/A 0 0 51 12 2019-02-07 $117.70 $0.00 18.6% 5.3% 17.5% 15.1% 18.5% 6.6% -1.4% 8.4K -77.0K -543 0.00 93.80 N/A N/A 6 0 51 12 2019-02-08 $117.56 $119.00 19.1% 5.5% 17.2% 16.1% 17.9% 5.0% 0.4% 9.1K -70.6K -544 0.00 90.66 N/A N/A 6 0 54 12 2019-02-11 $118.21 $119.00 21.9% 6.3% 17.2% 22.9% 0.0% 5.2% -6.9% 7.9K -98.7K -517 0.00 105.67 N/A N/A 0 0 54 12 2019-02-12 $120.63 $119.00 18.9% 5.4% 18.3% 15.7% 0.0% 4.4% -2.0% 17.4K -195.9K -522 0.00 113.89 N/A N/A 0 0 54 12 2019-02-13 $121.16 $119.00 16.5% 4.7% 17.8% 10.0% 16.4% 3.2% 0.2% 18.1K -229.0K -499 0.00 83.34 N/A N/A 10 0 54 12 2019-02-14 $120.86 $119.00 16.3% 4.7% 17.9% 9.6% 22.0% 0.4% -1.0% 27.8K -259.9K -536 0.00 135.74 N/A N/A 11 0 59 12 2019-02-15 $121.86 $119.00 14.4% 4.1% 17.5% 4.9% 17.3% 2.3% 2.8% 18.3K -360.3K -512 0.00 105.29 N/A N/A 13 0 60 12 2019-02-19 $123.12 $119.00 14.3% 4.1% 16.9% 4.6% 0.0% 5.1% 2.3% 21.5K -217.8K -495 0.00 118.25 N/A N/A 11 0 29 0 2019-02-20 $125.02 $119.00 21.1% 6.1% 16.2% 21.1% 0.0% -1.4% -10.3% 16.9K -224.3K -454 0.00 142.43 N/A N/A 14 0 28 0 2019-02-21 $124.31 $119.00 16.1% 4.6% 16.3% 9.0% 11.5% 6.2% -1.7% 16.5K -230.2K -488 0.00 102.03 N/A N/A 22 0 29 0 2019-02-22 $124.92 $119.00 15.1% 4.3% 16.1% 6.6% 8.2% 5.6% 0.6% 22.8K -273.1K -632 0.00 108.00 N/A N/A 22 0 37 0 2019-02-25 $125.75 $119.00 20.7% 5.9% 14.8% 20.1% 29.1% -2.5% -9.4% 23.5K -252.6K -588 0.00 140.24 N/A N/A 6 0 35 0 2019-02-26 $125.18 $119.00 13.6% 3.9% 14.8% 2.9% 18.3% 5.4% 1.1% 23.4K -289.4K -627 0.00 108.45 N/A N/A 6 0 38 0 2019-02-27 $124.75 $119.00 18.4% 5.3% 14.7% 14.7% 28.9% 11.2% -1.5% 24.5K -279.6K -619 0.00 120.08 N/A N/A 7 0 38 0 2019-02-28 $123.28 $119.00 27.5% 7.9% 14.9% 36.4% 23.8% 3.2% -10.8% 22.6K -250.0K -690 1.57 148.62 N/A N/A 7 11 39 0
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