VAW Options History — March 2019 In March 2019, VAW traded between $120.53 and $124.61. ATM implied volatility averaged 16.9%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.5% (HV 20d: 13.4%). Max pain ranged from $111.00 to $125.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.35.
Notable Days 2019-03-21 : Highest Volume — 38 contracts2019-03-21 : Largest IV spike — 41.3% change2019-03-08 : Highest IV Rank — 26.6%2019-03-08 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $122.87 $120.53 $124.61 $123.60 $123.08 Max Pain $117.90 $111.00 $125.00 $125.00 $122.00 ATM IV 16.9% 11.8% 23.4% 22.2% 15.0% Expected Move 5.0% 4.1% 6.7% 6.4% 4.9% HV 20d 13.4% 10.5% 15.4% 13.8% 15.3% HV 60d 18.8% 17.2% 21.2% 21.2% 17.2% IV Rank 11.6% 0.0% 26.6% 23.7% 7.6% IV Percentile 26.8% 0.0% 72.6% 63.1% 12.7% Term Structure 0.3% -7.8% 6.8% -7.8% 1.9% VWIV 17.6% 8.6% 29.2% 22.8% 20.0% Skew 25d 5.1% 1.8% 9.3% 2.3% 2.8% Skew 10d 8.1% 3.5% 13.2% 8.9% 5.3% Call IV 25d 14.6% 7.7% 27.1% 27.1% 14.9% Put IV 25d 19.7% 16.0% 29.4% 29.4% 17.6% Bid-Ask Spread % 108.03 75.79 144.81 144.59 89.01 Gamma HHI 0.20 0.15 0.26 0.17 0.22 Net GEX 1.4K -15.0K 39.6K 13.0K -15.0K Net DEX -110.7K -322.9K 52.2K -176.1K -39.0K Net VEX -912 -1.2K -700 -788 -1.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.35 0.00 5.00 1.71 2.17 Total Volume 12.095 0 38 19 1 Total OI 68.619 46 84 50 79
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 2019-03-01 $123.60 $125.00 22.2% 6.4% 13.8% 23.7% 22.8% 2.3% -7.8% 13.0K -176.1K -788 1.71 144.59 N/A N/A 7 12 39 11 2019-03-04 $123.77 $125.00 14.9% 4.3% 13.8% 6.2% 0.0% 4.3% -2.1% 5.0K -122.3K -700 0.00 131.73 N/A N/A 0 10 36 12 2019-03-05 $123.50 $125.00 14.4% 4.1% 13.8% 4.8% 15.6% 4.7% -0.1% -4.1K -71.1K -876 3.33 130.71 N/A N/A 3 10 36 22 2019-03-06 $123.07 $125.00 15.7% 4.5% 13.7% 8.0% 13.5% 3.0% -1.0% -1.2K -81.7K -860 3.33 127.42 N/A N/A 3 10 39 22 2019-03-07 $121.91 $125.00 19.9% 5.7% 14.1% 18.3% 20.8% 7.8% 0.4% 6.8K -17.0K -827 0.43 134.51 N/A N/A 23 10 39 22 2019-03-08 $121.64 $120.00 23.4% 6.7% 12.7% 26.6% 22.9% 2.3% 0.8% 39.6K -120.9K -834 0.43 144.81 N/A N/A 23 10 54 22 2019-03-11 $123.42 $111.00 18.4% 5.0% 13.4% 14.5% 15.3% 5.6% 0.5% -5.3K -229.1K -733 0.00 84.15 N/A N/A 1 0 54 22 2019-03-12 $124.13 $111.00 14.8% 4.6% 13.4% 5.8% 16.5% 5.5% 1.6% -8.9K -288.7K -784 0.00 92.07 N/A N/A 2 0 55 22 2019-03-13 $124.57 $111.00 14.5% 4.4% 11.7% 5.1% 14.8% 4.4% 1.0% 176 -322.9K -820 0.00 93.44 N/A N/A 5 0 56 22 2019-03-14 $123.38 $111.00 14.4% 4.5% 12.3% 4.8% 14.3% 3.2% 2.2% 16.8K -267.6K -858 0.00 95.14 N/A N/A 5 0 59 22 2019-03-15 $123.18 $111.00 14.6% 4.4% 12.3% 5.4% 14.6% 4.5% 0.9% 10.1K -247.4K -780 0.00 94.81 N/A N/A 7 0 59 22 2019-03-18 $124.10 $111.00 14.8% 4.6% 12.2% 5.9% 0.0% 9.3% 0.7% 8.9K -122.7K -777 5.00 101.29 N/A N/A 1 5 35 11 2019-03-19 $123.36 $111.00 11.8% 5.0% 11.9% 0.0% 8.6% 7.5% 6.8% 5.9K -140.2K -865 0.86 115.58 N/A N/A 7 6 36 16 2019-03-20 $123.69 $111.00 13.9% 4.3% 10.5% 5.0% 14.0% 7.9% 2.4% 3.1K -113.6K -862 0.75 119.61 N/A N/A 8 6 42 17 2019-03-21 $124.61 $111.00 19.6% 5.8% 10.7% 18.6% 18.4% 6.1% -4.2% 11.1K -160.3K -1.0K 2.17 105.79 N/A N/A 12 26 43 17 2019-03-22 $120.71 $122.00 18.5% 5.4% 15.4% 16.0% 17.6% 5.8% 0.8% -7.5K 30.8K -1.2K 2.17 75.79 N/A N/A 12 26 47 37 2019-03-25 $120.53 $122.00 20.6% 5.4% 15.1% 21.1% 0.0% 8.5% -1.2% -9.6K 52.2K -1.1K 0.00 92.46 N/A N/A 0 0 41 37 2019-03-26 $120.78 $122.00 17.0% 5.2% 15.2% 12.4% 15.9% 4.5% 2.5% -12.3K 49.0K -1.1K 0.00 92.22 N/A N/A 0 1 41 37 2019-03-27 $121.21 $122.00 19.6% 5.4% 15.3% 18.6% 21.6% 1.8% -0.7% -12.4K 44.6K -1.1K 0.00 101.39 N/A N/A 0 1 41 38 2019-03-28 $122.12 $122.00 18.1% 5.3% 15.0% 15.1% 29.2% 5.6% 0.8% -14.0K 19.5K -1.1K 0.00 102.14 N/A N/A 0 1 41 38 2019-03-29 $123.08 $122.00 15.0% 4.9% 15.3% 7.6% 20.0% 2.8% 1.9% -15.0K -39.0K -1.1K 0.00 89.01 N/A N/A 0 1 41 38
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