VAW Options History — April 2019 In April 2019, VAW traded between $124.94 and $128.41. ATM implied volatility averaged 15.3%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.1% (HV 20d: 14.2%). Max pain ranged from $122.00 to $122.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.12.
Notable Days 2019-04-25 : Highest Volume — 50 contracts2019-04-29 : Largest IV spike — 67.1% change2019-04-29 : Highest IV Rank — 29.4%2019-04-29 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $127.06 $124.94 $128.41 $124.94 $126.86 Max Pain $122.00 $122.00 $122.00 $122.00 $122.00 ATM IV 15.3% 12.3% 24.1% 19.0% 15.4% Expected Move 4.5% 3.5% 6.9% 6.2% 4.4% HV 20d 14.2% 10.0% 16.5% 16.2% 10.3% HV 60d 14.7% 13.4% 16.9% 16.9% 13.4% IV Rank 8.4% 1.3% 29.4% 17.2% 8.7% IV Percentile 17.9% 0.4% 81.0% 45.2% 21.0% Term Structure 1.2% -8.3% 7.2% 7.0% 1.0% VWIV 14.4% 12.1% 18.1% 12.1% 13.3% Skew 25d 3.0% -6.7% 15.5% 1.3% 5.0% Skew 10d 3.1% -5.4% 10.1% 4.5% -0.8% Call IV 25d 14.1% 8.0% 24.3% 24.3% 11.7% Put IV 25d 17.1% 11.0% 25.6% 25.6% 16.7% Bid-Ask Spread % 113.56 89.72 129.51 112.58 117.22 Gamma HHI 0.19 0.14 0.27 0.20 0.27 Net GEX 33.4K -8.7K 95.7K -8.7K 95.7K Net DEX -354.2K -574.9K -123.6K -123.6K -574.9K Net VEX -993 -1.3K -789 -1.1K -1.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.12 0.00 0.67 0.00 0.00 Total Volume 8.619 0 50 2 1 Total OI 88.095 62 104 79 103
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 2019-04-01 $124.94 $122.00 19.0% 6.2% 16.2% 17.2% 0.0% 1.3% 7.0% -8.7K -123.6K -1.1K 0.00 112.58 N/A N/A 2 0 41 38 2019-04-02 $125.14 $122.00 15.2% 4.6% 16.2% 8.3% 0.0% 6.3% 0.2% -3.5K -174.6K -1.0K 0.00 96.04 N/A N/A 2 0 43 38 2019-04-03 $126.50 $122.00 18.7% 4.5% 16.5% 16.6% 0.0% 6.1% -0.2% 545 -231.4K -985 0.00 106.40 N/A N/A 2 0 43 38 2019-04-04 $127.68 $122.00 13.4% 4.3% 16.2% 3.9% 0.0% 4.5% 2.2% 12.9K -310.1K -789 0.00 94.82 N/A N/A 2 0 43 38 2019-04-05 $127.90 $122.00 12.6% 4.4% 16.1% 2.1% 12.1% 0.9% 1.3% 11.3K -316.2K -834 0.00 89.72 N/A N/A 8 0 43 38 2019-04-08 $128.12 $122.00 15.3% 5.5% 15.5% 8.5% 0.0% -6.7% -0.3% 15.4K -349.7K -902 0.67 120.72 N/A N/A 3 2 49 38 2019-04-09 $127.01 $122.00 13.7% 4.3% 15.8% 4.6% 0.0% 3.8% 1.0% 18.6K -343.8K -1.0K 0.67 106.71 N/A N/A 3 2 52 40 2019-04-10 $127.15 $122.00 16.4% 4.7% 15.8% 11.0% 0.0% 2.6% 0.8% 9.2K -291.4K -1.1K 0.67 129.51 N/A N/A 3 2 52 40 2019-04-11 $126.95 $122.00 13.5% 3.9% 15.4% 4.2% 0.0% 3.7% 3.8% 18.7K -340.3K -976 0.15 109.42 N/A N/A 13 2 52 40 2019-04-12 $128.39 $122.00 14.7% 4.2% 15.7% 7.1% 0.0% 4.2% 1.1% 47.7K -418.0K -977 0.15 112.70 N/A N/A 13 2 62 40 2019-04-15 $127.88 $122.00 12.3% 3.5% 15.7% 1.3% 0.0% 6.1% 6.3% 40.0K -415.4K -946 0.00 111.54 N/A N/A 0 0 62 40 2019-04-16 $128.41 $122.00 13.1% 3.8% 15.5% 3.2% 0.0% 3.0% 5.3% 49.6K -424.1K -914 0.00 120.53 N/A N/A 2 0 62 40 2019-04-17 $127.88 $122.00 13.2% 3.8% 15.6% 3.5% 0.0% 15.5% 0.2% 39.9K -438.8K -917 0.00 120.59 N/A N/A 2 0 64 40 2019-04-18 $127.82 $122.00 14.9% 4.3% 15.5% 7.6% 15.3% 3.3% -0.8% 45.4K -387.6K -912 0.00 120.89 N/A N/A 4 0 64 40 2019-04-22 $126.84 $122.00 12.5% 3.6% 10.1% 1.9% 13.1% -0.8% 7.2% 35.3K -304.7K -838 0.00 116.67 N/A N/A 1 0 49 13 2019-04-23 $127.58 $122.00 17.4% 5.0% 10.0% 13.5% 18.1% -1.5% -0.9% 28.0K -301.6K -917 0.00 124.88 N/A N/A 3 0 50 13 2019-04-24 $127.04 $122.00 14.0% 4.0% 10.3% 5.4% 13.7% 3.0% -2.4% 40.0K -349.5K -901 0.00 116.36 N/A N/A 6 0 52 13 2019-04-25 $125.42 $122.00 17.2% 4.9% 11.7% 12.9% 15.1% 2.8% -4.1% 36.3K -266.5K -970 0.00 114.40 N/A N/A 50 0 56 13 2019-04-26 $126.34 $122.00 14.4% 4.1% 11.7% 6.4% 13.3% 5.2% 5.8% 89.8K -516.9K -1.3K 0.00 121.96 N/A N/A 50 0 91 13 2019-04-29 $126.40 $122.00 24.1% 6.9% 11.4% 29.4% 0.0% -5.5% -8.3% 79.7K -558.0K -1.3K 0.00 121.16 N/A N/A 1 0 91 13 2019-04-30 $126.86 $122.00 15.4% 4.4% 10.3% 8.7% 0.0% 5.0% 1.0% 95.7K -574.9K -1.2K 0.00 117.22 N/A N/A 1 0 90 13
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