VAW Options History — May 2019

In May 2019, VAW traded between $115.21 and $125.60. ATM implied volatility averaged 23.0%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 6.3% (HV 20d: 16.7%). Max pain ranged from $115.00 to $130.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.63.

Notable Days

  • 2019-05-14: Highest Volume — 70 contracts
  • 2019-05-13: Largest IV spike — 74.3% change
  • 2019-05-13: Highest IV Rank — 81.0%
  • 2019-05-20: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.10$115.21$125.60$124.88$115.21
Max Pain$120.05$115.00$130.00$122.00$115.00
ATM IV23.0%16.0%45.8%16.0%24.3%
Expected Move6.0%4.6%7.5%4.6%7.0%
HV 20d16.7%11.6%19.6%11.8%19.0%
HV 60d15.1%13.9%16.0%13.9%16.0%
IV Rank26.7%10.2%81.0%10.2%29.8%
IV Percentile65.5%25.4%99.2%25.4%79.4%
Term Structure-2.3%-9.5%1.8%1.8%1.1%
VWIV20.8%11.3%31.5%21.4%18.5%
Skew 25d4.7%-12.0%16.2%2.9%10.2%
Skew 10d4.9%-6.6%14.5%2.3%9.4%
Call IV 25d18.5%11.1%30.9%14.2%15.9%
Put IV 25d23.2%16.2%32.5%17.2%26.1%
Bid-Ask Spread %120.8893.58155.65118.73103.50
Gamma HHI0.320.150.720.270.43
Net GEX47.1K11.4K92.0K92.0K24.7K
Net DEX-199.6K-501.0K-50.2K-501.0K-105.0K
Net VEX-976-1.2K-695-1.2K-721
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0021.000.000.00
Total Volume16.45507011
Total OI101.8184114710379

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$124.88$122.0016.0%4.6%11.8%10.2%0.0%2.9%1.8%92.0K-501.0K-1.2K0.00118.73N/AN/A109013
2019-05-02$123.60$122.0018.4%5.3%11.6%15.7%0.0%9.8%-0.8%70.0K-324.4K-1.1K0.00114.60N/AN/A109013
2019-05-03$125.60$122.0018.3%5.3%12.6%15.6%0.0%1.8%0.7%89.6K-441.8K-1.1K0.00119.62N/AN/A1309013
2019-05-06$124.07$130.0019.4%5.3%13.2%18.1%0.0%6.3%-0.8%80.3K-328.4K-1.1K0.0098.75N/AN/A0010213
2019-05-07$121.49$130.0023.2%5.7%14.8%27.3%0.0%8.0%-1.3%64.7K-262.5K-9990.0098.43N/AN/A10010213
2019-05-08$121.78$130.0024.6%6.1%14.8%30.6%0.0%11.0%-4.4%55.3K-231.3K-1.2K0.00113.70N/AN/A11011213
2019-05-09$120.76$130.0023.9%5.8%14.9%28.8%0.0%0.9%0.1%43.5K-170.6K-1.1K0.00120.44N/AN/A11011113
2019-05-10$121.75$130.0026.3%5.7%15.4%34.6%0.0%0.8%-0.8%57.5K-269.3K-1.2K0.00120.64N/AN/A0011113
2019-05-13$118.82$130.0045.8%7.2%16.4%81.0%21.4%0.3%-6.6%36.9K-130.1K-9470.00125.06N/AN/A0111113
2019-05-14$120.12$115.0025.2%5.9%17.2%32.1%14.1%7.1%-1.4%22.6K-75.6K-8450.0193.58N/AN/A69111114
2019-05-15$119.93$115.0023.6%6.8%17.0%28.2%0.0%16.2%-2.9%26.9K-81.8K-8160.00120.02N/AN/A01311214
2019-05-16$121.03$115.0018.0%5.2%17.6%14.9%0.0%4.7%-0.8%28.0K-119.9K-85821.00108.38N/AN/A12111227
2019-05-17$120.17$115.0018.6%5.3%17.6%16.2%0.0%6.5%-0.8%91.1K-50.2K-73621.00109.40N/AN/A12111235
2019-05-20$118.41$115.0026.2%7.5%18.1%34.5%27.6%10.3%-9.5%11.4K-74.9K-6950.00127.85N/AN/A370383
2019-05-21$120.21$115.0020.9%6.0%19.0%21.9%21.9%6.1%1.0%41.4K-263.2K-1.2K0.00131.75N/AN/A370753
2019-05-22$119.35$115.0017.3%5.0%19.0%13.3%11.3%4.1%-2.7%47.7K-217.6K-1.1K0.00123.50N/AN/A370753
2019-05-23$117.11$115.0023.5%6.8%19.6%28.1%19.2%5.7%-0.1%33.6K-155.9K-9750.00145.56N/AN/A370753
2019-05-24$117.79$115.0022.8%6.5%19.4%26.2%31.5%-12.0%-7.8%31.4K-185.1K-1.0K0.00149.26N/AN/A370753
2019-05-28$116.79$115.0023.8%6.8%19.5%28.7%0.0%-0.8%-3.6%30.1K-172.8K-9420.00155.65N/AN/A00753
2019-05-29$116.65$115.0025.2%7.2%19.3%32.0%0.0%-0.1%-4.9%29.3K-94.7K-7440.00151.45N/AN/A00753
2019-05-30$116.66$115.0020.0%5.7%18.8%19.6%21.9%4.1%-6.8%28.5K-134.4K-7940.00109.46N/AN/A10763
2019-05-31$115.21$115.0024.3%7.0%19.0%29.8%18.5%10.2%1.1%24.7K-105.0K-7210.00103.50N/AN/A10763