VAW Options History — June 2019 In June 2019, VAW traded between $117.77 and $127.92. ATM implied volatility averaged 16.9%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 2.4% (HV 20d: 19.3%). Max pain ranged from $115.00 to $122.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-06-28 : Highest Volume — 17 contracts2019-06-04 : Largest IV drop — 23.0% change2019-06-03 : Highest IV Rank — 32.6%2019-06-03 : Largest Expected Move — 7.3%Monthly Statistics Metric Avg Min Max Open Close Price $125.13 $117.77 $127.92 $117.77 $127.92 Max Pain $120.95 $115.00 $122.00 $115.00 $122.00 ATM IV 16.9% 13.4% 25.5% 25.5% 13.4% Expected Move 4.9% 3.9% 7.3% 7.3% 3.9% HV 20d 19.3% 15.0% 23.2% 19.9% 15.0% HV 60d 17.2% 16.3% 18.0% 16.6% 16.3% IV Rank 12.3% 4.0% 32.6% 32.6% 4.0% IV Percentile 29.8% 4.0% 84.1% 84.1% 4.0% Term Structure 0.2% -9.9% 7.9% -9.9% 7.9% VWIV 16.2% 13.0% 22.1% 20.4% 13.1% Skew 25d 4.8% -1.3% 11.2% 4.0% 2.5% Skew 10d 6.7% -6.2% 23.3% -6.2% -1.0% Call IV 25d 14.9% 8.1% 22.6% 22.6% 15.1% Put IV 25d 19.7% 13.6% 26.5% 26.5% 17.6% Bid-Ask Spread % 103.78 66.69 146.49 128.75 114.11 Gamma HHI 0.33 0.17 0.62 0.45 0.17 Net GEX 57.0K 30.8K 74.4K 33.0K 38.7K Net DEX -448.0K -698.1K -139.1K -139.1K -308.4K Net VEX -1.0K -1.1K -789 -789 -1.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 4 0 17 3 17 Total OI 76.15 45 96 79 52
Daily Data (20 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 2019-06-03 $117.77 $115.00 25.5% 7.3% 19.9% 32.6% 0.0% 4.0% -9.9% 33.0K -139.1K -789 0.00 128.75 N/A N/A 3 0 76 3 2019-06-04 $121.64 $115.00 19.6% 5.6% 23.2% 18.7% 0.0% 7.6% -0.2% 69.1K -265.4K -988 0.00 122.07 N/A N/A 3 0 79 3 2019-06-05 $122.37 $115.00 19.2% 5.5% 22.1% 17.7% 0.0% 3.7% 1.3% 66.4K -334.2K -1.1K 0.00 120.47 N/A N/A 3 0 79 3 2019-06-06 $124.14 $122.00 16.8% 5.1% 22.6% 12.0% 20.4% 4.6% 0.2% 71.2K -449.3K -1.1K 0.00 70.74 N/A N/A 3 0 79 3 2019-06-07 $125.15 $122.00 16.6% 4.6% 22.5% 11.5% 18.8% 2.8% 2.1% 65.6K -507.9K -1.1K 0.00 92.15 N/A N/A 3 0 79 3 2019-06-10 $125.28 $122.00 16.4% 6.2% 22.3% 11.2% 13.0% 11.2% -4.6% 61.2K -581.2K -985 0.00 116.27 N/A N/A 5 0 79 3 2019-06-11 $125.34 $122.00 19.6% 4.9% 20.2% 18.6% 17.0% 3.2% 0.2% 69.1K -553.1K -1.1K 0.00 84.04 N/A N/A 5 0 84 3 2019-06-12 $125.43 $122.00 15.2% 4.4% 20.0% 8.2% 22.1% 7.7% 4.4% 69.4K -575.7K -1.1K 0.00 94.22 N/A N/A 5 0 84 3 2019-06-13 $126.17 $122.00 16.3% 4.7% 19.9% 10.8% 16.9% 6.5% 1.2% 67.6K -603.9K -1.0K 0.00 66.69 N/A N/A 1 0 84 3 2019-06-14 $125.83 $122.00 15.8% 4.5% 19.9% 9.5% 15.8% 3.9% 0.6% 72.2K -571.8K -973 0.00 111.86 N/A N/A 1 0 85 3 2019-06-17 $124.88 $122.00 17.2% 4.9% 19.9% 13.0% 0.0% 4.7% -1.2% 74.4K -558.7K -940 0.00 79.57 N/A N/A 0 0 85 3 2019-06-18 $126.03 $122.00 14.7% 4.2% 19.0% 7.1% 0.0% -1.3% -1.5% 69.0K -623.8K -912 0.00 116.65 N/A N/A 0 0 85 3 2019-06-19 $125.79 $122.00 17.6% 5.0% 18.6% 13.9% 0.0% 1.3% -1.5% 64.7K -560.6K -932 0.00 146.49 N/A N/A 0 0 85 3 2019-06-20 $126.99 $122.00 15.3% 4.4% 18.4% 8.5% 0.0% 3.7% 2.0% 68.8K -646.5K -873 0.00 107.73 N/A N/A 8 0 85 3 2019-06-21 $126.25 $122.00 16.0% 4.6% 16.8% 10.0% 0.0% 5.1% 0.7% 50.9K -698.1K -1.0K 0.00 99.69 N/A N/A 8 0 93 3 2019-06-24 $126.10 $122.00 16.7% 4.8% 16.9% 11.8% 15.5% 4.0% 0.1% 30.8K -232.8K -995 0.00 85.67 N/A N/A 1 0 43 2 2019-06-25 $126.41 $122.00 15.9% 4.6% 16.3% 9.8% 13.3% 5.2% 0.3% 32.0K -245.0K -1.0K 0.00 110.38 N/A N/A 1 0 44 2 2019-06-26 $126.29 $122.00 15.6% 4.5% 16.3% 9.2% 13.1% 6.2% 0.9% 32.4K -252.3K -1.0K 0.00 107.79 N/A N/A 2 0 45 2 2019-06-27 $126.88 $122.00 14.9% 4.3% 16.2% 7.6% 15.1% 9.2% 0.9% 33.3K -252.4K -1.0K 0.00 100.21 N/A N/A 11 0 45 2 2019-06-28 $127.92 $122.00 13.4% 3.9% 15.0% 4.0% 13.1% 2.5% 7.9% 38.7K -308.4K -1.1K 0.00 114.11 N/A N/A 17 0 50 2
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