VAW Options History — July 2019

In July 2019, VAW traded between $125.71 and $130.25. ATM implied volatility averaged 15.6%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 5.0% (HV 20d: 10.7%). Max pain ranged from $115.00 to $122.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.02.

Notable Days

  • 2019-07-19: Highest Volume — 28 contracts
  • 2019-07-25: Largest IV spike — 35.3% change
  • 2019-07-31: Highest IV Rank — 26.1%
  • 2019-07-31: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$128.10$125.71$130.25$128.72$128.00
Max Pain$117.32$115.00$122.00$122.00$120.00
ATM IV15.6%11.0%22.1%20.1%22.1%
Expected Move4.5%3.2%6.4%5.8%6.4%
HV 20d10.7%8.0%13.7%13.7%12.7%
HV 60d16.4%16.1%16.8%16.3%16.1%
IV Rank9.6%0.0%26.1%19.9%26.1%
IV Percentile23.2%0.0%67.1%57.1%67.1%
Term Structure0.3%-13.9%6.4%-4.9%1.4%
VWIV14.3%11.0%18.5%14.6%12.6%
Skew 25d4.2%-14.5%14.4%2.9%4.3%
Skew 10d11.5%-3.7%22.5%21.1%18.5%
Call IV 25d14.1%7.4%31.1%17.2%18.6%
Put IV 25d18.3%13.9%27.9%20.1%22.9%
Bid-Ask Spread %113.41101.71136.25136.25125.36
Gamma HHI0.180.150.210.160.19
Net GEX55.0K41.3K73.3K42.2K55.2K
Net DEX-372.4K-426.7K-241.8K-388.7K-383.6K
Net VEX-1.3K-1.4K-1.1K-1.2K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.140.000.14
Total Volume5.502808
Total OI63.86458705866

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$128.72$122.0020.1%5.8%13.7%19.9%0.0%2.9%-4.9%42.2K-388.7K-1.2K0.00136.25N/AN/A00562
2019-07-02$128.42$122.0019.3%5.5%9.0%17.9%0.0%-1.9%-13.9%44.0K-385.5K-1.2K0.00121.78N/AN/A00562
2019-07-03$129.14$122.0016.8%4.8%9.0%12.0%0.0%13.2%-13.6%41.3K-391.8K-1.2K0.00136.15N/AN/A00562
2019-07-05$128.88$115.0012.9%3.8%8.0%2.8%0.0%3.5%2.2%54.4K-388.4K-1.1K0.00102.44N/AN/A00562
2019-07-08$127.40$115.0016.4%4.6%9.0%11.0%0.0%4.3%1.5%51.4K-374.3K-1.1K0.00104.34N/AN/A00562
2019-07-09$126.08$115.0016.8%5.1%9.8%12.0%0.0%4.2%-1.4%49.7K-293.2K-1.1K0.00103.44N/AN/A100562
2019-07-10$125.71$115.0016.5%4.7%9.9%11.3%14.6%14.4%-0.6%55.3K-295.9K-1.4K0.00108.58N/AN/A160662
2019-07-11$125.92$115.0013.5%3.9%9.9%4.1%13.2%2.3%2.8%47.4K-241.8K-1.2K0.06103.48N/AN/A161602
2019-07-12$127.39$115.0014.5%4.2%10.5%6.6%11.0%1.8%3.3%60.3K-328.7K-1.3K0.06110.67N/AN/A171603
2019-07-15$127.53$115.0015.3%4.4%10.5%8.5%0.0%5.3%3.1%59.0K-370.9K-1.3K0.00104.51N/AN/A00613
2019-07-16$128.28$115.0012.6%3.6%10.1%2.0%13.8%4.9%6.2%54.6K-374.4K-1.3K0.00114.48N/AN/A60613
2019-07-17$127.14$115.0015.8%4.5%10.3%9.5%16.1%2.1%1.3%73.3K-384.4K-1.4K0.00112.18N/AN/A60673
2019-07-18$127.44$115.0015.6%4.5%10.3%9.2%13.8%7.3%3.3%62.5K-357.7K-1.3K0.00105.75N/AN/A60673
2019-07-19$128.12$115.0014.3%4.1%9.9%6.1%15.1%4.1%2.3%72.8K-406.2K-1.3K0.00111.74N/AN/A280673
2019-07-22$127.44$115.0016.6%4.8%9.9%11.6%0.0%3.6%4.4%53.5K-365.0K-1.4K0.00101.71N/AN/A00632
2019-07-23$129.78$115.0015.0%4.3%11.7%7.8%18.5%6.9%-2.5%56.9K-404.6K-1.4K0.00113.35N/AN/A01632
2019-07-24$130.25$120.0011.0%3.2%11.7%0.0%16.9%9.4%2.4%46.0K-426.7K-1.4K0.00119.14N/AN/A01633
2019-07-25$129.05$120.0014.9%4.3%12.3%9.1%11.2%7.3%0.7%53.4K-423.5K-1.4K0.00116.66N/AN/A01633
2019-07-26$129.38$120.0011.5%3.3%12.2%1.1%15.2%4.4%6.4%61.9K-405.8K-1.4K0.00114.78N/AN/A01633
2019-07-29$128.79$120.0013.8%4.0%12.1%6.7%0.0%2.0%1.6%59.7K-413.3K-1.4K0.00106.95N/AN/A10633
2019-07-30$129.44$120.0018.2%5.2%12.0%16.8%0.0%-14.5%0.7%55.5K-389.7K-1.3K0.00121.36N/AN/A10633
2019-07-31$128.00$120.0022.1%6.4%12.7%26.1%12.6%4.3%1.4%55.2K-383.6K-1.3K0.14125.36N/AN/A71633