VAW Options History — August 2019

In August 2019, VAW traded between $118.87 and $126.39. ATM implied volatility averaged 22.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.3% (HV 20d: 19.2%). Max pain ranged from $121.00 to $124.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2019-08-14: Highest Volume — 22 contracts
  • 2019-08-13: Largest IV spike — 114.2% change
  • 2019-08-13: Highest IV Rank — 92.3%
  • 2019-08-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.45$118.87$126.39$126.39$122.60
Max Pain$121.60$121.00$124.00$124.00$121.00
ATM IV22.5%16.1%50.5%25.4%19.3%
Expected Move5.7%4.6%7.3%7.3%5.5%
HV 20d19.2%13.2%22.6%13.2%22.4%
HV 60d16.6%15.6%17.9%15.7%15.8%
IV Rank27.0%11.8%92.3%33.7%19.5%
IV Percentile61.0%25.4%99.6%85.3%52.4%
Term Structure-0.1%-8.4%8.4%-6.3%-0.5%
VWIV20.1%14.0%25.3%14.0%15.6%
Skew 25d5.8%-4.8%20.9%2.1%8.5%
Skew 10d3.4%-9.5%14.7%11.7%11.4%
Call IV 25d17.1%9.5%29.5%13.4%9.5%
Put IV 25d22.9%15.5%32.2%15.5%18.0%
Bid-Ask Spread %124.68102.84142.02127.42123.06
Gamma HHI0.160.120.210.180.12
Net GEX27.4K15.0K47.6K46.7K27.8K
Net DEX-193.7K-298.4K-109.9K-298.4K-284.0K
Net VEX-1.3K-1.8K-775-1.3K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.002.000.140.00
Total Volume302281
Total OI67.72747776776

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$126.39$124.0025.4%7.3%13.2%33.7%14.0%2.1%-6.3%46.7K-298.4K-1.3K0.14127.42N/AN/A71634
2019-08-02$124.83$124.0020.5%5.9%13.8%22.3%0.0%-0.7%-8.4%39.0K-234.0K-1.2K0.00132.92N/AN/A00634
2019-08-05$122.36$0.0026.4%6.0%14.9%36.1%0.0%5.8%-0.7%29.5K-151.8K-9610.00119.43N/AN/A20634
2019-08-06$122.24$0.0030.0%6.3%14.6%44.5%0.0%2.5%-0.7%25.1K-184.7K-1.0K0.00130.52N/AN/A00614
2019-08-07$123.79$0.0030.8%5.8%15.4%46.3%0.0%5.4%-0.2%28.1K-179.8K-1.0K0.00126.57N/AN/A00614
2019-08-08$126.16$0.0018.5%5.7%16.9%17.5%0.0%9.2%-0.5%47.6K-218.3K-1.0K0.00105.06N/AN/A00614
2019-08-09$125.36$0.0022.0%5.2%16.5%25.7%0.0%4.1%-0.1%36.7K-241.7K-1.1K0.00127.19N/AN/A00614
2019-08-12$122.97$0.0023.6%6.9%17.7%29.4%0.0%1.1%-1.7%38.1K-151.2K-8750.00113.74N/AN/A00614
2019-08-13$124.32$0.0050.5%6.0%18.1%92.3%25.3%7.3%3.0%33.2K-210.0K-9290.00116.75N/AN/A02614
2019-08-14$120.55$122.0020.1%5.7%20.7%21.2%0.0%-4.8%1.9%21.3K-109.9K-7750.05130.32N/AN/A211615
2019-08-15$120.26$122.0023.1%6.6%20.6%28.4%0.0%-4.0%-1.5%18.0K-116.9K-1.1K0.00127.86N/AN/A00716
2019-08-16$122.35$122.0016.1%4.6%21.7%12.0%23.9%8.6%2.4%15.0K-119.1K-1.1K0.00120.13N/AN/A20716
2019-08-19$123.50$121.0020.4%5.9%22.0%22.1%21.6%8.4%2.7%17.7K-171.6K-1.2K2.00102.84N/AN/A12452
2019-08-20$122.17$121.0019.3%5.5%21.0%19.5%0.0%9.1%0.7%16.5K-146.6K-1.1K0.00108.06N/AN/A100464
2019-08-21$122.65$121.0020.0%5.7%21.0%21.1%15.6%13.3%-6.9%20.1K-194.4K-1.5K0.00142.02N/AN/A60564
2019-08-22$121.85$121.0016.1%4.6%20.9%11.8%0.0%10.8%8.4%24.3K-192.6K-1.5K0.00126.00N/AN/A100624
2019-08-23$119.04$121.0022.1%6.3%22.0%26.0%0.0%2.3%-1.1%21.7K-208.5K-1.7K0.00135.74N/AN/A00724
2019-08-26$118.87$121.0019.4%5.6%22.0%19.6%0.0%6.1%2.7%23.1K-209.1K-1.7K0.00129.81N/AN/A00724
2019-08-27$119.28$121.0017.1%4.9%21.9%14.3%0.0%6.4%1.3%20.7K-190.7K-1.6K0.00127.83N/AN/A00724
2019-08-28$120.38$121.0017.9%5.1%22.2%16.2%0.0%5.9%7.3%22.3K-197.8K-1.6K0.00133.97N/AN/A00724
2019-08-29$121.93$121.0016.8%4.8%22.6%13.6%0.0%20.9%-3.2%29.3K-249.2K-1.7K0.00135.84N/AN/A00724
2019-08-30$122.60$121.0019.3%5.5%22.4%19.5%0.0%8.5%-0.5%27.8K-284.0K-1.8K0.00123.06N/AN/A10724