VAW Options History — September 2019

In September 2019, VAW traded between $121.54 and $129.12. ATM implied volatility averaged 17.1%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.3% (HV 20d: 16.8%). Max pain ranged from $120.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.09.

Notable Days

2019-09-11: Highest Volume — 14 contracts
2019-09-24: Largest IV spike — 52.2% change
2019-09-10: Highest IV Rank — 29.6%
2019-09-03: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$126.09	$121.54	$129.12	$121.54	$126.53
Max Pain	$121.60	$120.00	$125.00	$121.00	$125.00
ATM IV	17.1%	10.9%	23.6%	21.3%	16.8%
Expected Move	4.7%	3.1%	6.1%	6.1%	4.8%
HV 20d	16.8%	12.1%	21.9%	21.5%	13.7%
HV 60d	16.5%	15.8%	17.0%	15.8%	17.0%
IV Rank	14.4%	0.0%	29.6%	24.2%	13.7%
IV Percentile	33.2%	0.0%	74.2%	61.1%	31.7%
Term Structure	0.9%	-4.3%	9.3%	-4.3%	0.9%
VWIV	19.6%	16.3%	28.7%	19.1%	16.3%
Skew 25d	4.3%	-8.4%	18.2%	18.2%	6.1%
Skew 10d	8.8%	-6.2%	25.7%	-6.2%	4.3%
Call IV 25d	16.5%	10.0%	25.5%	15.8%	13.3%
Put IV 25d	20.9%	14.5%	34.0%	34.0%	19.4%
Bid-Ask Spread %	125.75	90.71	147.77	128.32	120.25
Gamma HHI	0.14	0.11	0.20	0.12	0.13
Net GEX	53.0K	27.7K	74.9K	27.7K	65.9K
Net DEX	-454.4K	-627.0K	-234.2K	-234.2K	-500.1K
Net VEX	-2.2K	-2.5K	-1.7K	-1.7K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	0.67	0.00	0.00
Total Volume	3.2	0	14	2	0
Total OI	98.45	77	115	77	111

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
2019-09-03	$121.54	$121.00	21.3%	6.1%	21.5%	24.2%	19.1%	18.2%	-4.3%	27.7K	-234.2K	-1.7K	0.00	128.32	N/A	N/A	0	2	73	4
2019-09-04	$122.97	$121.00	18.7%	5.4%	21.9%	18.1%	0.0%	5.9%	-0.5%	29.1K	-249.1K	-1.7K	0.00	108.19	N/A	N/A	0	0	73	5
2019-09-05	$124.16	$120.00	23.5%	4.7%	21.7%	29.3%	0.0%	11.1%	0.9%	30.6K	-288.9K	-1.8K	0.00	147.77	N/A	N/A	2	0	73	5
2019-09-06	$124.15	$120.00	18.7%	5.5%	20.5%	17.9%	0.0%	2.2%	0.3%	35.9K	-295.0K	-1.8K	0.00	90.71	N/A	N/A	0	0	75	5
2019-09-09	$123.94	$120.00	21.5%	5.2%	20.4%	24.5%	0.0%	10.2%	-1.9%	36.1K	-310.6K	-1.8K	0.00	121.81	N/A	N/A	6	0	75	5
2019-09-10	$125.26	$120.00	23.6%	4.9%	19.5%	29.6%	0.0%	11.9%	-1.2%	40.0K	-314.8K	-1.9K	0.00	113.78	N/A	N/A	1	0	78	5
2019-09-11	$126.76	$120.00	17.0%	4.9%	19.6%	14.1%	0.0%	5.0%	1.3%	44.8K	-404.9K	-2.0K	0.27	127.63	N/A	N/A	11	3	79	5
2019-09-12	$127.96	$120.00	16.0%	4.6%	15.8%	11.7%	0.0%	-1.7%	3.9%	45.0K	-534.7K	-2.4K	0.00	130.17	N/A	N/A	7	0	90	8
2019-09-13	$129.12	$120.00	15.7%	4.5%	15.8%	11.0%	28.7%	-8.4%	-4.2%	59.5K	-627.0K	-2.5K	0.67	144.41	N/A	N/A	3	2	97	9
2019-09-16	$127.13	$120.00	16.4%	4.7%	16.3%	12.5%	0.0%	4.0%	-0.3%	70.1K	-589.1K	-2.5K	0.00	100.77	N/A	N/A	0	0	99	11
2019-09-17	$127.88	$120.00	12.7%	3.6%	16.1%	3.9%	0.0%	7.8%	2.4%	74.7K	-558.7K	-2.4K	0.00	105.29	N/A	N/A	5	0	99	11
2019-09-18	$127.53	$120.00	17.0%	4.9%	15.5%	14.1%	0.0%	0.1%	-1.9%	59.6K	-590.1K	-2.4K	0.00	146.92	N/A	N/A	0	0	104	11
2019-09-19	$127.79	$120.00	17.1%	4.9%	15.5%	14.2%	16.8%	-4.9%	-3.2%	66.8K	-621.6K	-2.4K	0.00	147.73	N/A	N/A	10	0	104	11
2019-09-20	$127.24	$120.00	12.5%	3.6%	15.4%	3.6%	17.0%	0.0%	3.9%	74.9K	-578.4K	-2.4K	0.00	120.88	N/A	N/A	0	1	104	11
2019-09-23	$127.59	$125.00	10.9%	3.1%	12.1%	0.0%	0.0%	11.7%	3.7%	61.4K	-518.1K	-2.3K	0.00	144.88	N/A	N/A	1	0	96	6
2019-09-24	$125.88	$125.00	16.5%	4.7%	13.4%	13.2%	0.0%	2.9%	9.3%	53.2K	-469.4K	-2.3K	0.00	135.35	N/A	N/A	0	0	97	6
2019-09-25	$126.99	$125.00	15.5%	4.4%	13.6%	10.8%	16.3%	4.5%	1.6%	60.6K	-475.9K	-2.3K	0.00	106.89	N/A	N/A	9	0	97	6
2019-09-26	$126.03	$125.00	14.0%	4.0%	13.9%	7.3%	0.0%	-3.7%	4.8%	61.5K	-475.6K	-2.3K	0.00	140.82	N/A	N/A	0	1	104	6
2019-09-27	$125.40	$125.00	16.8%	4.8%	13.5%	13.9%	0.0%	3.0%	1.5%	61.8K	-450.8K	-2.3K	0.00	132.43	N/A	N/A	0	0	104	7
2019-09-30	$126.53	$125.00	16.8%	4.8%	13.7%	13.7%	0.0%	6.1%	0.9%	65.9K	-500.1K	-2.3K	0.00	120.25	N/A	N/A	0	0	104	7