VAW Options History — October 2019

In October 2019, VAW traded between $120.31 and $128.42. ATM implied volatility averaged 16.8%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.1% (HV 20d: 16.9%). Max pain ranged from $121.00 to $125.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.09.

Notable Days

  • 2019-10-01: Highest Volume — 9 contracts
  • 2019-10-02: Largest IV spike — 29.9% change
  • 2019-10-02: Highest IV Rank — 30.5%
  • 2019-10-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.49$120.31$128.42$123.73$126.57
Max Pain$122.22$121.00$125.00$125.00$123.00
ATM IV16.8%11.0%24.0%18.4%11.9%
Expected Move4.7%3.1%6.9%5.3%3.4%
HV 20d16.9%13.2%18.6%15.8%14.3%
HV 60d18.0%17.4%18.7%17.4%17.5%
IV Rank13.8%0.2%30.5%17.7%2.4%
IV Percentile30.8%0.4%77.4%42.5%2.0%
Term Structure1.9%-1.1%5.1%4.8%5.1%
VWIV15.4%10.7%25.2%11.1%17.6%
Skew 25d5.8%-6.6%15.5%-6.6%14.8%
Skew 10d6.2%-10.0%12.4%4.0%5.2%
Call IV 25d15.4%8.2%27.8%24.7%9.6%
Put IV 25d21.2%13.7%31.2%18.1%24.3%
Bid-Ask Spread %119.08100.10143.63133.14143.63
Gamma HHI0.130.110.210.120.13
Net GEX63.6K31.1K100.4K57.1K89.4K
Net DEX-368.9K-545.8K-159.7K-461.8K-518.9K
Net VEX-1.8K-2.2K-1.4K-2.2K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.800.000.00
Total Volume2.6090990
Total OI105.087101114111104

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$123.73$125.0018.4%5.3%15.8%17.7%0.0%-6.6%4.8%57.1K-461.8K-2.2K0.00133.14N/AN/A901047
2019-10-02$121.48$125.0024.0%6.9%16.6%30.5%0.0%15.5%-0.3%37.9K-290.0K-1.9K0.00134.95N/AN/A10977
2019-10-03$121.42$121.0023.7%6.4%16.2%30.0%0.0%8.2%-1.1%35.8K-245.3K-1.8K0.00123.56N/AN/A00967
2019-10-04$122.53$121.0021.1%5.5%16.6%23.9%0.0%6.8%-0.0%42.4K-296.0K-1.9K0.00117.91N/AN/A00967
2019-10-07$122.57$121.0020.2%5.4%16.6%21.8%0.0%5.9%2.2%44.2K-314.3K-1.9K0.00122.95N/AN/A00967
2019-10-08$120.31$121.0021.7%5.4%17.2%25.3%11.1%14.0%-0.5%31.1K-159.7K-1.4K0.00100.10N/AN/A40967
2019-10-09$121.28$121.0019.4%5.6%16.8%19.9%0.0%5.5%-0.0%40.6K-239.5K-1.7K0.00104.32N/AN/A00997
2019-10-10$122.22$121.0017.6%5.1%16.7%15.8%0.0%2.3%3.8%42.8K-279.4K-1.8K0.00118.89N/AN/A00997
2019-10-11$125.06$121.0015.9%4.6%18.6%11.8%25.2%2.1%2.5%52.5K-435.5K-2.0K0.00135.07N/AN/A40997
2019-10-14$123.90$121.0016.9%4.8%18.1%14.0%0.0%8.3%1.7%55.5K-390.5K-1.9K0.00128.34N/AN/A501027
2019-10-15$124.56$121.0016.4%4.7%18.1%12.9%17.2%8.1%-0.4%67.4K-330.6K-1.7K0.80121.01N/AN/A541027
2019-10-16$124.63$121.0015.0%4.3%18.1%9.7%13.8%4.2%3.3%70.5K-315.3K-1.6K0.00105.92N/AN/A201027
2019-10-17$125.24$121.0016.4%4.7%18.2%12.8%17.8%8.6%0.4%76.8K-398.4K-1.8K0.00105.36N/AN/A031047
2019-10-18$125.24$123.0015.0%4.3%18.1%9.5%11.1%6.5%2.1%82.2K-363.8K-1.8K0.00102.09N/AN/A5010410
2019-10-21$125.04$123.0016.1%4.6%18.1%12.2%16.5%7.2%3.7%64.2K-359.7K-1.7K0.33116.97N/AN/A31974
2019-10-22$124.75$123.0016.6%4.8%17.5%13.4%13.7%5.7%-0.2%63.0K-329.9K-1.6K0.00102.62N/AN/A50975
2019-10-23$125.24$123.0015.2%4.4%17.2%10.1%0.0%6.0%0.7%67.5K-344.7K-1.6K0.00111.87N/AN/A00975
2019-10-24$125.72$123.0014.4%4.1%17.1%8.3%14.7%8.5%1.2%71.0K-383.8K-1.7K0.00107.25N/AN/A10975
2019-10-25$127.28$123.0012.8%3.7%17.5%4.5%10.7%2.6%3.9%88.1K-454.1K-1.7K0.00115.77N/AN/A03975
2019-10-28$127.76$123.0011.0%3.1%17.3%0.2%0.0%-1.7%4.5%93.5K-501.3K-1.7K0.00121.77N/AN/A10965
2019-10-29$128.42$123.0012.5%3.6%15.1%3.9%17.6%-0.8%3.1%100.4K-525.6K-1.7K0.00124.42N/AN/A40975
2019-10-30$128.25$123.0013.5%3.9%13.2%6.2%0.0%2.0%2.6%89.2K-545.8K-1.8K0.00140.81N/AN/A00995
2019-10-31$126.57$123.0011.9%3.4%14.3%2.4%0.0%14.8%5.1%89.4K-518.9K-1.7K0.00143.63N/AN/A00995