VAW Options History — November 2019

In November 2019, VAW traded between $128.67 and $131.67. ATM implied volatility averaged 14.4%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.1% (HV 20d: 11.3%). Max pain ranged from $123.00 to $127.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2019-11-15: Highest Volume — 22 contracts
2019-11-08: Largest IV spike — 162.2% change
2019-11-08: Highest IV Rank — 54.5%
2019-11-01: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$130.66	$128.67	$131.67	$128.67	$130.93
Max Pain	$126.20	$123.00	$127.00	$123.00	$124.00
ATM IV	14.4%	11.1%	34.3%	18.9%	12.0%
Expected Move	3.9%	3.2%	5.4%	5.4%	3.4%
HV 20d	11.3%	9.7%	15.2%	15.0%	9.7%
HV 60d	15.0%	13.6%	17.4%	17.4%	13.6%
IV Rank	8.5%	0.6%	54.5%	18.7%	2.8%
IV Percentile	16.7%	1.2%	98.4%	52.0%	4.4%
Term Structure	0.6%	-7.0%	5.2%	-7.0%	1.8%
VWIV	13.6%	10.0%	17.6%	14.7%	17.6%
Skew 25d	2.7%	-8.0%	14.2%	-8.0%	3.6%
Skew 10d	8.1%	-4.5%	20.8%	5.8%	7.9%
Call IV 25d	12.9%	8.5%	25.3%	20.2%	10.6%
Put IV 25d	15.6%	10.9%	27.6%	12.2%	14.2%
Bid-Ask Spread %	109.12	78.84	139.24	137.37	102.96
Gamma HHI	0.19	0.13	0.26	0.13	0.18
Net GEX	95.8K	46.6K	159.1K	106.2K	62.5K
Net DEX	-684.4K	-995.8K	-409.6K	-560.9K	-540.2K
Net VEX	-1.9K	-2.1K	-1.7K	-1.7K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	2.40	0.00	0.00
Total Volume	4.4	0	22	6	0
Total OI	108.4	87	132	104	92

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
2019-11-01	$128.67	$123.00	18.9%	5.4%	15.0%	18.7%	0.0%	-8.0%	-7.0%	106.2K	-560.9K	-1.7K	0.00	137.37	N/A	N/A	6	0	99	5
2019-11-04	$129.90	$127.00	13.1%	3.8%	15.2%	5.2%	0.0%	4.0%	1.3%	125.7K	-722.7K	-1.7K	0.00	104.09	N/A	N/A	5	0	103	2
2019-11-05	$130.42	$127.00	13.5%	4.1%	12.9%	6.0%	14.7%	2.2%	2.1%	132.9K	-815.8K	-1.8K	2.40	103.34	N/A	N/A	5	12	108	2
2019-11-06	$130.07	$127.00	11.2%	4.8%	13.0%	0.7%	0.0%	2.6%	1.1%	128.9K	-735.2K	-2.1K	0.00	105.80	N/A	N/A	0	0	113	14
2019-11-07	$131.02	$127.00	13.1%	4.0%	13.0%	5.1%	0.0%	2.6%	1.3%	122.6K	-844.5K	-2.0K	0.00	105.05	N/A	N/A	0	0	113	14
2019-11-08	$131.51	$127.00	34.3%	3.8%	10.7%	54.5%	0.0%	-2.7%	-0.6%	95.2K	-844.8K	-2.1K	0.00	139.24	N/A	N/A	0	0	113	14
2019-11-11	$131.39	$127.00	11.5%	4.0%	9.9%	1.5%	0.0%	2.4%	2.3%	144.4K	-900.9K	-1.9K	0.00	78.84	N/A	N/A	0	0	113	14
2019-11-12	$131.67	$127.00	16.4%	3.5%	9.9%	13.0%	12.9%	3.7%	0.6%	159.1K	-979.1K	-1.7K	0.00	91.03	N/A	N/A	15	0	113	14
2019-11-13	$131.12	$127.00	11.2%	3.2%	10.1%	0.7%	0.0%	14.2%	2.9%	137.6K	-907.8K	-1.8K	0.00	120.93	N/A	N/A	0	0	118	14
2019-11-14	$131.61	$127.00	16.4%	4.7%	10.1%	13.9%	12.9%	-1.1%	-2.6%	121.3K	-925.4K	-1.8K	0.00	113.24	N/A	N/A	12	0	118	14
2019-11-15	$131.36	$127.00	12.9%	3.7%	10.2%	5.0%	0.0%	2.9%	0.4%	138.2K	-995.8K	-1.7K	0.00	136.45	N/A	N/A	22	0	118	14
2019-11-18	$131.11	$127.00	11.8%	3.4%	10.2%	2.4%	10.0%	4.5%	5.2%	51.5K	-513.9K	-2.0K	0.00	136.15	N/A	N/A	0	1	75	12
2019-11-19	$131.03	$127.00	12.8%	3.7%	10.1%	4.9%	0.0%	1.0%	1.5%	49.6K	-497.1K	-2.0K	0.00	95.45	N/A	N/A	4	0	75	13
2019-11-20	$129.56	$127.00	16.2%	4.7%	11.2%	13.5%	17.6%	2.3%	-3.6%	46.6K	-439.4K	-2.1K	0.00	130.51	N/A	N/A	0	2	79	13
2019-11-21	$129.21	$127.00	14.1%	4.0%	11.3%	8.1%	0.0%	4.5%	0.9%	51.4K	-409.6K	-2.0K	0.00	83.78	N/A	N/A	1	0	79	13
2019-11-22	$129.46	$127.00	13.1%	3.7%	10.5%	5.6%	0.0%	4.4%	1.6%	55.7K	-413.0K	-2.0K	0.00	105.44	N/A	N/A	3	0	78	13
2019-11-25	$130.40	$124.00	12.7%	3.6%	10.7%	4.7%	0.0%	5.1%	0.0%	62.4K	-506.1K	-2.0K	0.00	100.27	N/A	N/A	0	0	81	11
2019-11-26	$131.18	$124.00	12.1%	3.5%	10.8%	3.0%	0.0%	2.8%	0.5%	63.2K	-555.8K	-2.0K	0.00	101.60	N/A	N/A	0	0	81	11
2019-11-27	$131.61	$124.00	11.1%	3.2%	10.8%	0.6%	0.0%	2.5%	1.9%	61.5K	-580.5K	-1.9K	0.00	90.88	N/A	N/A	0	0	81	11
2019-11-29	$130.93	$124.00	12.0%	3.4%	9.7%	2.8%	0.0%	3.6%	1.8%	62.5K	-540.2K	-1.9K	0.00	102.96	N/A	N/A	0	0	81	11