VAW Options History — December 2019

In December 2019, VAW traded between $129.14 and $134.30. ATM implied volatility averaged 12.9%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 3.4% (HV 20d: 9.5%). Max pain ranged from $124.00 to $135.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2019-12-12: Highest Volume — 12 contracts
  • 2019-12-11: Largest IV spike — 32.7% change
  • 2019-12-11: Highest IV Rank — 16.3%
  • 2019-12-11: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.09$129.14$134.30$130.31$134.30
Max Pain$128.73$124.00$135.00$124.00$131.00
ATM IV12.9%10.0%17.3%14.9%13.5%
Expected Move3.7%2.9%5.0%4.3%3.9%
HV 20d9.5%8.1%10.8%8.2%9.5%
HV 60d12.9%11.1%13.8%13.7%11.1%
IV Rank5.7%0.0%16.3%10.2%8.7%
IV Percentile13.0%0.0%52.0%23.0%19.4%
Term Structure1.1%-1.9%2.6%-0.0%-1.0%
VWIV13.2%10.0%18.0%18.0%11.7%
Skew 25d3.3%-5.3%11.9%6.0%1.5%
Skew 10d4.3%-4.3%11.0%4.0%1.5%
Call IV 25d11.9%8.2%21.9%10.5%13.2%
Put IV 25d15.2%11.7%25.2%16.5%14.7%
Bid-Ask Spread %89.9054.86146.86146.86122.68
Gamma HHI0.160.110.250.170.16
Net GEX53.0K38.6K78.8K64.5K43.1K
Net DEX-533.0K-604.8K-406.8K-522.0K-545.8K
Net VEX-1.7K-1.9K-1.5K-1.9K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.000.002.00
Total Volume1.71401210
Total OI93.19821009295

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$130.31$124.0014.9%4.3%8.2%10.2%0.0%6.0%-0.0%64.5K-522.0K-1.9K0.00146.86N/AN/A108111
2019-12-03$129.14$124.0016.5%4.7%8.1%14.2%0.0%11.9%1.0%61.1K-406.8K-1.8K0.00112.25N/AN/A008111
2019-12-04$129.64$124.0013.2%3.8%8.1%5.8%0.0%3.2%1.3%65.0K-466.9K-1.9K0.00110.97N/AN/A008111
2019-12-05$130.22$0.0013.8%4.1%8.3%7.5%0.0%4.9%-0.2%65.6K-473.3K-1.8K0.0063.49N/AN/A008111
2019-12-06$131.55$0.0012.1%3.6%8.6%3.2%0.0%1.5%1.8%71.6K-585.0K-1.8K0.0058.16N/AN/A008111
2019-12-09$131.44$0.0013.2%3.9%8.5%6.0%0.0%4.4%1.5%71.2K-580.5K-1.7K0.0054.86N/AN/A008111
2019-12-10$130.54$0.0013.1%4.0%8.9%5.6%0.0%4.3%1.3%78.8K-518.9K-1.7K0.0058.07N/AN/A1008111
2019-12-11$131.40$0.0017.3%5.0%9.2%16.3%0.0%-5.3%-1.9%47.9K-483.8K-1.6K0.0076.81N/AN/A007111
2019-12-12$133.30$0.0015.8%4.5%10.4%12.5%18.0%5.6%1.5%43.8K-604.8K-1.5K1.40102.39N/AN/A577111
2019-12-13$132.22$135.0012.6%3.6%10.8%4.5%0.0%2.1%-0.1%41.1K-548.0K-1.8K0.0097.35N/AN/A407618
2019-12-16$131.82$135.0011.9%3.4%10.8%2.6%13.1%2.5%2.6%50.1K-544.6K-1.8K0.0081.48N/AN/A047818
2019-12-17$132.16$128.0012.4%3.6%10.8%3.9%0.0%2.4%1.3%46.2K-545.6K-1.8K0.0073.73N/AN/A007822
2019-12-18$132.22$128.0012.1%3.5%10.8%3.1%0.0%2.8%1.6%49.4K-553.9K-1.8K0.0076.61N/AN/A007822
2019-12-19$132.44$128.0012.5%3.6%9.9%4.2%0.0%4.0%0.7%47.9K-543.0K-1.8K0.0080.22N/AN/A007822
2019-12-20$132.90$128.0011.3%3.2%9.8%1.1%0.0%3.2%1.8%49.6K-589.7K-1.7K0.0078.53N/AN/A007822
2019-12-23$133.60$128.0010.7%3.1%9.9%0.0%10.0%2.7%1.6%38.6K-510.4K-1.6K0.0073.72N/AN/A206921
2019-12-24$133.54$128.0010.0%2.9%9.7%0.0%0.0%2.6%2.4%44.2K-533.1K-1.6K0.0092.22N/AN/A007121
2019-12-26$134.02$128.0010.0%2.9%9.6%0.1%11.7%3.5%1.9%46.4K-551.0K-1.6K2.00106.48N/AN/A127121
2019-12-27$133.76$131.0012.1%3.5%9.6%5.2%0.0%2.6%1.6%43.9K-560.4K-1.6K0.00114.75N/AN/A007223
2019-12-30$133.31$131.0012.1%3.5%9.5%5.4%0.0%1.9%2.1%43.1K-525.6K-1.6K0.00106.35N/AN/A007223
2019-12-31$134.30$131.0013.5%3.9%9.5%8.7%0.0%1.5%-1.0%43.1K-545.8K-1.6K0.00122.68N/AN/A007223