VAW Options History — January 2020

In January 2020, VAW traded between $125.42 and $133.11. ATM implied volatility averaged 14.7%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.9% (HV 20d: 10.8%). Max pain ranged from $123.00 to $131.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2020-01-31: Highest Volume — 111 contracts
  • 2020-01-31: Largest IV spike — 44.8% change
  • 2020-01-08: Highest IV Rank — 22.6%
  • 2020-01-31: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$130.39$125.42$133.11$132.74$125.42
Max Pain$125.48$123.00$131.00$131.00$125.00
ATM IV14.7%11.6%19.1%12.7%19.1%
Expected Move4.0%3.3%5.5%3.6%5.5%
HV 20d10.8%9.5%13.3%9.9%13.3%
HV 60d10.5%9.9%11.5%11.5%10.9%
IV Rank11.7%4.1%22.6%6.7%22.5%
IV Percentile32.3%4.8%74.6%12.3%74.6%
Term Structure1.4%-2.1%4.0%0.8%1.3%
VWIV13.4%9.5%17.4%14.6%9.5%
Skew 25d2.7%-3.3%5.5%1.9%5.5%
Skew 10d5.4%-4.2%12.4%4.4%6.4%
Call IV 25d12.9%9.1%16.9%12.9%15.3%
Put IV 25d15.6%12.0%20.8%14.8%20.8%
Bid-Ask Spread %97.8471.34137.22128.71108.41
Gamma HHI0.160.120.210.160.12
Net GEX41.4K31.0K57.9K40.0K41.7K
Net DEX-488.7K-680.5K-265.7K-525.6K-265.7K
Net VEX-1.5K-1.6K-1.2K-1.6K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.009.090.009.09
Total Volume7.476011110111
Total OI111.3819512295122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$132.74$131.0012.7%3.6%9.9%6.7%0.0%1.9%0.8%40.0K-525.6K-1.6K0.00128.71N/AN/A1007223
2020-01-03$131.03$131.0013.2%3.8%11.1%8.1%14.6%0.1%2.6%35.0K-524.7K-1.6K0.00137.22N/AN/A018223
2020-01-06$130.08$123.0016.1%4.7%11.3%15.1%17.4%3.2%-0.0%32.6K-425.7K-1.6K2.0071.34N/AN/A128224
2020-01-07$130.36$125.0016.0%4.4%10.7%14.9%0.0%4.5%4.0%32.3K-418.7K-1.6K0.0093.77N/AN/A008326
2020-01-08$130.56$125.0019.1%3.7%10.7%22.6%0.0%4.3%3.3%36.4K-428.6K-1.5K0.0093.45N/AN/A008326
2020-01-09$130.38$125.0014.3%4.0%10.4%10.8%0.0%3.7%2.7%31.0K-455.9K-1.5K0.0085.96N/AN/A008326
2020-01-10$129.90$125.0014.3%3.9%10.2%10.9%0.0%2.8%1.6%34.6K-443.7K-1.5K0.0091.14N/AN/A208326
2020-01-13$131.53$125.0017.3%4.1%9.9%18.2%0.0%1.4%-2.1%32.0K-520.4K-1.4K0.0099.31N/AN/A008526
2020-01-14$131.32$125.0018.1%4.0%9.5%20.1%0.0%1.6%3.6%35.7K-522.0K-1.4K0.0095.77N/AN/A008526
2020-01-15$131.98$125.0013.0%3.7%9.6%7.6%10.4%3.2%2.2%36.1K-559.4K-1.3K0.0086.73N/AN/A508526
2020-01-16$132.78$125.0012.2%3.5%9.8%5.5%0.0%3.4%2.7%51.0K-656.9K-1.3K0.0090.22N/AN/A039026
2020-01-17$133.11$125.0011.6%3.3%9.8%4.1%0.0%4.1%2.1%57.9K-680.5K-1.3K0.0090.01N/AN/A009026
2020-01-21$131.69$125.0011.8%3.4%10.6%4.6%15.1%2.9%0.1%47.3K-590.6K-1.2K0.1082.22N/AN/A1018221
2020-01-22$131.22$125.0012.3%3.5%10.5%5.7%0.0%2.9%1.1%50.4K-612.5K-1.6K0.0084.18N/AN/A009222
2020-01-23$131.11$125.0012.7%3.6%10.3%6.7%11.9%4.7%1.3%50.5K-574.5K-1.6K0.0091.12N/AN/A109222
2020-01-24$129.78$125.0014.0%4.0%10.8%10.1%12.3%4.7%1.1%46.2K-511.6K-1.6K0.0091.76N/AN/A209222
2020-01-27$127.69$125.0016.9%4.8%11.8%17.1%14.6%-2.8%-0.0%43.7K-359.3K-1.5K1.0095.51N/AN/A119422
2020-01-28$128.62$125.0014.8%4.3%12.3%12.0%0.0%3.7%1.8%43.9K-383.5K-1.5K0.0084.44N/AN/A009323
2020-01-29$128.92$125.0016.1%4.6%12.4%15.3%14.8%4.5%-2.0%45.9K-457.9K-1.5K0.00126.94N/AN/A109323
2020-01-30$128.03$125.0013.2%3.8%12.0%7.9%9.5%-3.3%0.4%44.4K-344.3K-1.4K0.25126.34N/AN/A419423
2020-01-31$125.42$125.0019.1%5.5%13.3%22.5%0.0%5.5%1.3%41.7K-265.7K-1.4K9.09108.41N/AN/A111009824