VAW Options History — February 2020 In February 2020, VAW traded between $112.03 and $132.55. ATM implied volatility averaged 18.7%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.7% (HV 20d: 19.4%). Max pain ranged from $125.00 to $135.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.55.
Notable Days 2020-02-03 : Highest Volume — 214 contracts2020-02-24 : Largest IV spike — 39.3% change2020-02-28 : Highest IV Rank — 57.0%2020-02-28 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $127.97 $112.03 $132.55 $127.78 $112.03 Max Pain $126.00 $125.00 $135.00 $125.00 $125.00 ATM IV 18.7% 12.8% 33.1% 17.7% 33.1% Expected Move 5.4% 3.7% 9.5% 5.1% 9.5% HV 20d 19.4% 14.8% 29.7% 14.8% 29.7% HV 60d 13.9% 11.5% 19.7% 11.5% 19.7% IV Rank 21.6% 7.2% 57.0% 19.2% 57.0% IV Percentile 55.5% 16.3% 98.8% 66.3% 98.8% Term Structure -1.5% -9.8% 2.1% -1.4% -7.4% VWIV 14.0% 9.5% 17.7% 9.5% 17.7% Skew 25d 3.8% -1.6% 8.8% 7.0% -1.6% Skew 10d 5.3% -4.4% 17.4% 17.4% -2.7% Call IV 25d 16.8% 12.9% 30.2% 17.7% 30.2% Put IV 25d 20.6% 14.9% 29.0% 24.7% 28.6% Bid-Ask Spread % 85.58 50.35 123.77 117.92 110.98 Gamma HHI 0.50 0.35 0.88 0.41 0.88 Net GEX -78.4K -188.6K -29.5K -54.0K -170.8K Net DEX 519.1K -167.8K 3.3M 308.6K 3.3M Net VEX -9.0K -12.9K -6.9K -7.3K -12.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.55 0.00 14.29 14.29 0.00 Total Volume 14.789 0 214 214 4 Total OI 664.211 482 709 482 621
Daily Data (19 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 2020-02-03 $127.78 $125.00 17.7% 5.1% 14.8% 19.2% 9.5% 7.0% -1.4% -54.0K 308.6K -7.3K 14.29 117.92 N/A N/A 14 200 108 374 2020-02-04 $130.06 $125.00 12.8% 3.7% 16.0% 7.2% 15.1% 5.1% 2.1% -57.8K 173.2K -9.0K 0.00 111.08 N/A N/A 16 0 117 574 2020-02-05 $132.55 $125.00 15.2% 4.4% 17.4% 13.0% 13.9% 2.0% 0.7% -34.9K -113.1K -8.3K 0.00 109.85 N/A N/A 1 0 110 574 2020-02-06 $132.23 $0.00 13.7% 4.5% 17.4% 9.1% 0.0% 4.1% -0.5% -33.7K -113.9K -8.1K 0.00 53.45 N/A N/A 0 0 111 574 2020-02-07 $130.28 $0.00 15.2% 4.5% 18.3% 12.9% 0.0% 3.6% 0.1% -66.5K 242.6K -8.8K 0.00 53.77 N/A N/A 10 0 111 574 2020-02-10 $129.89 $0.00 15.0% 4.6% 18.2% 12.6% 0.0% 4.3% -0.2% -70.2K 174.4K -8.9K 0.00 50.35 N/A N/A 3 0 120 574 2020-02-11 $131.24 $0.00 14.9% 4.7% 18.1% 12.2% 0.0% 3.6% -0.8% -44.6K -70.1K -8.2K 0.00 54.14 N/A N/A 0 0 123 574 2020-02-12 $131.73 $0.00 14.5% 4.1% 18.1% 11.2% 0.0% 4.4% 1.8% -29.5K -167.8K -8.1K 0.80 55.24 N/A N/A 5 4 123 574 2020-02-13 $131.23 $0.00 15.1% 4.3% 18.1% 12.8% 0.0% 4.2% 0.0% -34.8K -124.1K -8.1K 0.00 64.05 N/A N/A 0 2 123 578 2020-02-14 $131.13 $0.00 15.1% 4.3% 17.9% 12.8% 0.0% 4.3% 0.1% -40.9K -64.4K -8.0K 0.00 67.43 N/A N/A 0 0 123 580 2020-02-18 $130.77 $0.00 15.2% 4.4% 17.9% 13.0% 0.0% 5.2% 0.6% -51.6K -28.7K -7.7K 0.00 64.85 N/A N/A 0 0 123 580 2020-02-19 $131.31 $0.00 14.8% 4.2% 17.6% 12.0% 13.9% 2.7% 0.4% -31.1K -140.4K -6.9K 0.00 72.39 N/A N/A 5 0 123 580 2020-02-20 $131.20 $135.00 18.3% 5.3% 17.5% 20.7% 17.7% 8.8% -2.7% -29.6K -100.5K -7.6K 2.00 95.17 N/A N/A 1 2 128 580 2020-02-21 $130.83 $125.00 16.3% 4.7% 17.5% 15.7% 0.0% 1.1% 0.6% -42.1K -8.2K -7.6K 0.00 111.04 N/A N/A 0 0 127 582 2020-02-24 $127.23 $125.00 22.7% 6.5% 19.9% 31.5% 0.0% 3.3% -2.6% -145.3K 891.9K -9.5K 0.00 123.77 N/A N/A 2 0 48 559 2020-02-25 $121.98 $125.00 27.7% 7.9% 24.2% 43.7% 0.0% 7.1% -3.2% -182.8K 1.6M -11.4K 0.00 104.41 N/A N/A 11 0 50 559 2020-02-26 $121.23 $125.00 28.6% 8.2% 23.9% 45.9% 0.0% 2.6% -5.7% -188.6K 1.7M -12.3K 0.00 96.23 N/A N/A 1 0 61 559 2020-02-27 $116.68 $125.00 29.6% 8.5% 26.9% 48.6% 0.0% 1.1% -9.8% -179.9K 2.4M -12.9K 0.00 109.83 N/A N/A 0 0 62 559 2020-02-28 $112.03 $125.00 33.1% 9.5% 29.7% 57.0% 0.0% -1.6% -7.4% -170.8K 3.3M -12.5K 0.00 110.98 N/A N/A 0 4 62 559
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