VAW Options History — March 2020

In March 2020, VAW traded between $81.72 and $121.60. ATM implied volatility averaged 58.0%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 4.7% (HV 20d: 62.7%). Max pain ranged from $102.00 to $130.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.02.

Notable Days

  • 2020-03-16: Highest Volume — 550 contracts
  • 2020-03-05: Largest IV spike — 31.4% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.33$81.72$121.60$117.33$96.20
Max Pain$123.91$102.00$130.00$125.00$102.00
ATM IV58.0%29.1%83.7%32.6%56.7%
Expected Move16.1%8.4%24.0%9.3%16.3%
HV 20d62.7%33.9%90.8%34.6%88.1%
HV 60d39.3%22.1%54.6%22.1%54.6%
IV Rank79.7%47.3%100.0%55.7%63.4%
IV Percentile98.4%94.8%100.0%98.4%95.6%
Term Structure-6.4%-11.1%0.1%-0.7%-7.6%
VWIV57.3%47.4%65.8%47.4%53.4%
Skew 25d15.9%-4.5%31.8%-4.5%18.4%
Skew 10d24.5%-1.9%54.5%27.5%12.2%
Call IV 25d45.0%26.7%59.8%45.1%43.7%
Put IV 25d60.9%32.8%86.9%40.6%62.0%
Bid-Ask Spread %96.6179.83112.45106.6899.90
Gamma HHI0.730.600.870.870.63
Net GEX-77.8K-214.2K-8.3K-214.2K-32.2K
Net DEX3.0M2.0M4.3M2.7M2.6M
Net VEX-6.5K-12.7K-1.3K-12.7K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.100.000.00
Total Volume27.545055000
Total OI531.091407663621421

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$117.33$125.0032.6%9.3%34.6%55.7%0.0%-4.5%-0.7%-214.2K2.7M-12.7K0.00106.68N/AN/A0062559
2020-03-03$118.20$125.0038.6%11.1%33.9%70.6%47.4%5.2%-8.7%-183.9K2.6M-12.6K0.0098.18N/AN/A0462559
2020-03-04$121.60$125.0029.1%8.4%35.0%47.3%0.0%1.8%-3.3%-212.8K2.0M-11.9K0.00105.49N/AN/A0162563
2020-03-05$117.62$130.0038.3%8.7%35.5%69.8%0.0%5.6%0.1%-174.0K2.5M-12.6K0.0079.83N/AN/A10062562
2020-03-06$114.44$130.0048.2%11.5%36.3%94.3%0.0%6.6%-2.9%-150.6K3.0M-12.4K0.0083.88N/AN/A10072562
2020-03-09$105.37$130.0054.2%12.6%45.1%100.0%0.0%17.5%-1.5%-115.2K3.9M-9.8K0.10102.81N/AN/A10182558
2020-03-10$107.05$130.0060.2%13.4%46.0%100.0%0.0%16.3%-4.8%-122.6K3.8M-10.3K0.0092.87N/AN/A0092559
2020-03-11$102.17$130.0055.0%15.8%47.1%89.6%0.0%13.7%-7.9%-96.2K3.9M-9.4K0.0090.93N/AN/A0092559
2020-03-12$93.37$130.0056.6%16.2%54.1%92.8%0.0%6.9%-4.3%-57.6K4.3M-5.8K0.00107.39N/AN/A12092559
2020-03-13$96.00$130.0065.5%18.8%56.2%100.0%0.0%23.4%-6.3%-66.5K4.1M-7.5K0.0085.72N/AN/A00104559
2020-03-16$88.94$130.0078.1%22.4%59.9%100.0%0.0%23.4%-4.4%-44.4K4.0M-5.8K0.00112.45N/AN/A0550104557
2020-03-17$92.54$130.0073.9%21.2%63.2%93.9%65.8%31.8%-10.0%-28.9K2.3M-4.5K0.00106.71N/AN/A02104327
2020-03-18$83.98$125.0083.7%24.0%68.7%100.0%0.0%27.2%-8.5%-18.1K2.3M-3.2K0.00102.97N/AN/A00104329
2020-03-19$89.88$125.0077.8%22.3%75.5%91.9%0.0%27.2%-10.3%-26.0K2.4M-3.7K0.0092.77N/AN/A00104329
2020-03-20$85.29$125.0069.6%20.0%76.2%80.9%0.0%23.4%-10.3%-12.9K2.6M-2.1K0.00105.95N/AN/A01104329
2020-03-23$81.72$125.0061.4%17.6%76.5%69.8%0.0%9.9%-0.5%-8.3K2.5M-1.3K0.00101.14N/AN/A0079328
2020-03-24$90.15$125.0056.4%16.2%87.1%63.0%62.3%17.4%-9.7%-12.3K2.8M-1.5K0.0093.17N/AN/A0279328
2020-03-25$95.49$125.0061.1%17.5%90.8%69.3%0.0%17.8%-11.1%-33.0K2.6M-3.2K0.0090.01N/AN/A0190328
2020-03-26$96.41$125.0058.6%16.8%90.6%65.9%0.0%18.9%-10.3%-36.4K2.6M-3.7K0.0093.05N/AN/A0090329
2020-03-27$94.75$102.0063.0%18.1%89.9%71.9%0.0%27.6%-10.5%-30.4K2.6M-3.0K0.0081.57N/AN/A0092329
2020-03-30$96.73$102.0056.4%16.2%88.3%63.0%53.4%14.2%-8.2%-34.3K2.6M-3.3K0.0092.06N/AN/A2092327
2020-03-31$96.20$102.0056.7%16.3%88.1%63.4%0.0%18.4%-7.6%-32.2K2.6M-3.3K0.0099.90N/AN/A0094327