VAW Options History — April 2020

In April 2020, VAW traded between $90.78 and $115.05. ATM implied volatility averaged 45.6%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 23.2% (HV 20d: 68.8%). Max pain ranged from $102.00 to $115.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2020-04-23: Highest Volume — 26 contracts
  • 2020-04-29: Largest IV spike — 15.4% change
  • 2020-04-01: Highest IV Rank — 71.0%
  • 2020-04-01: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.91$90.78$115.05$92.31$111.09
Max Pain$114.38$102.00$115.00$102.00$115.00
ATM IV45.6%38.3%62.3%62.3%43.1%
Expected Move12.8%11.0%17.9%17.9%12.4%
HV 20d68.8%48.1%88.3%87.5%48.1%
HV 60d59.4%55.1%61.9%55.1%61.9%
IV Rank48.3%38.4%71.0%71.0%44.9%
IV Percentile90.0%84.9%97.2%97.2%87.7%
Term Structure-4.7%-16.8%2.5%-8.1%-1.3%
VWIV41.8%35.5%46.9%35.5%37.5%
Skew 25d13.7%-0.2%26.7%6.9%9.8%
Skew 10d16.7%4.8%36.0%30.5%4.9%
Call IV 25d33.6%25.5%53.1%53.1%30.7%
Put IV 25d47.2%31.1%60.0%60.0%40.5%
Bid-Ask Spread %105.4491.00124.86122.06107.85
Gamma HHI0.650.480.740.600.74
Net GEX-73.5K-154.1K-10.7K-22.5K-154.1K
Net DEX2.3M1.2M2.8M2.6M2.0M
Net VEX-4.0K-5.5K-1.7K-2.6K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.500.000.00
Total Volume4.76202601
Total OI442.524421465421447

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$92.31$102.0062.3%17.9%87.5%71.0%0.0%6.9%-8.1%-22.5K2.6M-2.6K0.00122.06N/AN/A0094327
2020-04-02$92.85$115.0055.7%15.1%87.4%62.0%0.0%26.7%-11.2%-21.4K2.7M-2.3K0.0091.00N/AN/A0094327
2020-04-03$90.78$115.0057.9%14.7%87.3%65.0%0.0%13.3%-7.8%-10.7K2.7M-1.7K0.0092.97N/AN/A6094327
2020-04-06$97.17$115.0049.8%13.0%87.5%54.1%0.0%25.1%-7.2%-28.2K2.8M-2.6K0.0093.34N/AN/A0095327
2020-04-07$100.58$115.0047.4%11.5%88.3%50.8%0.0%12.3%-0.3%-46.4K2.6M-3.7K0.00103.79N/AN/A9095327
2020-04-08$104.10$115.0042.0%12.0%87.7%43.4%0.0%5.4%-4.6%-58.0K2.6M-4.0K0.00106.70N/AN/A00100327
2020-04-09$109.28$115.0040.2%11.5%82.2%41.0%35.5%11.3%2.5%-98.2K2.1M-5.5K0.00108.34N/AN/A100100327
2020-04-13$106.99$115.0041.5%11.9%82.5%42.7%43.2%21.2%-0.4%-85.7K2.2M-5.2K0.33103.89N/AN/A62110327
2020-04-14$108.02$115.0038.8%11.1%76.6%39.2%0.0%8.1%-5.6%-95.7K2.1M-5.2K0.00106.11N/AN/A01114330
2020-04-15$103.16$115.0043.6%12.5%78.2%45.6%0.0%-0.2%-5.9%-60.4K2.4M-4.2K0.00111.49N/AN/A200114330
2020-04-16$102.35$115.0043.0%12.3%68.5%44.8%43.4%21.1%-5.6%-49.1K2.4M-4.1K1.5099.19N/AN/A23134330
2020-04-17$106.34$115.0041.4%11.9%65.9%42.6%44.2%10.5%-2.7%-87.4K2.2M-4.8K0.00102.89N/AN/A02132332
2020-04-20$104.27$115.0046.0%13.2%62.9%48.9%46.9%17.9%-4.7%-70.3K2.2M-4.4K0.00101.57N/AN/A05129329
2020-04-21$101.88$115.0049.3%14.1%61.0%53.3%0.0%8.4%-5.7%-48.1K2.5M-3.7K0.00112.69N/AN/A03129332
2020-04-22$103.90$115.0045.6%13.1%51.8%48.3%0.0%13.6%-1.6%-63.1K2.4M-4.0K0.00102.79N/AN/A00129330
2020-04-23$104.97$115.0043.2%12.4%48.3%45.0%43.3%16.4%-3.2%-74.2K2.3M-4.3K0.00106.75N/AN/A260129330
2020-04-24$106.19$115.0038.3%11.0%48.4%38.4%0.0%20.2%-1.4%-74.1K2.2M-4.5K0.00110.37N/AN/A00135330
2020-04-27$109.49$115.0042.6%12.2%48.4%44.2%0.0%19.9%-3.5%-125.3K2.2M-4.2K0.00101.71N/AN/A00115328
2020-04-28$111.27$115.0040.0%11.5%48.3%40.7%35.7%11.2%-3.0%-142.3K1.9M-4.6K0.00103.86N/AN/A10115328
2020-04-29$115.05$115.0046.1%13.2%48.9%49.1%46.2%8.5%-16.8%-128.2K1.2M-5.0K0.00124.86N/AN/A30116328
2020-04-30$111.09$115.0043.1%12.4%48.1%44.9%37.5%9.8%-1.3%-154.1K2.0M-4.4K0.00107.85N/AN/A01119328