VAW Options History — May 2020

In May 2020, VAW traded between $105.05 and $119.46. ATM implied volatility averaged 31.7%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 7.8% (HV 20d: 39.4%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.05.

Notable Days

  • 2020-05-29: Highest Volume — 30 contracts
  • 2020-05-28: Largest IV spike — 47.0% change
  • 2020-05-04: Highest IV Rank — 43.5%
  • 2020-05-01: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.90$105.05$119.46$108.33$118.91
Max Pain$112.22$105.00$120.00$115.00$120.00
ATM IV31.7%19.7%42.0%40.9%28.4%
Expected Move8.8%5.6%11.7%11.7%8.1%
HV 20d39.4%34.2%49.6%49.6%34.2%
HV 60d62.6%61.9%64.2%61.9%61.9%
IV Rank29.4%13.1%43.5%41.9%25.0%
IV Percentile78.5%62.3%86.5%85.3%73.8%
Term Structure0.8%-11.5%10.2%-2.4%-7.0%
VWIV28.7%19.2%35.6%35.3%25.9%
Skew 25d8.3%-0.5%14.7%13.8%8.4%
Skew 10d12.0%-11.7%23.2%9.5%-4.6%
Call IV 25d27.6%21.1%34.6%34.1%33.8%
Put IV 25d35.9%26.7%48.0%48.0%42.2%
Bid-Ask Spread %90.2458.55126.19101.84116.03
Gamma HHI0.390.120.810.700.12
Net GEX-49.5K-280.3K28.5K-115.5K21.5K
Net DEX1.3M-492.5K3.2M2.4M-431.3K
Net VEX-2.3K-3.6K-1.6K-3.6K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.330.000.00
Total Volume3.8030130
Total OI299.197462448121

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$108.33$115.0040.9%11.7%49.6%41.9%35.3%13.8%-2.4%-115.5K2.4M-3.6K0.00101.84N/AN/A01119329
2020-05-04$108.86$0.0042.0%10.4%48.4%43.5%0.0%14.7%-0.3%-122.1K2.5M-3.3K0.0058.55N/AN/A00119330
2020-05-05$109.01$0.0030.3%10.5%43.1%27.6%24.2%10.0%2.6%-141.5K2.3M-3.5K0.0065.18N/AN/A20119330
2020-05-06$107.50$120.0040.4%10.3%42.2%41.3%0.0%8.1%-0.2%-101.3K2.7M-2.7K0.0063.75N/AN/A00121330
2020-05-07$109.47$120.0034.6%9.4%41.0%33.4%0.0%13.6%2.0%-145.0K2.7M-2.7K0.0062.32N/AN/A010121330
2020-05-08$112.30$120.0029.0%7.6%38.3%25.8%0.0%10.5%4.8%-280.3K2.3M-3.5K0.0083.59N/AN/A00121340
2020-05-11$110.88$120.0036.0%7.8%37.8%35.4%0.0%6.6%2.8%-220.5K2.6M-2.9K0.0073.45N/AN/A00121340
2020-05-12$108.97$120.0033.7%8.9%38.2%32.2%0.0%13.3%1.9%-51.6K3.1M-1.9K0.0075.36N/AN/A00121340
2020-05-13$105.05$120.0029.6%8.5%36.8%26.6%0.0%1.9%5.3%-22.1K3.1M-1.7K0.0090.17N/AN/A20121340
2020-05-14$106.98$120.0032.2%9.2%37.2%30.2%35.6%6.2%5.8%-9243.1M-1.7K0.00102.57N/AN/A30121340
2020-05-15$107.76$105.0030.1%8.6%34.7%27.4%0.0%-0.1%4.9%12.6K3.2M-1.6K0.3395.07N/AN/A31122340
2020-05-18$114.33$105.0025.6%7.3%39.6%21.2%26.1%10.0%-0.3%18.5K-283.7K-1.7K0.00126.19N/AN/A308116
2020-05-19$113.12$105.0028.8%8.3%38.6%25.6%0.0%7.3%-0.3%18.0K-313.5K-2.0K0.00106.30N/AN/A008416
2020-05-20$114.60$105.0031.9%9.2%38.4%29.8%34.6%-0.5%-5.1%18.2K-349.1K-2.0K0.0092.85N/AN/A508416
2020-05-21$113.69$105.0032.3%9.2%38.6%30.2%0.0%11.8%-2.2%20.3K-317.7K-1.9K0.0085.50N/AN/A608916
2020-05-22$113.43$105.0026.1%7.5%38.5%21.9%0.0%8.2%3.0%21.6K-311.8K-1.9K0.0081.53N/AN/A009516
2020-05-26$116.88$105.0032.5%9.3%38.5%30.5%0.0%8.7%-11.5%24.6K-409.0K-2.0K0.00104.35N/AN/A009516
2020-05-27$118.41$105.0019.7%5.6%38.4%13.1%0.0%8.5%10.2%27.2K-458.7K-2.0K0.00105.82N/AN/A009516
2020-05-28$119.46$105.0028.9%8.3%36.7%25.7%19.2%4.3%1.3%28.5K-492.5K-2.0K0.00114.30N/AN/A0109516
2020-05-29$118.91$120.0028.4%8.1%34.2%25.0%25.9%8.4%-7.0%21.5K-431.3K-2.1K0.00116.03N/AN/A0309526