VAW Options History — June 2020

In June 2020, VAW traded between $116.00 and $128.96. ATM implied volatility averaged 31.9%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.6% (HV 20d: 36.5%). Max pain ranged from $118.00 to $121.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.51.

Notable Days

  • 2020-06-23: Highest Volume — 223 contracts
  • 2020-06-24: Largest IV spike — 82.0% change
  • 2020-06-15: Highest IV Rank — 46.8%
  • 2020-06-15: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.33$116.00$128.96$119.92$120.80
Max Pain$118.41$118.00$121.00$121.00$118.00
ATM IV31.9%22.1%44.5%27.5%30.4%
Expected Move9.1%6.3%12.8%7.9%8.7%
HV 20d36.5%32.4%42.5%32.5%38.4%
HV 60d49.0%40.1%61.5%61.5%40.1%
IV Rank29.7%16.5%46.8%23.8%27.8%
IV Percentile76.3%64.7%88.9%73.0%73.0%
Term Structure-1.6%-13.3%10.5%1.9%-4.0%
VWIV35.6%26.5%54.6%26.5%43.1%
Skew 25d15.1%1.5%40.4%9.8%20.4%
Skew 10d13.2%-11.1%34.7%2.7%12.3%
Call IV 25d27.0%17.2%38.9%27.8%25.1%
Put IV 25d42.1%24.4%64.7%37.6%45.5%
Bid-Ask Spread %111.2379.45139.85100.38116.79
Gamma HHI0.100.070.320.110.09
Net GEX-7.9K-65.3K4.3K3.0K2.2K
Net DEX-260.3K-704.7K137.6K-279.2K-300.8K
Net VEX-3.5K-4.1K-2.6K-2.6K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.510.0020.001.820.00
Total Volume25.8640223106
Total OI237.273151270151249

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$119.92$121.0027.5%7.9%32.5%23.8%0.0%9.8%1.9%3.0K-279.2K-2.6K0.00100.38N/AN/A0109556
2020-06-02$121.41$121.0027.8%8.0%32.6%24.1%26.5%5.3%-1.7%181-354.9K-2.6K1.82128.48N/AN/A11209566
2020-06-03$125.05$121.0022.1%6.3%33.7%16.5%0.0%10.5%2.6%2.8K-513.2K-3.2K20.00109.01N/AN/A12010486
2020-06-04$124.94$118.0036.0%8.1%32.9%35.3%28.9%1.5%1.1%884-512.7K-3.3K1.51108.90N/AN/A86130105106
2020-06-05$128.33$118.0026.6%8.3%33.4%22.5%0.0%2.0%-1.1%3.0K-628.9K-3.4K0.00118.24N/AN/A01105126
2020-06-08$128.96$118.0023.6%8.6%32.8%18.6%33.7%11.1%-1.6%4.3K-704.7K-3.2K0.00105.38N/AN/A010105126
2020-06-09$127.87$118.0025.5%7.0%32.5%21.1%0.0%3.0%10.5%-1.0K-622.4K-3.2K0.0096.49N/AN/A30104136
2020-06-10$125.78$118.0025.8%7.4%32.4%21.5%0.0%11.4%-9.8%-2.7K-464.7K-3.5K0.00132.75N/AN/A010104136
2020-06-11$116.00$118.0037.6%10.8%42.5%37.5%0.0%23.6%-2.2%-10.9K137.6K-3.9K0.10107.67N/AN/A101104146
2020-06-12$117.65$118.0042.8%12.3%42.4%44.5%0.0%40.4%-6.0%-12.4K-1.6K-4.0K0.00112.35N/AN/A00114147
2020-06-15$118.87$118.0044.5%12.8%42.4%46.8%0.0%14.5%-9.8%-14.7K-68.2K-3.5K0.00101.78N/AN/A00113146
2020-06-16$121.69$118.0030.8%8.8%38.0%28.2%54.6%30.0%9.5%-12.6K-271.7K-4.1K0.00117.14N/AN/A011113146
2020-06-17$120.83$118.0034.1%9.8%37.9%32.8%0.0%17.4%2.8%-19.3K-109.7K-3.9K0.00119.41N/AN/A00113157
2020-06-18$120.48$118.0034.6%9.9%37.8%33.4%0.0%8.2%-13.3%-16.4K-190.5K-3.9K0.00114.53N/AN/A00113157
2020-06-19$120.58$118.0038.7%11.1%37.6%39.0%0.0%7.9%-9.5%-65.3K-50.4K-3.6K0.0098.60N/AN/A50113157
2020-06-22$119.95$118.0033.6%9.6%37.6%32.0%29.5%11.9%0.0%-8.1K-176.7K-3.6K0.0079.45N/AN/A70103137
2020-06-23$120.56$118.0023.9%6.8%36.3%18.9%39.8%5.6%3.1%-1.4K-262.9K-3.7K1.7288.29N/AN/A82141110137
2020-06-24$117.23$118.0043.4%12.4%37.5%45.4%0.0%23.6%-4.2%-3.7K-16.6K-3.6K0.00120.44N/AN/A00110137
2020-06-25$117.62$118.0034.9%10.0%37.3%33.8%0.0%20.0%-2.5%-9.8K-115.7K-3.6K0.00139.85N/AN/A00110137
2020-06-26$116.33$118.0023.9%6.9%37.5%19.0%28.4%33.0%1.8%-6.9K-86.4K-3.5K0.00125.89N/AN/A40110137
2020-06-29$118.47$118.0033.5%9.6%38.0%31.9%0.0%22.1%-1.9%-4.2K-132.6K-3.4K0.00105.22N/AN/A00112137
2020-06-30$120.80$118.0030.4%8.7%38.4%27.8%43.1%20.4%-4.0%2.2K-300.8K-3.1K0.00116.79N/AN/A60112137