VAW Options History — July 2020

In July 2020, VAW traded between $120.49 and $132.97. ATM implied volatility averaged 26.0%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.3% (HV 20d: 24.7%). Max pain ranged from $100.00 to $118.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.35.

Notable Days

  • 2020-07-15: Highest Volume — 256 contracts
  • 2020-07-07: Largest IV spike — 32.0% change
  • 2020-07-14: Highest IV Rank — 39.7%
  • 2020-07-14: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.34$120.49$132.97$120.49$128.43
Max Pain$105.27$100.00$118.00$118.00$108.00
ATM IV26.0%19.4%39.2%21.5%24.1%
Expected Move7.3%4.8%9.6%6.2%6.9%
HV 20d24.7%17.8%37.3%36.7%20.3%
HV 60d33.5%30.7%37.9%37.9%31.0%
IV Rank21.8%12.9%39.7%15.6%19.2%
IV Percentile63.0%49.2%82.5%58.3%58.7%
Term Structure3.1%-6.1%12.1%5.7%4.4%
VWIV29.5%23.2%39.1%25.5%23.2%
Skew 25d6.2%-2.4%11.6%11.0%3.6%
Skew 10d14.6%4.7%26.4%9.6%11.6%
Call IV 25d25.2%19.8%34.7%26.6%24.6%
Put IV 25d31.4%18.2%38.9%37.6%28.2%
Bid-Ask Spread %99.9985.29130.28124.05107.23
Gamma HHI0.120.100.160.120.12
Net GEX27.0K4.2K50.0K4.2K45.6K
Net DEX-829.7K-1.2M-330.6K-330.6K-1.1M
Net VEX-3.8K-4.2K-3.0K-3.0K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.0010.000.000.00
Total Volume29025682
Total OI279.409253327253283

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$120.49$118.0021.5%6.2%36.7%15.6%25.5%11.0%5.7%4.2K-330.6K-3.0K0.00124.05N/AN/A80116137
2020-07-02$122.44$118.0024.9%7.2%37.3%20.3%0.0%0.5%1.3%13.6K-585.7K-3.2K5.00130.28N/AN/A210122137
2020-07-06$123.64$100.0021.2%4.8%36.1%15.3%28.6%6.3%12.1%15.2K-511.9K-3.5K1.72121.29N/AN/A88151122147
2020-07-07$123.83$100.0028.0%8.0%36.0%24.5%0.0%5.2%2.9%14.1K-509.3K-3.5K0.0094.86N/AN/A10122147
2020-07-08$122.18$100.0029.0%9.1%36.2%25.9%0.0%5.0%3.2%7.4K-432.8K-3.5K0.0093.19N/AN/A100122147
2020-07-09$120.90$100.0030.1%7.5%35.9%27.4%32.3%4.4%6.9%5.1K-412.7K-3.8K0.0093.73N/AN/A02132147
2020-07-10$123.22$100.0033.9%8.5%21.3%32.5%0.0%11.5%2.4%14.3K-563.6K-3.7K1.6788.96N/AN/A610132148
2020-07-13$123.75$100.0030.9%9.2%20.9%28.4%27.7%11.6%1.1%28.1K-544.6K-3.8K0.0397.90N/AN/A291138158
2020-07-14$126.21$100.0039.2%9.6%21.6%39.7%28.2%4.3%-4.5%33.3K-767.4K-3.8K10.0093.69N/AN/A110156159
2020-07-15$128.97$100.0028.3%8.1%21.4%24.8%27.5%7.8%4.3%34.6K-869.8K-4.1K1.2985.29N/AN/A112144151169
2020-07-16$129.13$100.0021.4%6.1%21.1%15.6%0.0%7.5%11.4%34.6K-948.8K-4.2K0.0095.34N/AN/A00158169
2020-07-17$130.44$100.0025.9%7.4%21.1%21.6%38.3%10.4%0.4%30.8K-1.1M-4.0K0.0090.45N/AN/A020158169
2020-07-20$129.25$108.0021.2%6.1%21.6%15.3%39.1%7.8%4.8%31.7K-937.4K-4.0K0.0094.63N/AN/A01142117
2020-07-21$130.33$108.0026.5%7.6%21.4%22.5%0.0%5.1%0.2%30.1K-997.1K-3.9K0.0086.09N/AN/A20142118
2020-07-22$131.76$108.0019.4%5.6%21.5%12.9%0.0%0.7%-0.6%31.0K-1.1M-3.9K0.0095.65N/AN/A00144118
2020-07-23$131.43$108.0022.3%6.4%18.1%16.7%24.3%9.6%4.2%30.4K-1.1M-3.8K0.0091.98N/AN/A20144118
2020-07-24$130.79$108.0025.4%7.3%18.4%21.0%0.0%10.0%-6.1%33.0K-1.1M-3.8K0.3893.43N/AN/A83146118
2020-07-27$132.97$108.0024.6%7.0%17.8%19.8%0.0%7.0%2.5%32.4K-1.2M-4.0K0.0089.56N/AN/A02154121
2020-07-28$130.56$108.0025.0%7.2%19.3%20.4%0.0%1.3%4.4%40.4K-1.1M-3.9K0.0094.62N/AN/A20154119
2020-07-29$131.85$108.0021.4%6.1%18.6%15.5%0.0%8.3%4.0%50.0K-1.2M-3.7K0.00110.73N/AN/A00154119
2020-07-30$128.98$108.0027.5%7.9%20.7%23.7%0.0%-2.4%3.0%33.2K-982.2K-3.9K0.10126.78N/AN/A101154119
2020-07-31$128.43$108.0024.1%6.9%20.3%19.2%23.2%3.6%4.4%45.6K-1.1M-4.1K0.00107.23N/AN/A20164119