VAW Options History — August 2020

In August 2020, VAW traded between $129.36 and $136.89. ATM implied volatility averaged 21.5%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.8% (HV 20d: 16.7%). Max pain ranged from $108.00 to $134.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2020-08-21: Highest Volume — 19 contracts
  • 2020-08-12: Largest IV spike — 25.1% change
  • 2020-08-12: Highest IV Rank — 20.7%
  • 2020-08-10: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.97$129.36$136.89$129.36$135.22
Max Pain$128.29$108.00$134.00$108.00$127.00
ATM IV21.5%18.4%25.2%23.5%22.1%
Expected Move6.4%5.3%7.3%6.8%6.3%
HV 20d16.7%11.5%20.4%20.2%12.6%
HV 60d27.2%24.7%30.8%30.8%24.7%
IV Rank15.6%11.4%20.7%18.4%16.5%
IV Percentile51.8%42.1%61.5%56.0%53.6%
Term Structure2.0%-4.3%5.6%1.4%1.5%
VWIV24.0%19.4%33.0%33.0%19.4%
Skew 25d5.2%-8.5%14.0%6.2%3.0%
Skew 10d7.1%-7.2%20.7%6.7%6.5%
Call IV 25d20.6%15.8%29.0%20.6%24.1%
Put IV 25d25.8%16.0%36.9%26.8%27.1%
Bid-Ask Spread %89.8654.07144.95100.8373.85
Gamma HHI0.210.140.330.140.14
Net GEX27.9K-22850.7K50.6K5.5K
Net DEX-1.1M-1.6M-412.1K-1.1M-492.1K
Net VEX-3.6K-4.1K-3.2K-3.9K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.0010.001.000.00
Total Volume3.905019210
Total OI260.667156306282173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$129.36$108.0023.5%6.8%20.2%18.4%33.0%6.2%1.4%50.6K-1.1M-3.9K1.00100.83N/AN/A11164118
2020-08-04$130.45$108.0019.6%5.6%20.4%13.1%0.0%3.0%2.6%50.7K-1.2M-3.8K0.00103.02N/AN/A00165119
2020-08-05$132.86$108.0021.1%6.1%20.2%15.2%0.0%8.0%2.4%46.7K-1.4M-3.7K0.00105.81N/AN/A010165119
2020-08-06$132.24$134.0018.6%7.1%19.7%11.8%0.0%14.0%3.7%44.4K-1.3M-4.1K0.0054.07N/AN/A00165129
2020-08-07$132.49$134.0022.5%6.9%18.9%17.0%0.0%3.9%2.8%50.2K-1.3M-4.0K0.0059.07N/AN/A00165129
2020-08-10$133.94$134.0022.5%7.3%19.1%17.0%0.0%7.8%-4.3%41.9K-1.4M-3.8K0.0062.33N/AN/A00165129
2020-08-11$134.01$134.0020.2%7.1%18.2%13.8%0.0%2.0%1.5%45.3K-1.5M-3.8K10.0080.93N/AN/A110165129
2020-08-12$134.99$134.0025.2%7.2%16.9%20.7%0.0%7.9%3.5%30.8K-1.5M-3.8K0.0092.53N/AN/A00166139
2020-08-13$134.51$134.0021.8%6.2%17.1%16.0%0.0%6.7%4.5%36.4K-1.5M-3.7K0.0096.64N/AN/A10166139
2020-08-14$134.56$134.0022.7%6.5%16.8%17.3%0.0%9.8%3.8%26.3K-1.5M-3.6K0.0064.73N/AN/A00165139
2020-08-17$135.28$134.0022.3%6.4%16.4%16.7%0.0%5.2%5.4%28.6K-1.6M-3.5K0.0074.25N/AN/A02165139
2020-08-18$134.76$134.0018.4%5.3%16.3%11.4%0.0%5.7%5.6%31.2K-1.6M-3.5K0.00114.91N/AN/A00165141
2020-08-19$134.18$134.0020.1%5.8%16.1%13.7%0.0%7.0%-2.1%39.0K-1.5M-3.5K0.00103.04N/AN/A00165141
2020-08-20$133.77$134.0019.9%5.7%16.1%13.5%0.0%-8.5%5.1%39.0K-1.5M-3.3K0.00130.79N/AN/A100165141
2020-08-21$132.75$134.0022.7%6.5%16.3%17.3%25.4%-1.6%-1.8%320-1.3M-3.3K0.00144.95N/AN/A190155141
2020-08-24$135.01$127.0021.2%6.1%16.3%15.2%21.2%4.4%1.0%-228-412.1K-3.2K0.1898.29N/AN/A1127284
2020-08-25$134.65$127.0020.8%6.0%14.8%14.8%21.1%7.0%1.7%3.8K-463.5K-3.5K0.5070.55N/AN/A218386
2020-08-26$135.59$127.0021.5%6.2%14.6%15.7%19.4%5.5%2.0%4.6K-524.4K-3.4K0.0096.17N/AN/A108587
2020-08-27$135.86$127.0022.1%6.3%11.7%16.4%0.0%7.3%1.0%6.3K-531.9K-3.4K0.0086.99N/AN/A008687
2020-08-28$136.89$127.0021.7%6.2%11.5%15.9%0.0%5.5%1.5%5.3K-570.1K-3.4K0.0073.24N/AN/A008687
2020-08-31$135.22$127.0022.1%6.3%12.6%16.5%0.0%3.0%1.5%5.5K-492.1K-3.4K0.0073.85N/AN/A1008687