VAW Options History — September 2020

In September 2020, VAW traded between $130.31 and $141.26. ATM implied volatility averaged 26.4%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 2.6% (HV 20d: 23.7%). Max pain ranged from $127.00 to $137.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2020-09-23: Highest Volume — 40 contracts
  • 2020-09-09: Largest IV drop — 26.4% change
  • 2020-09-08: Highest IV Rank — 29.4%
  • 2020-09-22: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.41$130.31$141.26$137.54$134.21
Max Pain$130.48$127.00$137.00$127.00$128.00
ATM IV26.4%21.3%31.7%26.0%23.9%
Expected Move7.5%6.1%9.0%7.5%6.9%
HV 20d23.7%13.5%29.8%13.5%28.8%
HV 60d21.4%19.3%26.1%24.9%21.6%
IV Rank22.2%15.4%29.4%21.8%18.9%
IV Percentile61.3%46.8%73.4%63.9%53.2%
Term Structure2.3%-3.9%13.5%-0.9%11.0%
VWIV26.9%18.9%30.2%28.5%18.9%
Skew 25d5.5%-6.1%14.9%4.5%4.4%
Skew 10d7.3%-9.2%20.0%7.5%-5.1%
Call IV 25d24.9%18.6%35.1%21.9%28.6%
Put IV 25d30.4%18.9%43.8%26.4%33.1%
Bid-Ask Spread %77.8649.27109.4183.33104.07
Gamma HHI0.130.100.160.140.12
Net GEX2.7K-8.4K13.5K5.8K3.6K
Net DEX-616.2K-940.1K-106.5K-694.2K-654.0K
Net VEX-4.5K-6.0K-2.8K-3.5K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.000.000.00
Total Volume6.19040101
Total OI220.571184254184245

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$137.54$127.0026.0%7.5%13.5%21.8%0.0%4.5%-0.9%5.8K-694.2K-3.5K0.0083.33N/AN/A0109688
2020-09-02$141.26$127.0025.2%7.2%15.0%20.7%0.0%4.7%2.9%-3.0K-843.1K-2.8K0.00107.47N/AN/A009698
2020-09-03$136.72$137.0031.4%8.5%19.6%29.1%0.0%3.5%0.0%-213-508.2K-4.4K0.0049.27N/AN/A0096108
2020-09-04$137.88$137.0029.7%7.9%19.7%26.8%0.0%-5.4%7.2%-1.2K-549.0K-4.2K0.0061.63N/AN/A0096108
2020-09-08$135.18$137.0031.7%8.6%20.8%29.4%0.0%14.9%-0.1%905-419.8K-4.3K0.0052.72N/AN/A10096108
2020-09-09$138.11$137.0023.3%6.7%22.1%18.1%0.0%10.2%5.5%1.9K-716.2K-4.2K0.0057.28N/AN/A00106108
2020-09-10$137.00$137.0026.5%7.6%22.3%22.5%0.0%6.2%-2.7%1.2K-662.8K-4.2K0.0075.75N/AN/A30106108
2020-09-11$137.50$137.0021.3%6.1%22.2%15.4%28.5%6.8%10.9%1.9K-716.6K-4.4K0.0062.44N/AN/A250108108
2020-09-14$139.64$128.0021.4%6.1%22.8%15.5%0.0%7.1%1.1%4.8K-860.7K-4.1K0.0061.05N/AN/A00113109
2020-09-15$140.09$128.0021.3%6.1%22.8%15.4%0.0%0.4%-3.2%3.2K-867.2K-4.2K2.0067.15N/AN/A24113109
2020-09-16$140.62$128.0024.5%7.0%22.7%19.7%0.0%12.0%6.5%12.7K-935.2K-4.2K0.0098.23N/AN/A40117109
2020-09-17$140.78$128.0024.4%7.0%22.6%19.6%0.0%6.2%-3.5%12.3K-940.1K-4.1K1.0078.62N/AN/A11117109
2020-09-18$139.10$128.0026.4%7.6%23.1%22.2%30.2%9.3%-3.7%13.5K-826.0K-4.4K0.0056.70N/AN/A03117109
2020-09-21$133.46$128.0028.6%8.2%27.6%25.2%30.2%3.0%0.9%-1.9K-308.6K-4.5K0.0073.40N/AN/A0996109
2020-09-22$134.14$128.0031.3%9.0%27.0%28.9%0.0%8.6%-3.9%-7.5K-311.7K-4.5K0.0071.80N/AN/A0096118
2020-09-23$130.31$128.0027.5%7.9%28.8%23.8%0.0%12.1%5.5%-8.4K-106.5K-4.5K0.0086.62N/AN/A40096118
2020-09-24$130.76$128.0030.8%8.8%28.7%28.3%18.9%-6.1%-2.4%2.3K-326.8K-6.0K0.00109.41N/AN/A05136118
2020-09-25$131.81$128.0028.3%8.1%28.9%24.8%0.0%6.2%1.9%3.5K-386.4K-5.9K0.00101.94N/AN/A012136118
2020-09-28$134.56$128.0028.2%8.1%29.8%24.8%0.0%1.0%2.5%5.2K-663.5K-5.6K0.0086.09N/AN/A00136109
2020-09-29$133.86$128.0021.8%6.2%29.5%16.0%0.0%5.2%13.5%4.9K-644.4K-5.5K0.0090.00N/AN/A00136109
2020-09-30$134.21$128.0023.9%6.9%28.8%18.9%0.0%4.4%11.0%3.6K-654.0K-5.5K0.00104.07N/AN/A10136109