VAW Options History — October 2020

In October 2020, VAW traded between $132.78 and $141.95. ATM implied volatility averaged 26.9%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.9% (HV 20d: 23.0%). Max pain ranged from $127.00 to $133.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2020-10-02: Highest Volume — 41 contracts
  • 2020-10-02: Largest IV spike — 37.8% change
  • 2020-10-29: Highest IV Rank — 40.0%
  • 2020-10-29: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.65$132.78$141.95$132.78$134.29
Max Pain$131.18$127.00$133.00$128.00$133.00
ATM IV26.9%17.5%39.5%20.8%33.5%
Expected Move8.3%6.0%11.3%6.0%9.6%
HV 20d23.0%17.0%27.0%27.0%22.3%
HV 60d21.5%20.4%22.3%21.6%22.3%
IV Rank23.0%10.2%40.0%14.7%31.9%
IV Percentile58.5%33.3%82.9%40.1%75.0%
Term Structure-1.0%-9.1%17.1%17.1%-2.2%
VWIV35.0%22.3%49.0%32.2%36.3%
Skew 25d5.2%-3.1%13.1%-1.8%-0.4%
Skew 10d9.6%-3.8%28.7%0.4%23.1%
Call IV 25d27.5%23.4%44.4%27.6%44.4%
Put IV 25d32.7%25.8%45.4%25.8%44.0%
Bid-Ask Spread %100.3579.59127.41112.54108.08
Gamma HHI0.140.120.180.130.14
Net GEX753-6.0K8.3K6.4K-5.5K
Net DEX-554.0K-815.5K-153.6K-598.1K-187.4K
Net VEX-4.3K-5.5K-3.9K-5.5K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.000.030.00
Total Volume2.59104100
Total OI205.136183246246190

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$132.78$128.0020.8%6.0%27.0%14.7%0.0%-1.8%17.1%6.4K-598.1K-5.5K0.00112.54N/AN/A00137109
2020-10-02$134.98$128.0028.7%8.2%25.5%25.4%32.2%1.6%-2.1%6.0K-694.2K-5.4K0.03127.41N/AN/A401137109
2020-10-05$137.35$127.0032.3%7.2%26.1%30.2%0.0%9.3%-1.0%-561-480.7K-4.7K0.0088.38N/AN/A06107110
2020-10-06$136.04$127.0025.6%8.9%25.3%21.3%0.0%7.4%-4.4%333-544.8K-4.6K0.0090.43N/AN/A00107111
2020-10-07$139.47$127.0020.0%8.9%25.7%13.6%0.0%8.4%-9.1%147-605.2K-4.6K0.0090.46N/AN/A00107111
2020-10-08$140.66$127.0018.9%7.9%25.7%12.1%0.0%7.6%-1.6%1.6K-717.1K-4.5K0.0089.43N/AN/A00107111
2020-10-09$141.81$127.0017.5%7.8%25.8%10.2%0.0%6.5%-2.6%4.3K-815.5K-4.3K0.0094.94N/AN/A00107111
2020-10-12$141.85$133.0018.7%7.6%25.3%11.9%0.0%2.6%-1.7%7.7K-811.1K-4.1K0.00120.88N/AN/A00104108
2020-10-13$140.49$133.0021.3%7.8%25.5%15.4%0.0%2.3%-1.5%7.4K-730.0K-4.2K0.00121.48N/AN/A00104108
2020-10-14$141.22$133.0026.2%7.5%25.5%22.0%0.0%-3.1%-5.9%8.3K-744.7K-4.1K0.0079.59N/AN/A00104108
2020-10-15$140.84$133.0024.0%6.9%25.6%19.1%0.0%6.5%4.4%8.3K-725.7K-4.1K0.0082.25N/AN/A00104108
2020-10-16$141.95$133.0026.5%7.6%25.3%22.4%49.0%6.9%2.1%7.8K-801.1K-4.0K0.0092.48N/AN/A01104108
2020-10-19$140.17$133.0027.1%7.8%20.5%23.3%0.0%9.9%-3.6%-2.5K-504.7K-4.0K0.0094.94N/AN/A008598
2020-10-20$140.85$133.0027.6%7.9%20.5%23.9%0.0%3.4%-0.8%-2.0K-540.1K-3.9K0.00120.08N/AN/A008598
2020-10-21$140.22$133.0028.1%8.0%17.1%24.6%0.0%8.9%0.1%-2.3K-506.7K-4.0K0.0091.39N/AN/A108598
2020-10-22$140.94$133.0027.5%7.9%17.1%23.8%0.0%5.8%-1.3%-3.3K-520.7K-3.9K0.0096.83N/AN/A058698
2020-10-23$141.49$133.0027.3%7.8%17.0%23.6%22.3%7.6%-0.7%-3.8K-537.0K-4.0K1.0097.13N/AN/A1186103
2020-10-26$137.39$133.0030.5%8.7%19.4%27.8%0.0%8.5%0.2%-4.1K-414.6K-4.0K0.00105.62N/AN/A0087103
2020-10-27$136.77$133.0033.2%9.5%19.4%31.5%0.0%5.7%-7.3%-5.9K-331.2K-4.1K0.00102.56N/AN/A0087103
2020-10-28$133.01$133.0037.7%10.8%21.9%37.6%36.3%-2.9%-0.2%-6.0K-153.6K-4.2K0.00106.58N/AN/A1087103
2020-10-29$135.71$133.0039.5%11.3%22.7%40.0%0.0%13.1%-0.1%-5.9K-223.3K-3.9K0.0094.15N/AN/A0087103
2020-10-30$134.29$133.0033.5%9.6%22.3%31.9%0.0%-0.4%-2.2%-5.5K-187.4K-4.1K0.00108.08N/AN/A0087103