VAW Options History — November 2020

In November 2020, VAW traded between $139.15 and $154.99. ATM implied volatility averaged 28.4%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 1.4% (HV 20d: 29.8%). Max pain ranged from $133.00 to $142.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-11-13: Highest Volume — 6 contracts
  • 2020-11-11: Largest IV drop — 35.8% change
  • 2020-11-02: Highest IV Rank — 40.6%
  • 2020-11-02: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$148.44$139.15$154.99$139.15$152.19
Max Pain$138.40$133.00$142.00$133.00$142.00
ATM IV28.4%20.6%39.9%39.9%29.7%
Expected Move7.8%5.9%11.4%11.4%8.5%
HV 20d29.8%25.0%32.4%25.0%28.2%
HV 60d25.9%23.4%26.9%23.4%25.5%
IV Rank25.0%14.4%40.6%40.6%26.7%
IV Percentile56.2%30.6%82.9%82.9%64.7%
Term Structure-0.8%-9.5%7.7%-1.7%-9.5%
VWIV31.3%22.7%45.6%45.6%22.7%
Skew 25d4.6%-3.1%13.0%13.0%6.0%
Skew 10d5.2%-13.0%22.5%5.6%7.0%
Call IV 25d26.1%18.4%31.9%26.8%23.3%
Put IV 25d30.6%18.1%40.5%39.8%29.3%
Bid-Ask Spread %99.5171.72135.3599.3082.47
Gamma HHI0.180.150.240.150.19
Net GEX3.3K-5.3K10.7K-5.3K4.0K
Net DEX-777.4K-1.0M-409.1K-409.1K-616.8K
Net VEX-3.0K-3.8K-2.4K-3.8K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.90610
Total OI176.65118200190125

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$139.15$133.0039.9%11.4%25.0%40.6%45.6%13.0%-1.7%-5.3K-409.1K-3.8K0.0099.30N/AN/A1087103
2020-11-03$142.22$133.0038.3%11.0%25.8%38.5%0.0%8.6%-4.2%-2.6K-593.5K-3.4K0.0099.24N/AN/A0087103
2020-11-04$139.46$133.0037.4%10.7%25.4%37.2%0.0%4.8%-2.0%-1.5K-503.5K-3.7K0.00111.40N/AN/A0088103
2020-11-05$144.93$137.0034.5%8.1%28.8%33.3%0.0%3.2%-0.1%-2.0K-686.5K-3.4K0.00115.27N/AN/A1088103
2020-11-06$145.58$137.0026.7%7.9%28.7%22.7%0.0%3.7%-1.0%3.2K-781.5K-3.2K0.00131.70N/AN/A0189103
2020-11-09$149.56$137.0032.0%7.7%30.1%29.9%0.0%11.1%3.2%720-897.4K-2.9K0.00109.12N/AN/A0089103
2020-11-10$150.22$137.0038.6%8.1%29.7%38.8%0.0%5.7%-4.1%3.0K-936.3K-2.8K0.00113.76N/AN/A2089103
2020-11-11$147.73$137.0024.8%7.1%30.6%20.1%0.0%2.7%-0.2%1.5K-909.9K-2.8K0.00135.35N/AN/A1090103
2020-11-12$144.85$137.0026.1%7.5%31.5%21.8%0.0%3.3%-0.8%2.3K-786.5K-3.1K0.00129.94N/AN/A0091103
2020-11-13$148.33$137.0028.7%8.2%32.4%25.4%25.6%7.6%-6.1%2.3K-901.0K-2.8K0.0082.14N/AN/A6091103
2020-11-16$150.78$137.0023.3%6.7%32.3%18.0%0.0%-3.1%-3.9%9.8K-1.0M-2.8K0.0075.36N/AN/A0295103
2020-11-17$150.65$137.0020.6%5.9%32.3%14.4%22.7%-2.7%7.7%10.7K-984.9K-2.9K0.0083.56N/AN/A0295103
2020-11-18$149.95$142.0023.9%6.8%32.3%18.9%0.0%3.3%0.7%7.0K-981.3K-2.8K0.0099.73N/AN/A0095105
2020-11-19$149.82$142.0023.2%6.7%32.4%18.0%0.0%9.5%0.2%8.4K-967.8K-2.8K0.0097.70N/AN/A0095105
2020-11-20$149.87$142.0024.1%6.9%32.4%19.2%0.0%-1.9%0.3%6.7K-993.9K-2.7K0.0090.96N/AN/A0095105
2020-11-23$151.42$142.0023.9%6.8%30.1%18.9%0.0%2.7%1.0%5.6K-612.1K-2.6K0.0071.72N/AN/A206751
2020-11-24$154.99$142.0026.3%7.5%30.6%22.2%0.0%3.7%-1.5%3.2K-710.8K-2.4K0.0089.39N/AN/A006956
2020-11-25$153.32$142.0022.3%6.4%28.6%16.8%0.0%10.6%2.1%5.2K-642.5K-2.8K0.0087.86N/AN/A006956
2020-11-27$153.72$142.0023.4%6.7%28.2%18.3%0.0%-0.4%4.2%3.9K-631.0K-2.7K0.0084.18N/AN/A006956
2020-11-30$152.19$142.0029.7%8.5%28.2%26.7%0.0%6.0%-9.5%4.0K-616.8K-2.6K0.0082.47N/AN/A006956