VAW Options History — December 2020

In December 2020, VAW traded between $151.85 and $157.10. ATM implied volatility averaged 24.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 6.2% (HV 20d: 18.1%). Max pain ranged from $142.00 to $155.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2020-12-11: Highest Volume — 18 contracts
  • 2020-12-03: Largest IV spike — 45.2% change
  • 2020-12-07: Highest IV Rank — 29.8%
  • 2020-12-09: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$154.64$151.85$157.10$154.08$157.10
Max Pain$149.82$142.00$155.00$142.00$155.00
ATM IV24.3%19.6%31.9%25.7%26.5%
Expected Move6.9%5.6%8.0%7.4%7.6%
HV 20d18.1%13.4%26.1%26.1%13.4%
HV 60d23.9%22.1%25.6%25.6%22.1%
IV Rank19.2%13.0%29.8%21.3%20.6%
IV Percentile40.9%23.4%69.4%48.8%50.8%
Term Structure0.3%-6.4%4.5%-2.6%-5.7%
VWIV25.3%20.2%32.2%32.2%24.0%
Skew 25d5.0%-2.4%17.3%5.0%5.9%
Skew 10d6.8%-4.1%18.8%9.6%-2.7%
Call IV 25d23.6%12.1%31.1%22.9%31.1%
Put IV 25d28.6%24.1%37.0%28.0%37.0%
Bid-Ask Spread %70.0442.49118.1979.15118.19
Gamma HHI0.160.140.210.200.15
Net GEX10.3K4.6K18.6K6.0K6.3K
Net DEX-690.4K-789.5K-590.1K-669.2K-659.9K
Net VEX-2.7K-3.3K-2.1K-2.5K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.004.004.000.00
Total Volume3.86401850
Total OI137.864125152125149

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$154.08$142.0025.7%7.4%26.1%21.3%32.2%5.0%-2.6%6.0K-669.2K-2.5K4.0079.15N/AN/A146956
2020-12-02$152.82$144.0019.6%5.6%25.7%13.0%0.0%0.5%3.5%4.8K-641.6K-2.6K0.0090.65N/AN/A007060
2020-12-03$151.85$150.0028.4%7.3%24.5%25.0%24.9%4.7%0.1%4.6K-605.9K-2.7K0.0071.70N/AN/A207060
2020-12-04$155.03$150.0023.3%6.8%21.9%18.1%0.0%0.9%1.3%13.5K-779.4K-2.1K0.0067.79N/AN/A007260
2020-12-07$153.92$150.0031.9%7.9%22.2%29.8%0.0%5.6%-0.6%5.7K-704.1K-2.5K0.0078.88N/AN/A007260
2020-12-08$155.22$150.0029.5%8.0%20.5%26.5%0.0%4.7%-1.8%12.2K-753.4K-2.2K0.0075.28N/AN/A007260
2020-12-09$155.39$150.0027.9%8.0%20.4%24.3%0.0%5.1%-3.2%6.6K-747.1K-2.3K0.0078.25N/AN/A107260
2020-12-10$154.83$150.0024.6%7.1%19.4%19.9%0.0%6.1%4.1%7.5K-719.1K-2.5K0.0087.88N/AN/A007360
2020-12-11$153.83$150.0025.5%7.3%17.9%21.0%29.2%3.6%1.7%9.1K-700.5K-2.5K0.0043.57N/AN/A0187360
2020-12-14$152.12$150.0023.4%6.7%16.8%18.3%0.0%4.8%4.1%9.1K-627.8K-2.6K0.0044.19N/AN/A107368
2020-12-15$154.64$150.0022.0%6.3%16.8%16.4%0.0%4.7%3.9%10.0K-747.5K-2.3K0.0042.49N/AN/A607468
2020-12-16$154.62$150.0020.8%5.9%16.8%14.6%0.0%5.0%4.5%10.6K-789.5K-2.6K0.0071.49N/AN/A028068
2020-12-17$155.54$150.0022.7%6.5%16.7%17.2%0.0%5.7%0.4%6.5K-654.8K-2.7K0.0950.03N/AN/A1117068
2020-12-18$155.29$150.0023.4%6.7%16.7%18.2%0.0%17.3%-1.9%13.3K-726.0K-3.0K0.0057.26N/AN/A008068
2020-12-21$154.71$150.0021.9%6.3%16.8%16.2%21.5%10.4%2.9%7.1K-590.1K-2.7K0.0080.49N/AN/A1606957
2020-12-22$154.34$150.0022.6%6.5%16.6%17.2%20.2%7.0%1.4%16.0K-647.8K-3.2K0.0053.02N/AN/A608357
2020-12-23$155.36$150.0022.0%6.3%14.5%16.3%0.0%4.9%0.7%17.8K-714.7K-3.3K0.0049.86N/AN/A008657
2020-12-24$155.12$150.0022.1%6.3%13.9%16.4%0.0%7.2%1.0%18.6K-686.7K-3.3K0.0052.71N/AN/A008657
2020-12-28$155.11$150.0023.4%6.7%13.9%16.3%0.0%-2.4%0.5%17.2K-694.0K-3.2K0.0063.89N/AN/A308557
2020-12-29$154.38$150.0025.7%7.4%13.5%19.5%24.0%-2.1%-6.4%16.8K-653.7K-3.2K0.0087.47N/AN/A0108557
2020-12-30$156.68$155.0022.9%6.6%13.8%15.7%0.0%5.3%-0.5%7.9K-676.6K-3.1K0.0096.59N/AN/A308567
2020-12-31$157.10$155.0026.5%7.6%13.4%20.6%0.0%5.9%-5.7%6.3K-659.9K-3.0K0.00118.19N/AN/A008267