VAW Options History — January 2021

In January 2021, VAW traded between $153.33 and $168.58. ATM implied volatility averaged 27.0%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.3% (HV 20d: 20.7%). Max pain ranged from $153.00 to $167.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.01.

Notable Days

2021-01-20: Highest Volume — 64 contracts
2021-01-08: Largest IV drop — 38.8% change
2021-01-29: Highest IV Rank — 31.1%
2021-01-29: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$162.17	$153.33	$168.58	$155.72	$153.35
Max Pain	$160.37	$153.00	$167.00	$153.00	$166.00
ATM IV	27.0%	19.8%	34.9%	31.6%	34.9%
Expected Move	7.6%	5.9%	10.0%	8.0%	10.0%
HV 20d	20.7%	13.6%	26.9%	13.6%	26.9%
HV 60d	23.3%	21.7%	24.1%	21.7%	23.1%
IV Rank	20.9%	11.4%	31.1%	27.7%	31.1%
IV Percentile	48.6%	15.5%	76.6%	68.7%	76.6%
Term Structure	-1.4%	-4.6%	2.5%	-4.0%	-3.0%
VWIV	26.7%	19.0%	37.5%	23.7%	33.2%
Skew 25d	5.5%	0.1%	12.0%	6.3%	12.0%
Skew 10d	11.8%	6.3%	17.7%	14.1%	11.7%
Call IV 25d	24.7%	18.6%	35.0%	23.4%	28.9%
Put IV 25d	30.2%	25.8%	41.0%	29.8%	41.0%
Bid-Ask Spread %	83.82	70.22	98.33	89.45	97.91
Gamma HHI	0.17	0.11	0.30	0.15	0.12
Net GEX	27.0K	5.1K	61.1K	5.1K	19.4K
Net DEX	-825.0K	-1.2M	-490.8K	-584.0K	-490.8K
Net VEX	-2.6K	-3.1K	-2.1K	-3.0K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.00	9.67	0.00	0.00
Total Volume	9.421	0	64	4	11
Total OI	153.263	128	183	146	157

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$155.72	$153.00	31.6%	8.0%	13.6%	27.7%	23.7%	6.3%	-4.0%	5.1K	-584.0K	-3.0K	0.00	89.45	N/A	N/A	4	0	79	67
2021-01-05	$159.39	$153.00	27.5%	6.7%	14.1%	22.0%	27.9%	2.5%	2.5%	10.0K	-731.4K	-2.6K	0.00	96.71	N/A	N/A	5	0	79	67
2021-01-06	$165.97	$153.00	32.5%	7.7%	19.4%	29.0%	19.2%	1.8%	-1.9%	14.9K	-1.0M	-2.2K	0.00	92.30	N/A	N/A	2	0	82	67
2021-01-07	$167.31	$153.00	32.4%	8.4%	19.4%	28.9%	25.8%	4.4%	-1.2%	12.6K	-1.0M	-2.4K	0.00	77.40	N/A	N/A	17	0	81	67
2021-01-08	$166.01	$153.00	19.8%	7.2%	19.8%	11.4%	0.0%	4.1%	-0.6%	38.8K	-1.1M	-2.4K	0.00	77.36	N/A	N/A	0	0	95	67
2021-01-11	$166.32	$153.00	23.6%	7.7%	19.7%	16.7%	21.6%	7.7%	-3.8%	45.4K	-1.1M	-2.1K	0.50	75.31	N/A	N/A	6	3	94	67
2021-01-12	$168.58	$155.00	22.9%	7.0%	19.6%	15.7%	37.5%	4.2%	0.6%	51.7K	-1.2M	-2.2K	0.00	78.85	N/A	N/A	0	20	100	70
2021-01-13	$166.39	$155.00	24.5%	7.0%	19.8%	17.8%	23.9%	4.2%	1.0%	55.8K	-1.1M	-2.4K	0.00	77.42	N/A	N/A	3	0	98	70
2021-01-14	$166.42	$155.00	24.3%	7.0%	19.3%	17.6%	28.2%	3.4%	-0.4%	61.1K	-1.1M	-2.3K	2.00	70.22	N/A	N/A	5	10	101	70
2021-01-15	$163.46	$167.00	26.4%	7.6%	20.8%	20.5%	24.5%	7.0%	-0.2%	22.5K	-870.7K	-2.6K	0.00	73.81	N/A	N/A	7	0	103	80
2021-01-19	$164.25	$167.00	20.6%	5.9%	20.8%	12.5%	24.9%	8.8%	-1.3%	18.1K	-763.2K	-2.4K	0.00	81.16	N/A	N/A	5	0	83	45
2021-01-20	$164.94	$167.00	22.4%	6.4%	20.7%	14.8%	0.0%	0.1%	-4.4%	24.1K	-812.5K	-2.4K	9.67	83.53	N/A	N/A	6	58	88	45
2021-01-21	$162.40	$167.00	27.8%	8.0%	21.6%	21.7%	19.0%	4.4%	-1.0%	21.8K	-730.0K	-2.8K	0.00	80.05	N/A	N/A	3	0	94	49
2021-01-22	$161.89	$166.00	25.4%	7.3%	21.6%	17.9%	0.0%	6.0%	-4.6%	24.5K	-723.1K	-2.9K	0.00	78.63	N/A	N/A	0	0	97	49
2021-01-25	$160.44	$166.00	27.1%	7.8%	21.9%	20.1%	26.5%	6.4%	-1.6%	23.4K	-676.4K	-2.8K	0.00	86.30	N/A	N/A	0	3	97	49
2021-01-26	$158.86	$166.00	26.9%	7.7%	22.3%	19.8%	0.0%	8.9%	0.4%	21.7K	-636.0K	-2.8K	0.00	83.63	N/A	N/A	6	0	97	49
2021-01-27	$153.33	$166.00	30.8%	8.8%	25.8%	25.3%	37.3%	6.7%	-2.8%	21.4K	-492.5K	-2.9K	0.00	98.33	N/A	N/A	0	5	103	49
2021-01-28	$156.23	$166.00	32.1%	9.2%	26.7%	27.2%	0.0%	5.0%	-1.0%	21.2K	-563.1K	-3.1K	0.00	94.24	N/A	N/A	0	0	103	54
2021-01-29	$153.35	$166.00	34.9%	10.0%	26.9%	31.1%	33.2%	12.0%	-3.0%	19.4K	-490.8K	-3.0K	0.00	97.91	N/A	N/A	0	11	103	54