VAW Options History — February 2021 In February 2021, VAW traded between $155.78 and $166.86. ATM implied volatility averaged 25.8%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.7% (HV 20d: 22.1%). Max pain ranged from $152.00 to $166.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.02.
Notable Days 2021-02-05 : Highest Volume — 82 contracts2021-02-19 : Largest IV spike — 43.5% change2021-02-01 : Highest IV Rank — 39.0%2021-02-01 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $161.18 $155.78 $166.86 $155.78 $161.42 Max Pain $157.68 $152.00 $166.00 $166.00 $162.00 ATM IV 25.8% 14.7% 40.5% 40.5% 26.6% Expected Move 7.5% 4.2% 11.6% 11.6% 7.6% HV 20d 22.1% 18.1% 27.6% 27.6% 18.1% HV 60d 20.3% 19.1% 22.9% 22.9% 19.9% IV Rank 16.6% 0.0% 39.0% 39.0% 17.2% IV Percentile 37.8% 0.0% 84.1% 84.1% 46.0% Term Structure -1.7% -16.5% 9.3% -16.5% -0.6% VWIV 26.7% 18.9% 34.6% 34.6% 32.9% Skew 25d 5.7% -10.5% 14.1% 8.4% 9.1% Skew 10d 6.6% -4.6% 14.7% 9.3% 13.6% Call IV 25d 25.8% 18.1% 39.5% 39.5% 21.5% Put IV 25d 31.5% 19.0% 47.9% 47.9% 30.6% Bid-Ask Spread % 87.40 41.60 125.97 112.93 71.24 Gamma HHI 0.16 0.11 0.40 0.12 0.13 Net GEX 53.4K 20.4K 106.7K 20.4K 78.8K Net DEX -1.2M -1.8M -474.8K -474.8K -1.6M Net VEX -5.9K -8.2K -3.0K -3.3K -8.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.00 5.00 2.00 1.00 Total Volume 12.421 0 82 3 4 Total OI 229.158 164 273 164 273
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 2021-02-01 $155.78 $166.00 40.5% 11.6% 27.6% 39.0% 34.6% 8.4% -16.5% 20.4K -474.8K -3.3K 2.00 112.93 N/A N/A 1 2 103 61 2021-02-02 $157.36 $166.00 35.4% 10.1% 27.6% 31.8% 0.0% 10.8% -7.3% 22.0K -546.0K -3.3K 0.00 113.50 N/A N/A 1 0 104 63 2021-02-03 $157.84 $166.00 33.8% 9.7% 26.3% 29.5% 0.0% -10.5% -10.4% 23.0K -539.9K -3.1K 0.00 116.97 N/A N/A 1 0 105 63 2021-02-04 $157.06 $156.00 24.7% 8.2% 21.4% 15.7% 0.0% -2.3% 1.8% 20.8K -511.2K -3.0K 0.00 93.13 N/A N/A 1 0 106 63 2021-02-05 $159.88 $156.00 21.1% 6.8% 22.3% 10.7% 0.0% 2.4% 1.4% 28.1K -619.5K -3.1K 0.00 70.58 N/A N/A 82 0 107 63 2021-02-08 $161.39 $156.00 26.6% 6.6% 22.6% 17.5% 0.0% 6.4% 1.4% 55.5K -1.3M -6.8K 0.00 51.88 N/A N/A 0 0 188 62 2021-02-09 $161.00 $156.00 19.0% 6.0% 22.6% 6.5% 25.1% 4.4% 1.6% 57.6K -1.3M -6.8K 2.00 41.60 N/A N/A 1 2 188 62 2021-02-10 $160.24 $152.00 20.6% 5.9% 21.9% 8.9% 0.0% 3.9% 6.3% 54.8K -1.3M -6.5K 0.00 68.02 N/A N/A 0 0 189 64 2021-02-11 $160.72 $152.00 25.4% 7.3% 21.6% 15.8% 26.9% 6.3% -2.3% 55.5K -1.3M -6.6K 3.00 63.18 N/A N/A 1 3 189 64 2021-02-12 $161.90 $152.00 27.5% 7.9% 21.8% 18.4% 18.9% 12.9% -4.3% 59.3K -1.4M -6.6K 4.00 96.93 N/A N/A 1 4 190 67 2021-02-16 $162.34 $152.00 27.7% 7.9% 20.9% 18.7% 29.0% 7.8% -1.7% 59.1K -1.4M -6.5K 0.00 89.98 N/A N/A 7 0 191 67 2021-02-17 $161.79 $152.00 23.1% 6.6% 20.9% 12.1% 0.0% 14.1% 2.8% 64.4K -1.3M -6.5K 0.00 77.60 N/A N/A 1 0 194 67 2021-02-18 $160.65 $152.00 14.7% 4.2% 20.9% 0.0% 22.7% 8.6% 9.3% 66.3K -1.3M -6.4K 0.00 105.21 N/A N/A 2 0 194 67 2021-02-19 $163.81 $152.00 21.1% 6.1% 21.4% 9.3% 23.6% 6.8% 2.0% 106.7K -1.4M -6.3K 5.00 125.97 N/A N/A 6 30 196 67 2021-02-22 $164.65 $162.00 26.2% 7.5% 21.5% 16.7% 25.2% 7.6% -1.9% 46.3K -1.4M -6.6K 0.00 101.39 N/A N/A 23 0 170 44 2021-02-23 $164.99 $162.00 30.6% 8.8% 21.1% 23.1% 26.9% -2.5% -8.4% 61.7K -1.6M -6.7K 0.33 81.56 N/A N/A 3 1 185 44 2021-02-24 $166.86 $162.00 19.4% 5.6% 21.0% 6.8% 27.7% 2.5% 0.3% 62.8K -1.8M -6.8K 0.00 75.16 N/A N/A 45 0 188 45 2021-02-25 $162.70 $162.00 26.9% 7.7% 18.7% 17.6% 0.0% 11.6% -5.0% 70.6K -1.7M -8.0K 0.00 103.78 N/A N/A 14 0 216 45 2021-02-26 $161.42 $162.00 26.6% 7.6% 18.1% 17.2% 32.9% 9.1% -0.6% 78.8K -1.6M -8.2K 1.00 71.24 N/A N/A 2 2 228 45
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