VAW Options History — March 2021

In March 2021, VAW traded between $160.45 and $173.82. ATM implied volatility averaged 21.8%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 0.5% (HV 20d: 21.3%). Max pain ranged from $160.00 to $162.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.43.

Notable Days

  • 2021-03-05: Highest Volume — 22 contracts
  • 2021-03-30: Largest IV spike — 48.0% change
  • 2021-03-30: Highest IV Rank — 23.0%
  • 2021-03-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$169.65$160.45$173.82$164.43$173.45
Max Pain$161.65$160.00$162.00$162.00$162.00
ATM IV21.8%17.3%26.9%23.1%20.8%
Expected Move6.2%5.0%7.5%6.6%6.0%
HV 20d21.3%16.9%23.8%17.4%21.5%
HV 60d21.3%20.0%22.4%20.0%22.1%
IV Rank11.7%4.0%23.0%12.1%12.9%
IV Percentile19.9%0.4%48.8%23.4%11.5%
Term Structure-0.6%-6.4%6.1%4.1%1.1%
VWIV23.2%14.3%27.4%18.9%26.7%
Skew 25d5.4%-3.5%13.8%7.5%3.2%
Skew 10d6.7%-6.9%20.4%9.6%-5.2%
Call IV 25d20.9%14.3%26.4%20.1%23.9%
Put IV 25d26.3%21.3%33.5%27.6%27.1%
Bid-Ask Spread %86.2247.08128.0377.95118.64
Gamma HHI0.150.120.210.130.17
Net GEX94.4K69.9K112.4K87.9K84.6K
Net DEX-2.2M-2.8M-1.5M-1.9M-1.8M
Net VEX-7.1K-8.1K-6.4K-8.1K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.002.002.000.00
Total Volume7.04302233
Total OI267.304225290275228

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$164.43$162.0023.1%6.6%17.4%12.1%18.9%7.5%4.1%87.9K-1.9M-8.1K2.0077.95N/AN/A1222847
2021-03-02$165.81$162.0021.9%6.3%16.9%10.4%21.9%13.8%-5.3%97.2K-2.0M-8.0K0.00112.33N/AN/A01022949
2021-03-03$164.83$162.0024.5%7.0%17.0%14.1%0.0%9.6%-3.4%91.2K-1.9M-8.1K0.0082.93N/AN/A5022949
2021-03-04$160.45$160.0026.9%7.5%19.9%17.7%0.0%9.1%1.4%81.0K-1.5M-7.9K0.0053.28N/AN/A6023249
2021-03-05$164.65$160.0022.8%5.5%21.6%11.7%0.0%0.4%1.8%102.1K-1.8M-7.7K0.0067.87N/AN/A22023049
2021-03-08$167.88$160.0023.2%6.6%21.8%12.3%0.0%10.6%-5.9%101.2K-2.1M-7.4K0.0071.01N/AN/A3022039
2021-03-09$168.61$160.0021.5%7.4%21.7%9.9%23.9%4.3%-4.9%108.4K-2.3M-7.1K0.7047.08N/AN/A10722339
2021-03-10$171.30$162.0019.5%5.6%22.1%7.0%14.3%10.8%3.3%110.8K-2.6M-7.5K0.0071.13N/AN/A5023354
2021-03-11$172.25$162.0021.5%6.2%21.9%9.9%0.0%6.3%-2.4%108.9K-2.7M-7.3K0.0063.87N/AN/A19023654
2021-03-12$172.73$162.0019.2%5.5%21.9%6.5%0.0%5.3%1.5%101.2K-2.7M-7.0K0.0055.18N/AN/A0022954
2021-03-15$172.46$162.0023.6%6.8%22.0%12.9%0.0%8.4%-3.8%110.1K-2.7M-6.7K0.0075.77N/AN/A0022854
2021-03-16$171.25$162.0022.5%6.5%22.2%11.3%0.0%2.4%-6.1%112.4K-2.6M-6.9K0.0072.94N/AN/A5022854
2021-03-17$172.57$162.0017.5%5.0%22.2%4.0%27.3%3.4%6.1%101.9K-2.7M-6.6K1.0091.41N/AN/A2222754
2021-03-18$171.58$162.0019.7%5.6%22.1%7.2%26.6%2.7%1.6%105.5K-2.7M-6.6K0.0085.83N/AN/A11022956
2021-03-19$171.95$162.0023.9%6.9%21.3%14.6%27.4%1.4%0.3%112.3K-2.8M-6.5K0.0087.01N/AN/A15023056
2021-03-22$170.75$162.0021.7%6.2%21.5%12.7%26.3%11.1%-2.6%69.9K-2.0M-6.6K0.33128.03N/AN/A3119750
2021-03-23$166.18$162.0024.0%6.9%23.8%19.2%19.5%6.4%-1.5%71.8K-1.7M-6.8K1.25115.08N/AN/A4519951
2021-03-24$168.03$162.0017.3%5.0%23.8%5.3%0.0%3.5%0.4%78.2K-1.9M-6.9K0.00113.35N/AN/A0920354
2021-03-25$170.24$162.0018.6%5.3%22.2%8.0%26.4%-3.5%1.9%85.3K-2.0M-6.7K0.0098.95N/AN/A9020355
2021-03-26$173.24$162.0025.0%7.2%22.5%21.3%0.0%3.7%-6.4%80.4K-2.4M-6.6K0.0093.87N/AN/A0021255
2021-03-29$173.82$162.0017.3%5.0%21.8%5.5%18.7%6.6%6.0%86.3K-1.8M-6.4K2.00112.60N/AN/A1217055
2021-03-30$173.40$162.0025.7%7.4%21.7%23.0%0.0%-1.8%-1.8%82.6K-1.7M-6.5K0.0086.90N/AN/A0017157
2021-03-31$173.45$162.0020.8%6.0%21.5%12.9%26.7%3.2%1.1%84.6K-1.8M-6.4K0.00118.64N/AN/A3017157