VAW Options History — April 2021

In April 2021, VAW traded between $173.76 and $183.28. ATM implied volatility averaged 18.2%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.8% (HV 20d: 16.4%). Max pain ranged from $160.00 to $173.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2021-04-13: Highest Volume — 164 contracts
  • 2021-04-29: Largest IV spike — 46.0% change
  • 2021-04-29: Highest IV Rank — 27.3%
  • 2021-04-29: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$178.49$173.76$183.28$174.10$181.20
Max Pain$168.10$160.00$173.00$162.00$173.00
ATM IV18.2%15.7%23.3%21.5%20.4%
Expected Move5.2%4.5%6.7%6.2%5.8%
HV 20d16.4%14.7%18.5%18.5%15.9%
HV 60d19.6%17.8%21.7%21.7%18.0%
IV Rank10.1%3.0%27.3%14.2%19.0%
IV Percentile6.5%0.4%38.5%17.1%16.3%
Term Structure1.4%-5.2%5.4%-5.2%1.9%
VWIV18.4%15.2%22.8%19.5%22.8%
Skew 25d2.3%-4.5%6.3%5.8%6.3%
Skew 10d2.9%-6.1%9.6%0.9%2.3%
Call IV 25d18.4%14.5%24.9%15.4%14.5%
Put IV 25d20.7%18.4%24.9%21.2%20.7%
Bid-Ask Spread %93.6379.27107.1497.25105.62
Gamma HHI0.140.120.190.150.13
Net GEX68.3K10.1K166.2K95.2K12.7K
Net DEX-2.0M-2.6M-1.6M-1.8M-2.0M
Net VEX-5.8K-6.4K-5.3K-6.2K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.004.000.000.00
Total Volume13.524016460
Total OI261.905230291230285

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$174.10$162.0021.5%6.2%18.5%14.2%19.5%5.8%-5.2%95.2K-1.8M-6.2K0.0097.25N/AN/A6017357
2021-04-05$176.74$160.0018.7%4.7%17.2%9.2%0.0%5.8%3.9%95.2K-2.1M-5.7K0.0094.02N/AN/A15017357
2021-04-06$176.43$160.0016.1%5.4%16.2%3.1%19.2%0.7%2.0%117.3K-2.1M-5.8K1.0079.27N/AN/A2218257
2021-04-07$173.76$160.0020.5%5.4%17.3%16.5%16.2%-1.9%1.8%122.1K-2.0M-6.0K2.00107.14N/AN/A61218456
2021-04-08$173.90$160.0017.7%4.9%16.5%8.7%0.0%3.9%4.5%126.4K-1.8M-6.1K0.0086.75N/AN/A0018367
2021-04-09$174.86$160.0015.7%4.5%16.5%3.0%0.0%2.5%5.1%131.4K-1.9M-6.0K1.0086.21N/AN/A3318367
2021-04-12$175.85$160.0018.9%5.3%16.6%12.1%0.0%5.4%4.0%154.7K-2.0M-5.7K1.0081.44N/AN/A1118670
2021-04-13$175.35$160.0017.1%5.1%16.6%6.9%19.0%2.7%2.8%166.2K-2.0M-5.7K1.1684.43N/AN/A768818370
2021-04-14$176.72$172.0017.2%4.9%16.5%7.1%17.7%2.3%1.1%139.1K-2.0M-6.1K1.0094.18N/AN/A5518695
2021-04-15$178.76$173.0017.3%5.0%16.8%7.5%17.4%2.3%-1.5%88.7K-2.3M-5.7K0.0094.92N/AN/A30188100
2021-04-16$180.94$173.0017.0%4.9%16.9%6.6%0.0%-1.3%2.1%41.3K-2.6M-5.3K0.0099.69N/AN/A30191100
2021-04-19$179.87$173.0018.6%5.3%17.2%11.3%17.5%1.7%-3.0%11.5K-1.9M-5.4K0.2591.69N/AN/A4115388
2021-04-20$177.75$173.0018.7%5.4%17.6%11.6%19.7%2.3%0.7%17.8K-1.7M-5.8K4.0089.52N/AN/A41615589
2021-04-21$180.97$173.0018.0%5.2%14.7%9.5%17.4%5.3%1.5%16.2K-1.7M-6.4K0.0092.74N/AN/A30159105
2021-04-22$178.55$173.0015.9%4.6%15.8%3.7%15.2%-4.5%5.4%10.1K-1.6M-6.4K0.0092.53N/AN/A30162105
2021-04-23$181.39$173.0017.7%5.1%16.0%9.6%0.0%2.8%0.2%21.4K-1.9M-6.0K0.0093.91N/AN/A00165105
2021-04-26$182.59$173.0018.9%5.4%15.2%13.2%19.4%2.3%0.5%21.3K-2.1M-5.4K1.2593.75N/AN/A810164105
2021-04-27$182.38$173.0017.1%4.9%15.2%7.6%0.0%1.0%-0.8%14.0K-2.0M-5.9K0.0095.93N/AN/A00169115
2021-04-28$182.84$173.0015.9%4.6%15.1%3.9%0.0%1.5%3.8%18.2K-2.1M-5.6K0.00102.54N/AN/A20169115
2021-04-29$183.28$173.0023.3%6.7%15.1%27.3%22.8%1.2%-2.3%12.3K-2.1M-5.4K0.00102.60N/AN/A20169115
2021-04-30$181.20$173.0020.4%5.8%15.9%19.0%0.0%6.3%1.9%12.7K-2.0M-5.7K0.00105.62N/AN/A00170115