VAW Options History — May 2021

In May 2021, VAW traded between $184.78 and $194.55. ATM implied volatility averaged 20.2%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.1% (HV 20d: 18.2%). Max pain ranged from $173.00 to $190.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.68.

Notable Days

2021-05-10: Highest Volume — 40 contracts
2021-05-11: Largest IV spike — 36.9% change
2021-05-11: Highest IV Rank — 42.9%
2021-05-12: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$190.46	$184.78	$194.55	$184.78	$191.43
Max Pain	$187.00	$173.00	$190.00	$173.00	$190.00
ATM IV	20.2%	15.8%	27.5%	17.3%	15.8%
Expected Move	5.8%	4.5%	7.2%	5.0%	4.5%
HV 20d	18.2%	15.6%	20.4%	16.5%	19.0%
HV 60d	18.7%	17.6%	19.8%	18.3%	17.6%
IV Rank	18.5%	3.6%	42.9%	8.6%	3.6%
IV Percentile	21.4%	0.8%	69.8%	4.0%	0.8%
Term Structure	0.2%	-2.3%	2.8%	0.1%	1.5%
VWIV	21.0%	14.7%	33.5%	33.5%	14.7%
Skew 25d	4.9%	1.8%	11.9%	11.9%	2.6%
Skew 10d	6.3%	-0.7%	18.7%	14.5%	6.4%
Call IV 25d	19.2%	14.3%	24.7%	14.3%	15.0%
Put IV 25d	24.0%	17.7%	30.0%	26.2%	17.7%
Bid-Ask Spread %	65.55	38.92	111.28	111.28	70.85
Gamma HHI	0.11	0.07	0.16	0.13	0.10
Net GEX	65.1K	15.4K	91.4K	25.2K	88.0K
Net DEX	-2.5M	-3.1M	-1.9M	-2.3M	-2.1M
Net VEX	-5.6K	-6.9K	-3.3K	-4.5K	-6.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.00	4.00	0.00	1.43
Total Volume	13	1	40	1	17
Total OI	328.75	270	412	281	293

Daily Data (20 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
2021-05-03	$184.78	$173.00	17.3%	5.0%	16.5%	8.6%	33.5%	11.9%	0.1%	25.2K	-2.3M	-4.5K	0.00	111.28	N/A	N/A	1	0	166	115
2021-05-04	$186.55	$173.00	17.5%	5.0%	16.6%	9.2%	22.4%	4.2%	0.7%	15.4K	-2.4M	-4.3K	0.56	102.12	N/A	N/A	9	5	165	115
2021-05-05	$189.33	$173.00	17.9%	5.1%	15.7%	10.8%	14.9%	10.1%	-2.3%	39.6K	-2.7M	-3.3K	0.11	109.23	N/A	N/A	19	2	170	120
2021-05-06	$190.47	$187.00	20.2%	5.6%	15.6%	18.3%	0.0%	1.8%	0.4%	55.4K	-2.9M	-3.6K	0.00	96.03	N/A	N/A	10	0	185	122
2021-05-07	$192.90	$187.00	18.8%	5.5%	15.9%	13.7%	22.1%	2.9%	2.3%	76.7K	-3.1M	-3.6K	0.00	70.37	N/A	N/A	8	0	195	122
2021-05-10	$192.84	$187.00	20.1%	6.1%	16.0%	18.0%	21.4%	4.5%	-1.0%	65.4K	-3.1M	-4.2K	0.60	53.84	N/A	N/A	25	15	201	122
2021-05-11	$192.67	$190.00	27.5%	6.8%	15.9%	42.9%	22.8%	8.5%	-1.7%	46.7K	-2.9M	-5.7K	0.38	56.90	N/A	N/A	8	3	216	137
2021-05-12	$187.83	$190.00	25.0%	7.2%	19.1%	34.5%	23.3%	7.6%	-1.5%	49.8K	-2.3M	-6.4K	2.80	38.92	N/A	N/A	5	14	211	140
2021-05-13	$190.97	$190.00	22.0%	6.3%	19.5%	24.5%	0.0%	7.4%	0.4%	65.1K	-2.7M	-6.3K	0.00	40.85	N/A	N/A	2	0	214	144
2021-05-14	$192.50	$190.00	20.8%	6.0%	19.3%	20.4%	20.8%	5.1%	1.1%	74.2K	-2.9M	-5.7K	0.00	42.08	N/A	N/A	4	0	212	144
2021-05-17	$194.55	$190.00	22.0%	6.3%	19.1%	24.4%	22.6%	4.9%	1.9%	68.5K	-3.0M	-5.4K	0.25	50.60	N/A	N/A	12	3	210	144
2021-05-18	$192.84	$190.00	20.8%	6.0%	18.8%	20.5%	21.4%	5.3%	2.8%	87.2K	-3.0M	-5.8K	0.26	47.99	N/A	N/A	23	6	222	147
2021-05-19	$188.47	$190.00	23.4%	6.7%	20.4%	29.1%	23.4%	2.5%	-0.4%	91.4K	-2.5M	-6.4K	1.83	57.80	N/A	N/A	6	11	238	154
2021-05-20	$189.28	$190.00	22.3%	6.4%	19.5%	25.5%	22.3%	2.4%	-1.5%	81.7K	-2.5M	-6.9K	4.00	48.08	N/A	N/A	1	4	243	165
2021-05-21	$189.70	$190.00	21.2%	6.1%	18.9%	21.7%	20.1%	3.2%	-0.8%	87.7K	-2.6M	-6.4K	0.20	56.54	N/A	N/A	5	1	243	169
2021-05-24	$191.38	$190.00	19.2%	5.5%	19.0%	15.2%	18.6%	2.9%	1.0%	58.8K	-2.0M	-6.6K	0.07	55.08	N/A	N/A	14	1	181	89
2021-05-25	$189.51	$190.00	18.4%	5.3%	19.5%	12.2%	19.2%	2.6%	-0.2%	69.3K	-1.9M	-6.3K	0.40	61.39	N/A	N/A	5	2	192	90
2021-05-26	$189.78	$190.00	16.7%	4.8%	19.5%	6.8%	16.9%	2.4%	1.6%	78.1K	-2.0M	-6.5K	0.43	68.91	N/A	N/A	7	3	196	92
2021-05-27	$191.40	$190.00	17.7%	5.1%	19.6%	9.9%	16.8%	4.3%	0.0%	77.7K	-2.1M	-6.7K	0.29	72.10	N/A	N/A	7	2	196	95
2021-05-28	$191.43	$190.00	15.8%	4.5%	19.0%	3.6%	14.7%	2.6%	1.5%	88.0K	-2.1M	-6.4K	1.43	70.85	N/A	N/A	7	10	198	95