VAW Options History — June 2021

In June 2021, VAW traded between $177.56 and $194.22. ATM implied volatility averaged 16.9%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.7% (HV 20d: 16.2%). Max pain ranged from $183.00 to $192.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.88.

Notable Days

  • 2021-06-29: Highest Volume — 346 contracts
  • 2021-06-25: Largest IV spike — 34.9% change
  • 2021-06-28: Highest IV Rank — 18.5%
  • 2021-06-18: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.48$177.56$194.22$194.22$180.85
Max Pain$186.36$183.00$192.00$190.00$183.00
ATM IV16.9%11.9%19.6%16.1%16.2%
Expected Move4.8%3.4%5.6%4.6%4.6%
HV 20d16.2%14.1%18.9%18.4%14.2%
HV 60d17.1%16.8%17.4%17.1%16.8%
IV Rank9.8%0.0%18.5%4.7%15.0%
IV Percentile6.6%0.0%21.8%2.4%4.4%
Term Structure2.0%-1.1%9.9%1.4%1.9%
VWIV16.6%12.4%18.3%17.8%16.0%
Skew 25d2.3%-0.1%5.0%3.6%3.6%
Skew 10d1.6%-2.7%16.4%-1.0%-0.3%
Call IV 25d16.5%12.0%18.2%14.9%15.0%
Put IV 25d18.7%13.9%22.8%18.5%18.6%
Bid-Ask Spread %57.3023.77109.0178.8673.52
Gamma HHI0.120.070.200.120.07
Net GEX148.0K28.5K374.3K129.5K91.5K
Net DEX-1.8M-3.4M-88.8K-2.8M-1.6M
Net VEX-8.7K-11.8K-6.8K-7.1K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.0012.001.006.30
Total Volume5513461073
Total OI477.5338605338605

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$194.22$190.0016.1%4.6%18.4%4.7%17.8%3.6%1.4%129.5K-2.8M-7.1K1.0078.86N/AN/A55234104
2021-06-02$192.08$192.0017.3%5.0%18.9%8.8%16.5%1.6%1.3%118.0K-2.5M-7.1K0.3174.49N/AN/A134236109
2021-06-03$191.84$190.0018.4%5.0%18.2%12.4%0.0%4.4%1.5%119.7K-2.4M-7.1K2.0029.53N/AN/A12239110
2021-06-04$192.62$190.0017.6%5.0%18.1%9.7%17.4%2.8%1.6%132.3K-2.5M-7.2K0.0023.77N/AN/A10238110
2021-06-07$190.34$190.0018.4%5.3%18.1%12.5%17.1%1.6%1.5%125.7K-2.1M-6.8K0.0130.75N/AN/A1431238108
2021-06-08$191.27$186.0017.7%5.0%18.2%10.0%0.0%2.8%1.1%374.3K-3.4M-8.9K1.0026.84N/AN/A22365109
2021-06-09$190.16$186.0017.4%5.0%18.3%9.0%17.5%1.1%2.9%354.8K-3.0M-8.8K1.0032.85N/AN/A11364111
2021-06-10$188.81$186.0016.8%4.8%16.0%7.0%17.7%0.3%1.4%322.7K-2.6M-8.5K12.0036.55N/AN/A224362112
2021-06-11$189.44$186.0015.6%4.5%14.8%3.1%0.0%1.5%1.7%364.1K-2.4M-8.0K3.0029.62N/AN/A13363125
2021-06-14$186.93$186.0017.1%4.9%15.2%7.9%14.8%0.7%1.4%219.4K-1.7M-7.5K0.2341.02N/AN/A225364117
2021-06-15$186.98$186.0016.8%4.8%14.5%7.0%17.7%0.8%1.3%218.6K-1.8M-7.9K5.0044.55N/AN/A525374121
2021-06-16$184.78$188.0018.9%5.4%14.7%14.6%0.0%1.2%1.3%137.9K-1.3M-8.0K0.0072.83N/AN/A40375143
2021-06-17$180.37$188.0015.7%4.5%15.0%3.3%17.2%-0.1%5.3%49.3K-523.3K-7.3K0.8274.18N/AN/A119374143
2021-06-18$177.56$185.0019.6%5.6%15.5%16.9%18.3%1.4%-1.1%38.3K-88.8K-7.1K6.4073.43N/AN/A1064384148
2021-06-21$179.59$185.0017.4%5.0%16.2%9.3%16.9%3.1%1.8%28.5K-741.1K-8.6K0.3164.77N/AN/A268272176
2021-06-22$180.99$185.0016.7%4.8%16.1%7.1%16.3%2.4%3.3%45.8K-1.1M-9.0K0.7368.41N/AN/A118292184
2021-06-23$180.21$185.0017.0%4.9%15.9%8.0%16.3%3.7%1.6%44.8K-1.0M-9.3K0.5757.38N/AN/A201115302192
2021-06-24$180.85$184.0011.9%3.4%16.0%0.0%12.4%1.9%9.9%72.4K-1.3M-11.8K0.08109.01N/AN/A262360199
2021-06-25$180.85$183.0016.1%4.6%15.5%14.6%14.6%3.0%2.0%91.8K-1.6M-11.7K0.0068.58N/AN/A90371201
2021-06-28$180.01$183.0017.2%4.9%15.5%18.5%17.2%5.0%0.3%80.2K-1.3M-11.3K0.1977.84N/AN/A163375201
2021-06-29$179.84$183.0016.7%4.8%14.1%16.7%16.0%3.2%1.7%95.6K-1.5M-11.6K0.5371.94N/AN/A226120391204
2021-06-30$180.85$183.0016.2%4.6%14.2%15.0%0.0%3.6%1.9%91.5K-1.6M-11.8K6.3073.52N/AN/A1063398207