VAW Options History — July 2021

In July 2021, VAW traded between $172.33 and $183.38. ATM implied volatility averaged 17.7%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.6% (HV 20d: 18.3%). Max pain ranged from $164.00 to $183.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.44.

Notable Days

  • 2021-07-01: Highest Volume — 67 contracts
  • 2021-07-19: Largest IV spike — 40.4% change
  • 2021-07-19: Highest IV Rank — 42.5%
  • 2021-07-19: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$179.63$172.33$183.38$181.88$183.38
Max Pain$165.81$164.00$183.00$183.00$164.00
ATM IV17.7%14.6%24.1%15.3%15.9%
Expected Move5.0%4.2%6.9%4.4%4.6%
HV 20d18.3%14.4%20.5%14.5%20.4%
HV 60d17.8%16.6%18.5%16.6%17.7%
IV Rank20.3%9.6%42.5%11.8%14.0%
IV Percentile15.9%0.4%63.5%0.8%3.6%
Term Structure1.7%-0.7%6.4%1.1%3.7%
VWIV16.8%13.4%22.9%13.5%16.5%
Skew 25d3.5%-0.1%8.8%2.7%4.6%
Skew 10d7.0%-1.2%14.1%2.0%2.5%
Call IV 25d17.5%13.9%21.4%14.6%16.5%
Put IV 25d21.1%15.4%27.3%17.3%21.2%
Bid-Ask Spread %81.4264.6693.6779.1088.70
Gamma HHI0.100.070.140.070.11
Net GEX99.0K65.3K130.1K93.1K124.9K
Net DEX-1.7M-2.6M-917.9K-1.8M-2.6M
Net VEX-9.1K-11.6K-7.1K-11.6K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.0032.5032.500.14
Total Volume14.286267678
Total OI492.333401612612436

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$181.88$183.0015.3%4.4%14.5%11.8%0.0%2.7%1.1%93.1K-1.8M-11.6K32.5079.10N/AN/A265389223
2021-07-02$182.01$183.0014.6%4.2%14.4%9.6%13.5%1.5%1.5%98.1K-2.0M-10.3K0.0088.87N/AN/A60390158
2021-07-06$179.01$164.0016.5%5.1%14.9%16.0%16.1%3.4%0.2%80.5K-1.3M-9.9K0.0764.66N/AN/A141390158
2021-07-07$180.89$164.0018.8%4.7%15.4%24.1%0.0%1.6%5.2%105.0K-1.7M-10.5K0.0081.03N/AN/A40400159
2021-07-08$177.79$164.0019.6%5.4%16.2%27.0%17.3%0.5%0.4%82.4K-1.2M-9.7K0.0082.80N/AN/A80400159
2021-07-09$181.96$164.0016.5%5.0%18.6%16.1%17.5%4.1%1.0%97.2K-1.9M-10.4K5.0076.82N/AN/A15397159
2021-07-12$182.83$164.0020.1%5.0%18.7%28.8%0.0%4.2%2.1%112.4K-2.2M-9.6K1.0072.88N/AN/A11400158
2021-07-13$180.58$164.0018.5%4.6%18.6%23.1%15.9%3.6%3.7%79.8K-1.7M-9.5K0.3379.50N/AN/A31401158
2021-07-14$180.18$164.0016.4%4.7%18.6%15.6%0.0%2.5%1.6%91.2K-1.7M-9.6K0.0087.75N/AN/A20404159
2021-07-15$180.02$164.0017.5%5.0%18.2%19.6%13.4%2.7%0.6%65.3K-1.5M-9.0K0.0089.81N/AN/A180405159
2021-07-16$176.80$164.0017.1%4.9%17.3%18.3%16.9%3.4%1.6%72.2K-921.3K-8.8K0.0982.42N/AN/A323404159
2021-07-19$172.33$164.0024.1%6.9%18.7%42.5%22.9%6.5%-0.7%91.0K-917.9K-8.5K0.3578.69N/AN/A238282119
2021-07-20$175.58$164.0020.2%5.8%19.6%29.2%20.2%8.8%-0.3%101.6K-1.3M-8.5K0.2069.83N/AN/A51283121
2021-07-21$177.51$164.0016.7%4.8%19.8%16.9%0.0%4.1%2.5%109.2K-1.7M-8.8K1.0078.64N/AN/A11286121
2021-07-22$177.29$164.0019.5%5.6%19.8%26.7%17.2%-0.1%0.0%111.6K-1.6M-8.5K0.5474.38N/AN/A137287122
2021-07-23$178.29$164.0016.8%4.8%19.8%17.1%15.0%1.9%1.5%117.9K-1.6M-8.7K6.0080.97N/AN/A212293129
2021-07-26$179.87$164.0016.3%4.7%20.1%15.5%17.6%6.8%1.0%116.8K-1.9M-7.9K0.0083.17N/AN/A20282128
2021-07-27$179.75$164.0017.6%5.1%20.0%20.0%16.1%7.4%1.5%105.7K-1.9M-7.9K0.0083.49N/AN/A30286132
2021-07-28$181.08$164.0015.9%4.6%20.2%14.1%17.1%3.7%6.4%93.5K-2.2M-7.1K3.3393.67N/AN/A310288132
2021-07-29$183.16$164.0017.5%5.0%20.5%19.5%16.0%0.5%1.8%130.1K-2.5M-7.7K0.6292.67N/AN/A2113291132
2021-07-30$183.38$164.0015.9%4.6%20.4%14.0%16.5%4.6%3.7%124.9K-2.6M-8.0K0.1488.70N/AN/A71294142