VAW Options History — August 2021

In August 2021, VAW traded between $180.94 and $188.73. ATM implied volatility averaged 16.9%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.5% (HV 20d: 16.3%). Max pain ranged from $164.00 to $180.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2021-08-10: Highest Volume — 33 contracts
  • 2021-08-16: Largest IV spike — 32.5% change
  • 2021-08-19: Highest IV Rank — 27.0%
  • 2021-08-19: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$185.03$180.94$188.73$181.78$186.90
Max Pain$177.82$164.00$180.00$164.00$180.00
ATM IV16.9%14.4%19.6%18.1%15.1%
Expected Move5.0%4.2%5.6%5.2%4.3%
HV 20d16.3%13.0%20.7%20.7%15.7%
HV 60d17.0%16.4%17.8%17.8%16.9%
IV Rank17.4%8.6%27.0%21.7%11.2%
IV Percentile14.3%0.4%36.1%21.8%2.0%
Term Structure1.5%-2.5%4.3%2.4%2.8%
VWIV17.4%14.5%22.9%14.5%15.3%
Skew 25d5.0%-1.6%10.9%3.0%3.7%
Skew 10d9.5%2.5%16.6%6.8%7.8%
Call IV 25d17.0%10.4%23.7%18.2%17.3%
Put IV 25d22.0%16.2%28.4%21.2%21.0%
Bid-Ask Spread %78.9353.99108.5893.7282.27
Gamma HHI0.120.080.170.120.08
Net GEX129.2K41.8K227.9K135.9K82.7K
Net DEX-2.2M-4.0M-548.7K-2.2M-868.2K
Net VEX-7.7K-8.4K-7.0K-8.3K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.003.330.000.33
Total Volume9.86403362
Total OI397.409204504461262

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$181.78$164.0018.1%5.2%20.7%21.7%14.5%3.0%2.4%135.9K-2.2M-8.3K0.0093.72N/AN/A60307154
2021-08-03$182.98$164.0017.7%5.1%19.9%20.4%16.4%5.9%0.6%124.2K-2.4M-8.2K0.33103.45N/AN/A62306154
2021-08-04$181.12$164.0018.0%5.1%19.9%21.2%0.0%4.7%0.7%125.3K-2.2M-8.4K0.00108.58N/AN/A00308154
2021-08-05$180.94$180.0015.4%5.4%18.8%12.1%0.0%10.9%0.6%114.0K-2.1M-7.9K0.0053.99N/AN/A20311154
2021-08-06$183.24$180.0014.4%5.0%17.5%8.6%0.0%10.4%1.9%163.4K-2.6M-7.8K0.0060.30N/AN/A01311154
2021-08-09$183.29$180.0017.8%5.3%17.4%20.8%0.0%6.6%1.3%166.6K-2.6M-7.4K3.3372.39N/AN/A310310152
2021-08-10$186.32$180.0015.5%5.0%17.7%12.5%18.3%7.0%1.3%190.6K-3.3M-7.8K0.3262.17N/AN/A258323152
2021-08-11$188.69$180.0017.8%5.1%18.0%20.5%19.0%7.0%2.6%169.6K-3.9M-7.5K1.1470.71N/AN/A1416324152
2021-08-12$188.67$180.0017.3%5.0%18.0%18.8%20.8%4.9%3.5%178.1K-4.0M-7.3K0.1475.29N/AN/A71323157
2021-08-13$188.73$180.0014.8%4.2%16.4%10.1%0.0%4.5%3.7%167.5K-4.0M-8.0K0.0081.01N/AN/A40333171
2021-08-16$187.50$180.0019.6%5.6%13.0%27.0%15.8%5.6%-2.5%138.1K-3.3M-7.6K0.0097.66N/AN/A30313161
2021-08-17$184.68$180.0018.6%5.3%13.5%23.3%17.0%3.8%0.5%184.9K-2.9M-7.6K1.8085.91N/AN/A1018313161
2021-08-18$183.90$180.0017.8%5.1%13.3%20.6%0.0%5.9%1.3%209.5K-2.8M-7.3K0.0087.84N/AN/A30311161
2021-08-19$181.19$180.0019.6%5.6%14.6%27.0%22.9%3.7%1.3%147.5K-2.2M-7.4K0.0082.60N/AN/A20316166
2021-08-20$182.44$180.0017.2%4.9%14.6%18.5%18.1%-1.6%4.3%227.9K-2.2M-7.1K0.0061.41N/AN/A140318166
2021-08-23$184.33$180.0016.5%4.7%14.7%16.0%17.6%5.1%2.7%41.8K-548.7K-7.0K1.8871.39N/AN/A81513272
2021-08-24$185.77$180.0016.3%4.7%14.9%15.5%0.0%2.8%1.4%52.4K-738.2K-7.3K0.0074.17N/AN/A0413972
2021-08-25$186.75$180.0015.4%4.4%14.8%12.4%15.7%9.7%0.1%50.7K-752.5K-7.8K0.6088.35N/AN/A5314787
2021-08-26$185.14$180.0017.3%5.0%14.7%18.8%0.0%0.6%2.3%47.1K-585.6K-8.0K0.0067.59N/AN/A0014991
2021-08-27$188.44$180.0015.2%4.4%15.9%11.6%14.5%2.6%3.2%63.1K-952.8K-8.0K0.6272.18N/AN/A13815494
2021-08-30$187.94$180.0015.8%4.5%15.6%13.6%15.3%3.6%-2.5%61.9K-897.2K-7.9K0.3383.50N/AN/A3115494
2021-08-31$186.90$180.0015.1%4.3%15.7%11.2%0.0%3.7%2.8%82.7K-868.2K-8.0K0.0082.27N/AN/A0216696