VAW Options History — September 2021

In September 2021, VAW traded between $173.31 and $187.56. ATM implied volatility averaged 19.3%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.9% (HV 20d: 15.5%). Max pain ranged from $178.00 to $185.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2021-09-10: Highest Volume — 45 contracts
  • 2021-09-20: Largest IV spike — 33.1% change
  • 2021-09-20: Highest IV Rank — 48.0%
  • 2021-09-20: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$180.50$173.31$187.56$186.72$174.02
Max Pain$181.62$178.00$185.00$182.00$180.00
ATM IV19.3%15.2%25.6%15.2%23.9%
Expected Move5.6%4.4%7.3%4.4%6.9%
HV 20d15.5%13.5%17.6%15.1%16.9%
HV 60d16.9%15.8%17.7%16.9%17.5%
IV Rank25.9%11.4%48.0%11.4%42.0%
IV Percentile37.2%2.4%74.6%2.4%70.6%
Term Structure0.9%-1.2%3.3%-0.6%1.2%
VWIV18.8%11.7%27.3%11.7%22.2%
Skew 25d4.3%-1.5%13.4%9.5%5.2%
Skew 10d3.8%-3.3%11.5%9.9%-1.5%
Call IV 25d18.9%14.6%26.3%15.4%26.3%
Put IV 25d23.2%18.2%31.5%24.9%31.5%
Bid-Ask Spread %75.1655.05112.85104.03112.85
Gamma HHI0.080.060.090.080.07
Net GEX23.5K-27.9K87.1K85.4K-20.7K
Net DEX17.4K-938.4K805.6K-852.4K619.7K
Net VEX-6.8K-8.1K-4.3K-7.9K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.007.000.000.00
Total Volume11.52404521
Total OI267.143215289266289

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$186.72$182.0015.2%4.4%15.1%11.4%11.7%9.5%-0.6%85.4K-852.4K-7.9K0.00104.03N/AN/A2016997
2021-09-02$187.56$178.0015.5%4.8%15.1%12.5%0.0%2.8%3.3%85.3K-937.4K-8.1K0.0083.95N/AN/A1016999
2021-09-03$187.09$178.0017.2%5.0%14.6%18.5%0.0%0.8%2.3%87.1K-938.4K-8.1K0.0086.45N/AN/A0017099
2021-09-07$185.47$178.0016.0%4.7%15.0%14.4%15.4%-0.6%2.7%80.4K-722.3K-7.8K0.0082.96N/AN/A0117199
2021-09-08$183.56$178.0019.3%5.5%14.3%25.9%0.0%-1.5%1.4%65.1K-521.4K-7.7K0.0081.67N/AN/A3017199
2021-09-09$184.12$185.0018.1%5.2%13.5%21.6%0.0%1.7%0.9%68.4K-494.6K-7.5K0.0055.05N/AN/A50171100
2021-09-10$183.49$185.0018.1%5.2%13.5%21.5%0.0%4.6%0.9%64.7K-481.9K-7.5K0.0260.70N/AN/A441168100
2021-09-13$183.06$185.0017.1%4.9%13.5%18.1%0.0%4.6%2.1%55.8K-404.3K-7.3K0.0063.43N/AN/A210171100
2021-09-14$180.95$185.0021.3%6.1%13.8%32.9%20.6%6.0%-1.2%11.1K104.4K-6.3K2.4071.22N/AN/A512151101
2021-09-15$183.50$185.0017.4%5.0%14.0%19.2%18.9%1.4%3.1%37.6K-173.1K-7.0K0.0062.51N/AN/A04170101
2021-09-16$181.34$182.0018.3%5.2%14.5%22.4%0.0%4.1%1.0%26.3K-67.5K-7.0K0.0061.10N/AN/A100173102
2021-09-17$177.57$184.0019.3%5.5%15.4%25.7%17.5%0.8%0.9%2.3K365.6K-6.5K0.8362.65N/AN/A2420173104
2021-09-20$173.31$184.0025.6%7.3%17.2%48.0%27.3%13.4%-0.4%-21.5K805.6K-4.3K3.6393.79N/AN/A82911798
2021-09-21$173.80$182.0023.9%6.9%16.6%42.0%21.0%5.2%-0.6%-24.9K764.6K-5.4K0.0062.60N/AN/A70123117
2021-09-22$175.68$181.0020.2%5.8%16.9%29.1%16.0%8.7%0.4%-27.9K737.8K-6.0K2.0089.77N/AN/A36131128
2021-09-23$177.93$181.0018.6%5.3%17.6%23.6%17.6%3.5%0.4%-17.3K535.1K-6.3K0.5068.21N/AN/A63138128
2021-09-24$178.12$181.0018.0%5.2%17.5%21.5%0.0%3.4%1.8%-21.3K588.6K-6.5K7.0062.18N/AN/A17140134
2021-09-27$179.50$180.0019.4%5.6%16.3%26.2%18.9%4.4%0.7%-5.0K292.9K-6.6K0.0063.84N/AN/A90145128
2021-09-28$177.76$180.0022.3%6.4%16.5%36.3%0.0%7.2%-0.9%-16.8K497.2K-6.7K0.0070.40N/AN/A40146135
2021-09-29$175.97$180.0021.1%6.0%16.7%32.0%22.2%5.8%-1.2%-20.6K647.0K-6.3K0.0079.08N/AN/A05150135
2021-09-30$174.02$180.0023.9%6.9%16.9%42.0%0.0%5.2%1.2%-20.7K619.7K-6.3K0.00112.85N/AN/A10154135