VAW Options History — October 2021

In October 2021, VAW traded between $175.62 and $188.18. ATM implied volatility averaged 19.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.8% (HV 20d: 16.2%). Max pain ranged from $179.00 to $184.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2021-10-22: Highest Volume — 205 contracts
  • 2021-10-13: Largest IV drop — 40.8% change
  • 2021-10-12: Highest IV Rank — 62.5%
  • 2021-10-04: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.93$175.62$188.18$176.14$185.94
Max Pain$181.81$179.00$184.00$180.00$180.00
ATM IV19.0%14.4%29.8%21.9%18.3%
Expected Move5.2%4.1%6.7%6.3%5.3%
HV 20d16.2%13.3%19.0%17.6%13.3%
HV 60d16.0%15.2%17.3%17.3%15.7%
IV Rank24.9%8.8%62.5%35.0%22.5%
IV Percentile33.4%0.8%91.3%56.7%37.7%
Term Structure1.2%-2.7%5.3%-0.7%-2.4%
VWIV19.2%16.8%27.0%27.0%18.5%
Skew 25d3.9%0.3%9.4%4.5%4.1%
Skew 10d6.2%-1.0%13.2%9.5%0.3%
Call IV 25d17.9%14.7%26.3%26.3%14.7%
Put IV 25d21.8%17.3%30.8%30.8%18.8%
Bid-Ask Spread %71.4350.86105.48105.4899.12
Gamma HHI0.070.060.090.060.07
Net GEX11.5K-43.6K65.2K-29.0K53.8K
Net DEX80.8K-475.0K820.3K691.8K-341.5K
Net VEX-5.8K-6.5K-4.7K-6.3K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.009.000.001.50
Total Volume83.47602050195
Total OI278.238225298293289

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$176.14$180.0021.9%6.3%17.6%35.0%0.0%4.5%-0.7%-29.0K691.8K-6.3K0.00105.48N/AN/A00154139
2021-10-04$175.71$184.0025.2%6.7%17.6%46.4%0.0%9.4%-2.7%-30.4K706.7K-6.1K0.0085.70N/AN/A30150139
2021-10-05$177.04$184.0021.9%6.2%17.9%35.0%0.0%8.3%-0.5%-34.9K680.0K-5.9K0.0086.76N/AN/A10150139
2021-10-06$175.62$184.0021.4%6.5%17.7%33.1%27.0%9.4%-1.6%-43.6K820.3K-5.8K0.6371.69N/AN/A85152139
2021-10-07$178.26$184.0025.0%6.0%18.7%45.9%19.3%0.3%0.3%-10.3K314.1K-6.5K5.0091.72N/AN/A15153139
2021-10-08$177.56$184.0020.3%5.2%18.7%29.4%0.0%3.0%2.9%-35.9K594.2K-5.7K0.0067.53N/AN/A20147138
2021-10-11$177.95$184.0021.8%5.7%18.7%34.7%18.2%5.9%0.1%-35.4K582.5K-5.7K0.0050.86N/AN/A30147141
2021-10-12$177.71$184.0029.8%5.5%18.3%62.5%19.8%1.4%1.5%-31.0K529.8K-5.8K1.0066.42N/AN/A44149141
2021-10-13$179.07$184.0017.6%5.0%17.8%20.0%0.0%5.0%2.9%-21.2K387.3K-5.8K0.0069.78N/AN/A00152141
2021-10-14$182.89$184.0017.1%4.9%19.0%18.0%17.1%2.3%1.5%27.1K-73.3K-6.1K9.0055.76N/AN/A436153145
2021-10-15$184.18$184.0017.1%4.9%17.3%18.2%20.5%0.9%1.4%45.4K-327.1K-6.0K0.0455.61N/AN/A271153145
2021-10-18$183.95$179.0018.0%5.2%14.4%21.4%19.0%2.9%0.9%44.8K-447.8K-4.9K1.1254.36N/AN/A171913194
2021-10-19$184.12$179.0016.2%4.6%14.4%15.0%17.2%3.0%-0.0%43.9K-442.7K-4.7K0.0059.58N/AN/A0413195
2021-10-20$186.06$180.0015.5%4.4%14.4%12.5%19.0%3.1%3.3%49.3K-383.5K-5.3K1.4063.00N/AN/A85119127118
2021-10-21$185.28$180.0015.9%4.6%14.1%14.0%17.8%2.2%1.4%26.1K-124.2K-6.2K1.4065.36N/AN/A85119127144
2021-10-22$185.75$180.0014.4%4.1%14.1%8.8%18.3%1.9%5.3%30.7K-155.8K-6.0K1.3869.91N/AN/A86119127144
2021-10-25$187.68$180.0015.1%4.3%14.3%11.2%18.6%3.9%2.5%50.4K-397.3K-6.0K1.3665.23N/AN/A86117128145
2021-10-26$188.18$180.0015.3%4.4%13.6%11.9%16.8%2.9%3.1%65.2K-475.0K-5.9K1.3665.91N/AN/A86117131145
2021-10-27$185.13$180.0016.9%4.8%14.5%17.4%19.2%4.9%1.7%24.9K-131.1K-5.9K1.4369.19N/AN/A82117131145
2021-10-28$186.28$180.0014.9%4.3%13.6%10.6%20.9%2.8%3.6%51.8K-310.7K-6.2K1.4881.11N/AN/A79117140145
2021-10-29$185.94$180.0018.3%5.3%13.3%22.5%18.5%4.1%-2.4%53.8K-341.5K-6.0K1.5099.12N/AN/A78117144145