VAW Options History — November 2021

In November 2021, VAW traded between $185.20 and $197.10. ATM implied volatility averaged 18.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.7% (HV 20d: 13.3%). Max pain ranged from $176.00 to $192.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2021-11-19: Highest Volume — 215 contracts
  • 2021-11-22: Largest IV spike — 37.3% change
  • 2021-11-30: Highest IV Rank — 38.5%
  • 2021-11-30: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$192.47$185.20$197.10$186.85$185.20
Max Pain$183.52$176.00$192.00$180.00$192.00
ATM IV18.0%12.6%22.9%18.2%22.9%
Expected Move5.0%3.6%6.6%5.2%6.6%
HV 20d13.3%12.1%16.1%13.2%16.1%
HV 60d15.4%14.8%16.0%15.5%16.0%
IV Rank21.4%2.4%38.5%22.1%38.5%
IV Percentile34.2%0.4%74.6%37.3%74.6%
Term Structure1.2%-0.7%4.0%-0.6%-0.1%
VWIV19.0%14.8%24.2%20.7%24.2%
Skew 25d3.1%-3.7%5.6%2.0%5.5%
Skew 10d8.4%1.2%16.5%5.1%5.9%
Call IV 25d17.9%14.9%25.7%19.7%22.8%
Put IV 25d21.0%16.3%28.3%21.7%28.3%
Bid-Ask Spread %72.8745.35109.34101.2163.15
Gamma HHI0.100.070.140.070.11
Net GEX117.1K10.3K230.4K59.8K10.3K
Net DEX-1.0M-2.0M112.8K-387.1K112.8K
Net VEX-5.0K-6.0K-4.2K-6.0K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.931.481.480.99
Total Volume182.476132215196145
Total OI267.81153325291186

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$186.85$180.0018.2%5.2%13.2%22.1%20.7%2.0%-0.6%59.8K-387.1K-6.0K1.48101.21N/AN/A79117146145
2021-11-02$188.77$180.0017.0%4.9%13.4%17.8%21.6%0.5%0.3%83.3K-611.4K-5.7K1.48106.66N/AN/A79117147145
2021-11-03$191.34$180.0018.3%5.2%13.1%22.2%19.4%-3.7%-0.7%120.1K-1.0M-5.4K1.43109.34N/AN/A82117147145
2021-11-04$190.12$176.0015.8%4.7%13.0%13.6%18.2%5.2%2.1%130.3K-1.0M-5.6K1.3488.33N/AN/A82110151145
2021-11-05$192.30$176.0019.7%4.6%13.0%27.3%18.7%5.6%1.9%138.4K-1.2M-5.4K1.2884.45N/AN/A83106151145
2021-11-08$194.29$176.0020.4%4.9%13.2%29.9%19.2%5.5%1.1%142.8K-1.5M-5.2K1.2388.78N/AN/A88108152147
2021-11-09$194.87$176.0021.4%4.9%13.1%33.2%18.7%3.2%1.3%153.9K-1.6M-5.1K1.2493.32N/AN/A88109155149
2021-11-10$193.24$176.0017.3%5.0%13.8%19.1%22.4%4.7%1.6%147.3K-1.3M-5.2K1.2051.66N/AN/A91109155150
2021-11-11$195.65$176.0016.6%4.8%12.6%16.4%18.6%4.0%1.6%191.7K-1.7M-4.9K1.1249.43N/AN/A94105160150
2021-11-12$197.10$176.0016.9%4.8%12.6%17.4%17.8%4.6%3.0%197.1K-2.0M-4.8K1.0752.13N/AN/A98105162150
2021-11-15$196.10$176.0016.7%4.8%12.9%16.7%17.2%4.0%2.2%230.4K-1.9M-4.6K1.2045.35N/AN/A92110167150
2021-11-16$196.03$185.0016.2%4.7%12.9%15.1%17.9%2.6%2.1%228.3K-1.8M-4.7K1.1955.61N/AN/A93111168155
2021-11-17$194.46$190.0016.9%4.8%13.2%17.3%17.6%3.6%1.9%213.6K-1.5M-4.8K1.2352.95N/AN/A91112168157
2021-11-18$193.11$190.0017.9%5.1%13.4%21.1%17.0%1.7%0.3%189.3K-1.2M-4.6K1.1757.87N/AN/A96112158157
2021-11-19$192.88$191.0012.6%3.6%13.5%2.4%14.8%0.2%4.0%67.2K-1.0M-4.5K1.1190.61N/AN/A102113151158
2021-11-22$194.44$190.0017.3%5.0%13.3%18.9%17.0%3.2%0.3%30.2K-449.7K-4.2K0.9363.60N/AN/A71667677
2021-11-23$193.72$192.0018.5%5.3%13.4%23.2%18.5%2.2%1.6%40.4K-454.0K-4.7K1.0560.28N/AN/A65688880
2021-11-24$192.37$192.0017.3%5.0%12.1%18.9%18.1%3.2%1.3%36.6K-328.1K-4.7K1.0668.64N/AN/A64688982
2021-11-26$189.25$192.0020.6%5.9%13.6%30.3%21.9%4.0%-0.1%17.9K-71.0K-4.5K0.9394.43N/AN/A74699282
2021-11-29$189.68$192.0019.8%5.7%13.6%27.7%19.9%3.9%-0.3%30.5K-191.6K-5.0K0.9352.47N/AN/A746910284
2021-11-30$185.20$192.0022.9%6.6%16.1%38.5%24.2%5.5%-0.1%10.3K112.8K-4.9K0.9963.15N/AN/A737210284