VAW Options History — December 2021

In December 2021, VAW traded between $184.04 and $197.23. ATM implied volatility averaged 20.1%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.1% (HV 20d: 18.0%). Max pain ranged from $190.00 to $193.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2021-12-02: Highest Volume — 163 contracts
  • 2021-12-15: Largest IV drop — 44.4% change
  • 2021-12-14: Highest IV Rank — 63.3%
  • 2021-12-03: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$190.82$184.04$197.23$184.04$197.23
Max Pain$191.23$190.00$193.00$192.00$190.00
ATM IV20.1%14.1%30.0%25.0%14.1%
Expected Move5.4%4.0%8.4%7.2%4.0%
HV 20d18.0%15.5%21.1%15.7%17.8%
HV 60d16.0%14.9%16.9%16.0%15.8%
IV Rank28.6%7.6%63.3%45.7%7.6%
IV Percentile48.6%0.8%96.0%84.1%0.8%
Term Structure1.1%-4.8%4.1%-3.0%2.5%
VWIV18.8%15.5%28.3%26.4%16.2%
Skew 25d5.2%0.1%15.2%6.8%4.7%
Skew 10d7.6%-3.0%18.9%2.8%12.0%
Call IV 25d18.1%12.6%26.3%23.4%12.6%
Put IV 25d23.3%16.6%41.5%30.1%17.3%
Bid-Ask Spread %49.8229.1576.9275.2863.68
Gamma HHI0.120.090.200.120.13
Net GEX62.9K1.2K121.3K1.2K117.1K
Net DEX-398.3K-1.1M246.7K246.7K-1.1M
Net VEX-3.6K-4.5K-3.1K-4.3K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.550.850.820.64
Total Volume138.318113163160118
Total OI159.682118195173137

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$184.04$192.0025.0%7.2%15.7%45.7%26.4%6.8%-3.0%1.2K246.7K-4.3K0.8275.28N/AN/A88728984
2021-12-02$186.15$192.0025.7%7.4%15.5%48.3%27.1%10.5%-4.8%8.5K121.3K-4.5K0.7971.41N/AN/A91729184
2021-12-03$184.34$192.0029.4%8.4%15.7%61.1%28.3%15.2%-4.1%6.8K198.4K-4.4K0.7966.98N/AN/A91729484
2021-12-06$188.41$193.0024.8%6.2%17.2%45.2%21.4%9.3%-0.3%18.9K-28.0K-4.4K0.8538.75N/AN/A85729584
2021-12-07$191.16$193.0020.8%6.1%17.6%31.2%18.7%5.4%1.6%50.1K-297.0K-4.5K0.6430.11N/AN/A835310384
2021-12-08$192.31$193.0019.2%5.2%17.7%25.7%17.3%5.6%1.7%76.8K-503.8K-4.1K0.5531.53N/AN/A834610572
2021-12-09$190.97$193.0020.4%5.4%17.7%29.6%17.5%3.9%0.8%68.5K-364.1K-3.8K0.6130.33N/AN/A925610568
2021-12-10$191.69$193.0018.7%5.1%17.1%23.7%16.9%6.9%3.5%92.8K-408.4K-4.1K0.6629.15N/AN/A926111578
2021-12-13$191.00$193.0023.9%5.1%16.8%41.9%16.8%4.4%2.8%78.1K-283.1K-3.8K0.6634.30N/AN/A926111580
2021-12-14$189.97$193.0030.0%5.4%16.8%63.3%19.0%0.9%1.9%45.0K-160.2K-3.8K0.6762.09N/AN/A936210580
2021-12-15$190.15$190.0016.7%4.8%16.8%16.6%16.7%5.4%1.6%30.9K-129.4K-3.5K0.7776.92N/AN/A846510681
2021-12-16$192.03$190.0018.1%5.2%17.1%21.5%18.9%2.8%3.9%69.9K-338.1K-3.5K0.7547.60N/AN/A896710475
2021-12-17$190.17$190.0019.1%5.5%17.3%25.3%18.4%3.4%0.7%53.6K-272.0K-3.3K0.7857.26N/AN/A907011164
2021-12-20$185.13$190.0020.8%6.0%19.6%31.0%20.0%4.9%1.1%25.2K-124.5K-3.1K0.5642.05N/AN/A80457246
2021-12-21$188.15$190.0018.0%5.2%20.3%21.5%17.3%5.0%2.5%47.6K-332.1K-3.2K0.5841.22N/AN/A78458242
2021-12-22$189.86$190.0020.4%5.8%20.7%29.6%17.3%6.5%0.6%67.7K-502.2K-3.2K0.6958.58N/AN/A67468835
2021-12-23$192.19$190.0015.1%4.3%21.1%11.1%16.2%2.6%2.4%86.8K-672.3K-3.3K0.6638.26N/AN/A70469236
2021-12-27$194.48$190.0015.3%4.4%20.5%12.0%16.3%2.3%4.1%94.9K-831.2K-3.1K0.6647.78N/AN/A70469136
2021-12-28$195.84$190.0017.3%5.0%20.6%18.9%16.6%3.4%-0.0%103.2K-960.4K-3.1K0.6546.77N/AN/A71469536
2021-12-29$196.55$190.0014.5%4.2%18.3%9.1%15.9%4.2%2.8%118.7K-1.0M-3.1K0.6351.28N/AN/A71459836
2021-12-30$196.30$190.0014.5%4.1%18.0%9.0%15.5%0.1%2.4%121.3K-1.0M-3.1K0.6554.64N/AN/A71469837
2021-12-31$197.23$190.0014.1%4.0%17.8%7.6%16.2%4.7%2.5%117.1K-1.1M-3.2K0.6463.68N/AN/A72469938