VAW Options History — January 2022

In January 2022, VAW traded between $178.59 and $197.45. ATM implied volatility averaged 21.3%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.8% (HV 20d: 18.5%). Max pain ranged from $182.00 to $191.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2022-01-20: Highest Volume — 216 contracts
  • 2022-01-24: Largest IV spike — 30.5% change
  • 2022-01-27: Highest IV Rank — 59.5%
  • 2022-01-27: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$189.30$178.59$197.45$194.59$182.47
Max Pain$189.60$182.00$191.00$190.00$191.00
ATM IV21.3%14.8%28.9%14.8%23.8%
Expected Move6.1%4.2%8.3%4.2%6.8%
HV 20d18.5%16.8%20.2%18.2%20.2%
HV 60d17.0%15.9%18.2%15.9%18.2%
IV Rank33.0%10.0%59.5%10.0%41.5%
IV Percentile63.5%3.6%96.4%3.6%84.9%
Term Structure0.1%-4.1%3.3%3.3%-0.1%
VWIV23.1%15.8%28.7%15.8%25.3%
Skew 25d5.3%-0.8%10.7%1.1%7.5%
Skew 10d8.7%0.1%19.8%1.8%4.3%
Call IV 25d19.9%13.9%30.9%16.3%21.9%
Put IV 25d25.2%17.4%35.3%17.4%29.4%
Bid-Ask Spread %63.8642.2285.3471.3773.25
Gamma HHI0.100.070.140.130.08
Net GEX34.2K-93.7K134.7K120.6K-92.6K
Net DEX24.7K-1.1M1.5M-906.0K1.2M
Net VEX-4.5K-6.3K-2.9K-3.0K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.641.790.641.49
Total Volume173.2118216118209
Total OI224.3137321137309

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$194.59$190.0014.8%4.2%18.2%10.0%15.8%1.1%3.3%120.6K-906.0K-3.0K0.6471.37N/AN/A72469938
2022-01-04$197.45$190.0015.5%4.5%17.3%12.7%15.8%5.7%0.9%121.8K-1.1M-2.9K0.7072.53N/AN/A71509742
2022-01-05$197.40$190.0017.9%5.1%16.8%20.9%18.8%3.1%3.1%109.8K-1.1M-3.2K0.7185.34N/AN/A725110143
2022-01-06$194.87$182.0018.0%5.9%17.4%21.5%23.2%4.6%0.2%104.0K-875.2K-3.5K0.7854.57N/AN/A735710448
2022-01-07$194.85$187.0020.8%5.1%17.2%31.2%22.7%5.0%2.1%109.6K-829.3K-3.6K0.8557.21N/AN/A736210661
2022-01-10$191.54$187.0019.9%5.7%18.3%28.0%21.7%4.5%0.1%89.0K-570.7K-3.6K0.8652.19N/AN/A736310761
2022-01-11$194.13$187.0019.4%5.2%18.9%26.1%21.6%2.7%1.4%116.1K-755.0K-3.4K0.8642.22N/AN/A736310663
2022-01-12$196.21$187.0016.3%4.7%19.0%15.3%21.1%4.8%1.4%134.7K-973.3K-3.4K1.2158.16N/AN/A738810763
2022-01-13$195.45$191.0018.6%5.3%19.1%23.3%21.5%3.0%2.8%101.7K-745.2K-3.9K1.1946.90N/AN/A748810790
2022-01-14$193.99$191.0018.4%5.3%19.1%22.9%19.7%6.6%0.9%95.8K-527.3K-3.9K0.9353.11N/AN/A958811191
2022-01-18$190.59$191.0020.4%5.8%19.9%29.6%23.4%4.6%0.2%69.1K-228.3K-4.1K0.9060.39N/AN/A988813491
2022-01-19$191.05$191.0022.5%6.5%17.1%37.2%23.4%5.3%0.6%70.0K-242.5K-4.0K1.4749.37N/AN/A8512513291
2022-01-20$188.07$191.0022.2%6.4%17.2%35.9%22.9%8.0%-2.2%22.2K152.7K-4.9K1.7057.10N/AN/A80136145132
2022-01-21$182.42$191.0021.4%6.1%20.0%33.1%25.1%5.1%-1.6%-71.1K1.1M-6.1K1.6360.80N/AN/A82134141180
2022-01-24$181.54$191.0027.9%8.0%19.3%55.9%28.1%10.2%-2.8%-93.2K1.4M-6.2K1.7975.71N/AN/A7012594204
2022-01-25$181.62$191.0027.5%7.9%18.5%54.6%28.7%-0.8%-2.7%-72.6K1.2M-6.2K1.5873.27N/AN/A7912599189
2022-01-26$178.59$191.0027.4%7.8%18.7%54.1%28.2%4.4%-4.1%-73.0K1.3M-6.1K1.5683.44N/AN/A81126101189
2022-01-27$179.81$191.0028.9%8.3%18.9%59.5%28.1%9.4%-2.3%-83.2K1.4M-6.3K1.5473.90N/AN/A82126104199
2022-01-28$179.28$191.0025.4%7.3%18.9%47.1%26.7%10.7%0.9%-93.7K1.5M-6.1K1.5176.39N/AN/A83125104203
2022-01-31$182.47$191.0023.8%6.8%20.2%41.5%25.3%7.5%-0.1%-92.6K1.2M-6.0K1.4973.25N/AN/A84125105204