VAW Options History — February 2022

In February 2022, VAW traded between $178.46 and $187.69. ATM implied volatility averaged 24.6%, placing in the 67.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.3% (HV 20d: 22.2%). Max pain ranged from $175.00 to $191.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.32.

Notable Days

2022-02-18: Highest Volume — 235 contracts
2022-02-11: Largest IV spike — 19.2% change
2022-02-22: Highest IV Rank — 88.3%
2022-02-22: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$183.77	$178.46	$187.69	$186.31	$183.14
Max Pain	$181.42	$175.00	$191.00	$191.00	$185.00
ATM IV	24.6%	21.4%	28.4%	23.6%	25.6%
Expected Move	6.9%	5.8%	8.2%	6.8%	7.3%
HV 20d	22.2%	20.4%	25.4%	21.7%	25.4%
HV 60d	19.7%	18.5%	21.3%	18.7%	21.3%
IV Rank	67.1%	43.5%	88.3%	49.6%	75.7%
IV Percentile	87.9%	75.4%	98.0%	84.5%	92.9%
Term Structure	-1.3%	-4.1%	4.5%	-4.1%	-0.6%
VWIV	25.6%	21.1%	28.7%	23.4%	28.2%
Skew 25d	5.3%	1.5%	10.8%	5.8%	10.8%
Skew 10d	5.1%	-5.4%	10.3%	7.7%	9.7%
Call IV 25d	22.7%	18.4%	28.4%	18.5%	25.9%
Put IV 25d	28.1%	20.8%	36.7%	24.3%	36.7%
Bid-Ask Spread %	59.85	37.78	82.77	74.89	61.83
Gamma HHI	0.09	0.08	0.15	0.08	0.12
Net GEX	-65.8K	-118.8K	-5.2K	-68.7K	-11.1K
Net DEX	739.2K	48.6K	1.5M	681.7K	172.9K
Net VEX	-5.4K	-6.1K	-4.9K	-6.1K	-5.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.83	1.56	1.51	0.83
Total Volume	192.947	106	235	211	128
Total OI	293.526	178	348	311	222

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-02-01	$186.31	$191.00	23.6%	6.8%	21.7%	49.6%	23.4%	5.8%	-4.1%	-68.7K	681.7K	-6.1K	1.51	74.89	N/A	N/A	84	127	107	204
2022-02-02	$186.82	$191.00	21.4%	6.1%	20.9%	43.5%	21.1%	2.4%	-0.6%	-62.0K	624.2K	-5.8K	1.55	77.81	N/A	N/A	82	127	107	206
2022-02-03	$183.45	$175.00	24.1%	6.6%	21.5%	64.9%	23.4%	6.7%	-0.7%	-90.9K	1.1M	-5.7K	1.53	37.78	N/A	N/A	83	127	108	206
2022-02-04	$181.80	$175.00	24.4%	6.5%	21.4%	66.5%	24.3%	5.9%	-1.9%	-100.0K	1.3M	-5.5K	1.53	45.93	N/A	N/A	83	127	108	206
2022-02-07	$180.39	$175.00	24.4%	6.1%	21.4%	66.7%	24.6%	5.9%	-0.8%	-118.8K	1.5M	-5.0K	1.47	47.00	N/A	N/A	88	129	110	204
2022-02-08	$183.14	$175.00	22.3%	5.8%	21.8%	55.5%	22.5%	2.3%	1.6%	-108.9K	1.2M	-5.1K	1.26	46.29	N/A	N/A	95	120	116	207
2022-02-09	$187.12	$175.00	21.6%	6.2%	22.7%	52.0%	24.2%	1.5%	-1.8%	-64.1K	522.2K	-5.3K	1.38	82.77	N/A	N/A	87	120	118	206
2022-02-10	$185.45	$175.00	21.5%	6.2%	22.4%	51.3%	25.1%	3.6%	-0.8%	-53.7K	513.5K	-5.2K	1.56	74.27	N/A	N/A	87	136	120	206
2022-02-11	$183.32	$175.00	25.6%	7.3%	22.6%	73.3%	26.9%	6.8%	-2.7%	-71.2K	852.7K	-5.1K	1.22	72.72	N/A	N/A	98	120	121	193
2022-02-14	$182.42	$175.00	27.9%	8.0%	22.5%	85.2%	28.7%	2.5%	-4.1%	-85.5K	1.1M	-5.2K	1.39	66.13	N/A	N/A	98	136	128	197
2022-02-15	$185.55	$175.00	24.7%	7.1%	22.9%	68.3%	27.5%	3.2%	-2.8%	-81.1K	839.2K	-5.4K	1.43	73.69	N/A	N/A	95	136	128	214
2022-02-16	$187.69	$187.00	22.0%	6.3%	23.3%	53.7%	24.6%	5.4%	0.9%	-77.6K	511.5K	-5.2K	1.44	52.61	N/A	N/A	96	138	132	214
2022-02-17	$184.97	$188.00	25.9%	7.4%	23.2%	75.0%	28.1%	6.4%	-2.4%	-73.0K	820.1K	-5.3K	1.44	42.93	N/A	N/A	96	138	134	214
2022-02-18	$184.72	$188.00	25.3%	7.3%	20.4%	71.5%	26.9%	5.7%	0.1%	-87.3K	876.9K	-5.0K	1.42	47.94	N/A	N/A	97	138	134	214
2022-02-22	$182.19	$187.00	28.4%	8.2%	21.0%	88.3%	27.9%	5.5%	-3.8%	-26.2K	387.7K	-4.9K	1.16	52.02	N/A	N/A	49	57	60	118
2022-02-23	$179.33	$185.00	27.3%	7.8%	21.7%	85.2%	26.6%	6.7%	-1.2%	-26.4K	475.2K	-5.2K	1.10	53.74	N/A	N/A	52	57	73	121
2022-02-24	$178.46	$185.00	27.4%	7.8%	21.0%	85.5%	26.9%	6.8%	-3.8%	-38.9K	622.5K	-5.4K	0.97	81.86	N/A	N/A	59	57	76	130
2022-02-25	$185.42	$185.00	23.2%	6.6%	24.9%	62.3%	25.2%	7.6%	4.5%	-5.2K	48.6K	-5.8K	0.95	44.98	N/A	N/A	61	58	85	130
2022-02-28	$183.14	$185.00	25.6%	7.3%	25.4%	75.7%	28.2%	10.8%	-0.6%	-11.1K	172.9K	-5.8K	0.83	61.83	N/A	N/A	70	58	91	131