VAW Options History — March 2022

In March 2022, VAW traded between $176.47 and $197.12. ATM implied volatility averaged 26.0%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.2% (HV 20d: 26.1%). Max pain ranged from $185.00 to $187.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.58.

Notable Days

  • 2022-03-30: Highest Volume — 477 contracts
  • 2022-03-04: Largest IV spike — 18.2% change
  • 2022-03-01: Highest IV Rank — 100.0%
  • 2022-03-07: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.26$176.47$197.12$179.75$194.80
Max Pain$185.39$185.00$187.00$185.00$187.00
ATM IV26.0%17.7%38.4%32.4%19.3%
Expected Move7.5%5.3%11.0%9.3%5.4%
HV 20d26.1%20.5%29.1%25.5%20.7%
HV 60d22.7%21.4%23.2%21.5%22.6%
IV Rank56.4%21.7%100.0%100.0%27.9%
IV Percentile80.8%38.5%100.0%100.0%58.7%
Term Structure-1.1%-5.5%1.3%-4.3%-0.3%
VWIV26.3%17.0%38.4%32.6%20.2%
Skew 25d6.2%2.6%13.1%2.6%8.3%
Skew 10d7.7%-2.3%14.2%-2.3%4.8%
Call IV 25d23.6%13.7%30.7%30.7%21.6%
Put IV 25d29.7%20.1%37.1%33.4%29.9%
Bid-Ask Spread %57.0033.2384.2964.3264.19
Gamma HHI0.090.070.120.120.08
Net GEX29.5K-14.9K80.1K-12.2K74.5K
Net DEX-381.3K-1.3M413.6K323.7K-1.2M
Net VEX-5.6K-6.3K-4.7K-6.0K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.131.000.850.14
Total Volume254.696113477126477
Total OI253.348213274233272

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$179.75$185.0032.4%9.3%25.5%100.0%32.6%2.6%-4.3%-12.2K323.7K-6.0K0.8564.32N/AN/A6858102131
2022-03-02$184.39$185.0028.7%8.2%26.1%82.2%29.0%5.8%-0.8%3.3K13.0K-6.1K0.8366.16N/AN/A7058101132
2022-03-03$183.92$185.0028.3%8.1%26.0%79.8%31.7%7.6%-1.9%5.8K-3.6K-6.2K0.7865.50N/AN/A7458105132
2022-03-04$183.16$185.0033.4%9.6%25.3%100.0%32.2%8.1%-1.6%4.1K50.0K-6.3K0.6963.45N/AN/A8458111132
2022-03-07$177.47$185.0038.4%11.0%27.5%100.0%35.0%6.0%-1.1%-9.3K368.1K-6.1K0.7381.07N/AN/A8361121132
2022-03-08$176.47$185.0034.8%10.3%27.4%86.1%38.4%7.0%-0.9%-14.9K413.6K-6.1K0.7478.54N/AN/A8160120134
2022-03-09$181.88$185.0029.2%9.1%29.1%65.2%32.7%6.6%-0.2%7.8K98.9K-6.3K0.7471.59N/AN/A8160119136
2022-03-10$181.84$185.0029.6%9.1%27.9%66.8%34.8%7.0%-4.7%9.2K82.9K-6.1K0.7779.21N/AN/A8162120133
2022-03-11$181.01$185.0030.6%9.4%27.8%70.2%31.8%4.8%-5.5%7.1K91.1K-5.9K0.7784.29N/AN/A8162121135
2022-03-14$180.36$185.0031.0%8.1%27.6%72.0%29.7%8.1%-3.7%-2.0K163.0K-5.8K0.8342.38N/AN/A7562121138
2022-03-15$182.37$185.0028.8%8.1%27.8%63.6%28.7%13.1%-1.3%-275105.0K-5.7K0.8444.12N/AN/A7563121140
2022-03-16$184.17$185.0028.1%7.6%27.4%60.9%27.2%6.0%-1.2%19.3K-114.0K-5.6K0.8559.16N/AN/A7463121141
2022-03-17$188.88$185.0023.7%6.9%28.6%44.3%26.9%5.7%0.7%57.4K-557.7K-5.3K1.0056.14N/AN/A7474122141
2022-03-18$190.34$185.0022.8%6.1%28.1%41.0%23.7%6.9%-0.8%79.0K-795.6K-4.7K1.0065.05N/AN/A7474123151
2022-03-21$191.62$185.0023.4%6.5%28.1%43.4%24.9%4.8%-1.0%13.2K-544.1K-5.0K0.8837.92N/AN/A605390123
2022-03-22$192.84$186.0022.1%5.9%27.6%38.3%17.6%3.3%1.3%24.8K-688.7K-4.8K0.1333.25N/AN/A4205596124
2022-03-23$192.35$186.0018.9%6.1%26.8%26.2%18.0%4.9%0.8%47.0K-772.9K-5.5K0.1338.44N/AN/A42154131125
2022-03-24$194.85$186.0020.2%5.7%26.8%31.3%19.0%3.1%-0.7%57.9K-989.6K-5.4K0.1333.23N/AN/A41654132126
2022-03-25$196.09$186.0019.0%5.7%23.6%26.8%17.9%3.4%-0.3%69.5K-1.2M-5.5K0.1344.43N/AN/A41855138127
2022-03-28$195.20$186.0017.7%5.6%23.1%21.7%17.2%6.5%1.0%78.5K-1.1M-5.0K0.1336.36N/AN/A41856138128
2022-03-29$197.12$186.0017.8%5.5%21.7%22.3%17.0%8.4%1.1%80.1K-1.3M-4.9K0.1445.49N/AN/A41957138131
2022-03-30$196.17$186.0019.1%5.3%20.5%27.1%19.4%3.8%-1.1%78.2K-1.3M-4.8K0.1456.73N/AN/A42057139133
2022-03-31$194.80$187.0019.3%5.4%20.7%27.9%20.2%8.3%-0.3%74.5K-1.2M-5.2K0.1464.19N/AN/A42057140132