VAW Options History — April 2022

In April 2022, VAW traded between $185.00 and $199.81. ATM implied volatility averaged 24.5%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.3% (HV 20d: 16.2%). Max pain ranged from $187.00 to $188.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2022-04-28: Highest Volume — 525 contracts
  • 2022-04-11: Largest IV spike — 78.2% change
  • 2022-04-12: Highest IV Rank — 84.1%
  • 2022-04-29: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$192.91$185.00$199.81$195.45$186.99
Max Pain$187.80$187.00$188.00$187.00$188.00
ATM IV24.5%17.7%34.2%20.4%29.3%
Expected Move6.6%5.4%8.4%5.5%8.4%
HV 20d16.2%12.6%21.0%20.5%21.0%
HV 60d22.2%21.1%22.7%22.6%22.6%
IV Rank47.4%21.7%84.1%32.1%65.5%
IV Percentile79.2%36.9%99.2%67.5%95.2%
Term Structure0.4%-3.7%6.2%1.8%-3.7%
VWIV22.3%16.4%41.7%17.2%30.6%
Skew 25d6.4%3.0%10.5%4.1%7.4%
Skew 10d12.1%0.7%17.1%4.6%0.7%
Call IV 25d21.0%16.8%29.5%21.1%29.5%
Put IV 25d27.5%22.1%36.9%25.3%36.9%
Bid-Ask Spread %65.4453.9576.4059.8674.73
Gamma HHI0.080.070.140.080.07
Net GEX80.8K9.2K148.2K77.9K40.3K
Net DEX-859.5K-1.6M154.8K-1.1M-307.6K
Net VEX-5.1K-5.8K-4.5K-5.3K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.101.220.140.20
Total Volume467.8520525477525
Total OI305.5273358273357

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$195.45$187.0020.4%5.5%20.5%32.1%17.2%4.1%1.8%77.9K-1.1M-5.3K0.1459.86N/AN/A42057141132
2022-04-04$195.84$187.0021.8%5.5%15.9%37.2%17.1%5.9%2.1%85.2K-1.2M-4.7K0.1463.31N/AN/A42157141132
2022-04-05$194.01$187.0023.8%5.7%16.3%44.7%24.4%3.0%1.8%79.0K-1.1M-4.8K0.1372.72N/AN/A43057143132
2022-04-06$191.72$187.0024.2%6.2%14.3%46.4%16.8%4.3%2.0%79.8K-930.4K-5.2K0.1375.86N/AN/A44057153132
2022-04-07$193.54$188.0025.4%5.7%14.5%50.7%21.7%5.2%3.0%87.3K-949.9K-4.8K0.1376.40N/AN/A43158151132
2022-04-08$194.18$188.0017.7%6.1%14.2%21.7%19.0%5.5%3.0%98.5K-1.1M-4.9K0.1556.15N/AN/A43164151132
2022-04-11$192.95$188.0031.5%6.6%14.4%73.7%19.8%5.9%0.3%86.4K-939.2K-4.9K0.1553.95N/AN/A43764152143
2022-04-12$192.64$188.0034.2%6.7%14.2%84.1%21.0%6.5%-1.1%101.2K-982.0K-5.3K0.1563.06N/AN/A44164169143
2022-04-13$196.23$188.0020.4%5.9%15.1%32.1%18.0%3.7%2.6%118.8K-1.4M-4.9K0.1469.49N/AN/A44264168143
2022-04-14$196.06$188.0021.4%6.1%12.6%35.9%19.8%9.5%-1.7%148.2K-1.5M-5.3K0.1568.99N/AN/A43864178143
2022-04-18$195.41$188.0022.1%6.3%12.6%38.5%18.2%5.6%-1.8%89.0K-999.3K-4.8K0.1062.39N/AN/A40942155126
2022-04-19$198.09$188.0021.9%6.3%13.2%37.7%16.4%5.7%-3.2%114.3K-1.3M-4.5K0.1160.49N/AN/A42145160131
2022-04-20$199.81$188.0018.8%5.4%13.3%25.9%20.6%3.5%2.6%140.7K-1.6M-4.9K0.1364.62N/AN/A41354174136
2022-04-21$195.65$188.0022.2%6.4%15.6%38.9%26.8%4.8%-0.3%114.9K-1.2M-5.2K0.1471.54N/AN/A41557178126
2022-04-22$189.51$188.0026.4%7.6%18.7%54.7%23.9%7.8%-1.9%54.5K-388.7K-5.4K0.1465.83N/AN/A41358176138
2022-04-25$188.03$188.0027.9%8.0%18.6%60.1%24.8%10.3%-1.2%15.3K-40.8K-4.7K0.1562.77N/AN/A44669173141
2022-04-26$185.00$188.0027.5%7.9%19.3%58.7%25.1%9.4%0.1%9.2K154.8K-5.2K0.1857.06N/AN/A43078179152
2022-04-27$187.17$188.0028.4%8.1%19.5%62.0%41.7%10.0%-1.7%27.9K-47.6K-5.5K1.2257.93N/AN/A911177162
2022-04-28$190.00$188.0024.6%7.1%20.4%47.9%23.4%10.5%6.2%47.2K-353.5K-5.5K0.2071.70N/AN/A43887186172
2022-04-29$186.99$188.0029.3%8.4%21.0%65.5%30.6%7.4%-3.7%40.3K-307.6K-5.8K0.2074.73N/AN/A43887185172