VAW Options History — May 2022

In May 2022, VAW traded between $175.98 and $194.16. ATM implied volatility averaged 28.6%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.8% (HV 20d: 30.3%). Max pain ranged from $187.00 to $192.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2022-05-20: Highest Volume — 658 contracts
  • 2022-05-05: Largest IV spike — 23.7% change
  • 2022-05-09: Highest IV Rank — 95.9%
  • 2022-05-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$183.28$175.98$194.16$184.87$188.37
Max Pain$189.38$187.00$192.00$188.00$187.00
ATM IV28.6%23.6%37.3%32.3%26.5%
Expected Move8.0%6.8%9.3%9.3%7.6%
HV 20d30.3%21.1%33.9%21.1%33.6%
HV 60d25.0%22.4%26.6%22.4%25.7%
IV Rank62.9%43.9%95.9%76.9%55.1%
IV Percentile88.0%71.0%99.6%98.0%82.5%
Term Structure-1.1%-3.9%2.8%-2.2%2.8%
VWIV25.5%20.1%29.3%28.4%24.9%
Skew 25d6.0%-5.5%12.7%5.3%6.0%
Skew 10d9.1%-1.0%22.1%22.1%21.8%
Call IV 25d25.2%19.4%34.8%29.0%25.3%
Put IV 25d31.2%25.3%36.8%34.2%31.3%
Bid-Ask Spread %61.1539.7776.7358.1376.73
Gamma HHI0.110.070.150.070.12
Net GEX-272-107.3K119.5K4.6K119.5K
Net DEX38.9K-1.4M1.3M179.9K-1.2M
Net VEX-5.0K-7.7K-3.5K-5.1K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.190.770.200.77
Total Volume437.66795658521129
Total OI352.619214484357278

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$184.87$188.0032.3%9.3%21.1%76.9%28.4%5.3%-2.2%4.6K179.9K-5.1K0.2058.13N/AN/A43388185172
2022-05-03$187.82$188.0029.3%8.4%22.1%65.5%27.4%5.1%-3.9%35.4K-213.3K-4.9K0.2157.75N/AN/A42287184176
2022-05-04$194.16$188.0025.7%7.4%25.2%51.9%20.1%5.6%-0.3%103.1K-999.2K-4.6K0.2376.53N/AN/A41996185177
2022-05-05$187.15$192.0031.8%8.3%28.1%74.9%26.4%9.2%-2.0%18.1K-14.6K-5.0K0.2339.77N/AN/A43899187187
2022-05-06$185.38$192.0031.5%8.5%28.0%73.7%26.4%6.3%-2.9%-13.3K214.6K-5.2K0.2252.64N/AN/A44399206190
2022-05-09$179.41$192.0037.3%9.3%29.9%95.9%26.8%6.5%-2.6%-55.2K787.3K-4.6K0.2052.73N/AN/A44390206190
2022-05-10$177.10$192.0037.0%8.9%30.1%94.4%23.5%3.9%-2.7%-107.3K1.3M-3.7K0.2154.59N/AN/A45898203189
2022-05-11$177.67$190.0029.3%8.4%30.2%65.5%26.3%5.9%-1.2%-94.6K975.6K-4.5K0.2159.08N/AN/A46098194196
2022-05-12$175.98$190.0029.5%8.5%29.0%66.2%29.3%6.7%-0.7%-107.3K1.1M-4.2K0.2276.11N/AN/A458103201191
2022-05-13$180.32$190.0027.6%7.9%30.9%59.2%27.2%4.6%-1.4%-78.8K771.4K-4.5K0.2373.69N/AN/A458106202192
2022-05-16$179.78$190.0027.6%7.9%30.9%59.1%23.6%11.0%-1.6%-100.8K739.4K-3.6K0.2358.75N/AN/A457106203192
2022-05-17$185.17$190.0025.2%7.2%32.6%50.0%23.7%6.0%-1.6%10.1K124.3K-3.5K0.2265.85N/AN/A485105203192
2022-05-18$179.06$190.0027.4%7.9%33.9%58.5%27.5%-5.5%0.1%-42.4K346.9K-4.3K0.2275.27N/AN/A485105235192
2022-05-19$181.02$190.0028.5%8.2%33.9%62.5%25.5%8.8%0.8%-83.4K354.2K-3.9K0.1957.91N/AN/A545105235187
2022-05-20$178.94$190.0026.8%7.7%32.4%56.0%23.9%4.5%-0.7%-81.7K314.4K-5.1K0.1956.00N/AN/A551107299185
2022-05-23$182.70$188.0023.6%6.8%33.4%43.9%23.6%12.7%1.6%71.2K-441.1K-5.5K0.2655.39N/AN/A1333516846
2022-05-24$182.25$188.0027.8%8.0%32.9%59.7%25.4%5.1%-3.0%80.8K-476.3K-5.8K0.5352.41N/AN/A623318446
2022-05-25$183.37$188.0027.1%7.8%32.7%57.1%25.9%2.9%-1.2%91.5K-607.4K-6.1K0.5063.61N/AN/A663319147
2022-05-26$187.26$187.0025.2%7.2%33.1%50.2%24.9%10.2%-0.2%105.9K-991.6K-6.7K0.7565.56N/AN/A725419247
2022-05-27$191.18$187.0023.6%6.8%33.5%44.1%25.1%4.4%-1.2%118.9K-1.4M-7.7K0.7655.73N/AN/A725520367
2022-05-31$188.37$187.0026.5%7.6%33.6%55.1%24.9%6.0%2.8%119.5K-1.2M-7.5K0.7776.73N/AN/A735621068