VAW Options History — June 2022

In June 2022, VAW traded between $159.72 and $193.25. ATM implied volatility averaged 26.7%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 5.6% (HV 20d: 32.3%). Max pain ranged from $169.00 to $187.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2022-06-17: Highest Volume — 221 contracts
  • 2022-06-13: Largest IV spike — 17.5% change
  • 2022-06-14: Highest IV Rank — 69.0%
  • 2022-06-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$173.58$159.72$193.25$187.26$159.80
Max Pain$182.57$169.00$187.00$187.00$169.00
ATM IV26.7%21.0%30.2%24.2%26.1%
Expected Move7.6%6.1%8.7%6.9%7.5%
HV 20d32.3%26.2%36.6%33.3%33.8%
HV 60d27.5%24.5%30.2%24.8%30.2%
IV Rank55.6%34.2%69.0%46.2%52.3%
IV Percentile81.5%58.3%94.8%73.8%77.0%
Term Structure-0.0%-2.8%3.6%-2.6%0.8%
VWIV25.7%22.1%29.2%25.5%27.2%
Skew 25d3.2%-4.7%12.3%6.2%-2.4%
Skew 10d3.5%-7.7%25.5%2.8%-2.0%
Call IV 25d25.9%18.9%36.6%25.4%34.8%
Put IV 25d29.0%22.3%35.1%31.6%32.4%
Bid-Ask Spread %71.9737.2698.0970.2384.00
Gamma HHI0.120.100.220.120.22
Net GEX36.1K-26.4K162.6K123.9K36.8K
Net DEX277.0K-1.8M1.3M-1.0M871.5K
Net VEX-5.2K-8.5K-2.4K-7.4K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.441.000.810.44
Total Volume175.286120221132205
Total OI330.714281365281359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$187.26$187.0024.2%6.9%33.3%46.2%25.5%6.2%-2.6%123.9K-1.0M-7.4K0.8170.23N/AN/A735921269
2022-06-02$191.37$172.0024.2%6.3%32.0%46.3%22.2%1.3%-0.1%140.3K-1.5M-7.7K0.4840.37N/AN/A813921369
2022-06-03$189.60$175.0021.0%6.1%29.2%34.2%24.9%3.3%3.6%136.5K-1.4M-8.1K0.7343.13N/AN/A815922390
2022-06-06$191.50$175.0024.6%6.9%29.1%48.0%27.3%8.6%-0.8%141.6K-1.6M-7.9K0.8543.04N/AN/A937922290
2022-06-07$193.25$175.0024.2%6.4%26.2%46.3%28.2%6.0%0.9%162.6K-1.8M-8.5K1.0044.81N/AN/A8989241110
2022-06-08$189.15$175.0022.0%6.3%27.1%38.1%23.1%0.1%0.7%155.3K-1.3M-8.3K0.8637.26N/AN/A9380243111
2022-06-09$184.68$187.0024.5%7.0%28.8%47.6%23.2%9.2%0.4%98.3K-416.2K-7.8K0.8343.55N/AN/A9680237121
2022-06-10$179.00$187.0025.4%7.3%30.9%50.9%23.6%1.3%0.3%19.1K350.5K-6.5K0.8251.90N/AN/A9880228121
2022-06-13$170.33$187.0029.8%8.6%34.4%67.6%26.6%1.6%-2.6%-23.1K1.1M-4.6K0.7076.26N/AN/A11480224121
2022-06-14$169.43$187.0030.2%8.7%34.4%69.0%27.2%5.7%0.3%-26.4K1.0M-4.9K0.7277.98N/AN/A11885240121
2022-06-15$169.94$187.0029.0%8.3%32.3%64.5%26.7%11.5%-0.3%-20.0K950.0K-4.9K0.7083.71N/AN/A12285244121
2022-06-16$162.39$187.0029.8%8.5%33.9%67.5%28.5%0.7%-1.0%-16.0K1.2M-3.6K0.6995.53N/AN/A12687250110
2022-06-17$162.94$187.0029.1%8.3%33.6%64.7%22.8%-4.1%1.2%-19.0K1.2M-3.5K0.7594.49N/AN/A12695253111
2022-06-21$165.08$187.0028.2%8.1%34.1%61.4%29.2%-4.7%0.8%-17.6K936.6K-4.4K0.8295.04N/AN/A8570196108
2022-06-22$163.06$187.0027.2%7.8%32.9%57.5%22.1%-1.6%0.8%-26.3K1.3M-2.6K0.8489.32N/AN/A8571203108
2022-06-23$159.72$187.0028.5%8.2%33.3%62.7%26.8%4.1%-1.5%-18.3K1.3M-2.6K0.8293.13N/AN/A8771205109
2022-06-24$165.77$187.0026.5%7.6%36.6%54.8%22.7%2.0%1.6%-22.9K1.2M-3.4K0.7998.09N/AN/A9071203109
2022-06-27$165.52$187.0027.1%7.8%35.3%56.0%26.5%3.5%-0.5%-25.0K1.0M-3.7K0.7878.02N/AN/A9171207109
2022-06-28$163.34$182.0029.3%8.4%33.9%64.5%27.2%12.3%-2.8%-20.8K1.2M-3.2K0.7081.79N/AN/A10271206109
2022-06-29$162.03$180.0030.0%8.6%33.8%67.2%28.2%1.9%0.1%-21.0K1.3M-2.4K0.4589.66N/AN/A14163210109
2022-06-30$159.80$169.0026.1%7.5%33.8%52.3%27.2%-2.4%0.8%36.8K871.5K-3.2K0.4484.00N/AN/A1426326198