VAW Options History — July 2022

In July 2022, VAW traded between $154.80 and $171.80. ATM implied volatility averaged 25.9%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.3% (HV 20d: 27.1%). Max pain ranged from $159.00 to $169.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.19.

Notable Days

  • 2022-07-15: Highest Volume — 425 contracts
  • 2022-07-11: Largest IV spike — 33.3% change
  • 2022-07-12: Highest IV Rank — 94.5%
  • 2022-07-14: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.58$154.80$171.80$161.38$171.80
Max Pain$159.50$159.00$169.00$169.00$159.00
ATM IV25.9%22.3%37.0%26.2%23.5%
Expected Move7.3%6.4%8.5%7.5%6.7%
HV 20d27.1%21.1%33.2%32.7%21.3%
HV 60d30.5%30.3%31.2%30.3%30.5%
IV Rank51.3%37.4%94.5%52.4%42.2%
IV Percentile70.8%54.4%99.2%77.0%56.7%
Term Structure0.2%-4.1%4.4%0.5%-0.7%
VWIV24.7%20.0%28.6%24.7%21.8%
Skew 25d6.4%-1.0%13.1%-1.0%5.4%
Skew 10d8.4%2.6%17.7%5.7%14.0%
Call IV 25d22.8%18.8%27.4%24.2%18.8%
Put IV 25d29.2%23.2%35.9%23.2%24.2%
Bid-Ask Spread %81.3864.37104.3490.09103.54
Gamma HHI0.380.170.750.250.17
Net GEX187.2K43.8K260.9K43.8K194.8K
Net DEX-1.5M-4.3M889.2K889.2K-4.3M
Net VEX-5.9K-7.3K-3.0K-3.0K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.150.220.210.19
Total Volume355.15310425373312
Total OI516.2361547361547

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$161.38$169.0026.2%7.5%32.7%52.4%24.7%-1.0%0.5%43.8K889.2K-3.0K0.2190.09N/AN/A3096426398
2022-07-05$157.68$159.0028.3%8.4%33.1%60.7%26.7%5.3%-4.1%149.7K-242.3K-6.1K0.2164.37N/AN/A3126543098
2022-07-06$158.82$159.0028.5%8.2%32.9%61.7%26.0%6.4%-0.2%165.7K-381.7K-6.1K0.2174.19N/AN/A3136543496
2022-07-07$160.80$159.0024.4%6.9%33.2%45.8%25.3%8.4%3.0%159.7K-749.8K-6.5K0.2173.34N/AN/A3116543497
2022-07-08$159.44$159.0023.2%7.3%32.9%40.9%23.7%9.7%1.8%187.9K-511.8K-6.2K0.2276.14N/AN/A3106743597
2022-07-11$158.17$159.0030.9%7.4%32.4%70.7%26.5%7.0%1.3%175.0K-233.9K-5.3K0.2276.23N/AN/A3106743694
2022-07-12$157.90$159.0037.0%8.4%31.2%94.5%28.6%13.1%-1.8%167.4K-237.1K-5.2K0.2184.35N/AN/A3136743694
2022-07-13$157.76$159.0025.2%7.2%26.7%48.8%26.8%9.7%1.6%174.6K-216.0K-5.2K0.2278.83N/AN/A3106743994
2022-07-14$154.80$159.0029.8%8.5%27.2%66.4%24.1%9.6%-0.1%142.0K227.3K-4.2K0.2282.43N/AN/A3116744090
2022-07-15$156.95$159.0025.4%7.3%27.9%49.7%22.8%11.2%-1.3%142.3K-221.3K-5.0K0.2081.73N/AN/A3557044184
2022-07-18$157.37$159.0025.7%7.4%23.2%50.8%24.2%7.9%-1.8%190.2K-1.2M-5.6K0.1592.20N/AN/A2974640945
2022-07-19$162.92$159.0022.3%6.4%26.5%37.4%26.9%6.6%0.8%195.0K-2.1M-6.6K0.1573.17N/AN/A3034642045
2022-07-20$163.31$159.0024.9%7.1%26.1%47.7%23.5%6.1%2.7%222.4K-2.6M-7.3K0.1674.06N/AN/A3084848045
2022-07-21$164.81$159.0023.8%6.8%25.9%43.3%24.8%3.9%0.6%222.1K-2.9M-7.3K0.1668.98N/AN/A3054848247
2022-07-22$163.61$159.0023.8%6.8%24.9%43.5%26.9%-0.8%4.4%238.7K-2.7M-7.3K0.1874.79N/AN/A2664948647
2022-07-25$164.53$159.0025.5%7.3%21.1%49.8%20.6%5.6%-4.1%245.2K-2.9M-6.6K0.1878.03N/AN/A2664948747
2022-07-26$163.99$159.0022.5%6.5%21.1%38.3%24.2%3.2%0.0%260.9K-2.8M-6.5K0.1982.08N/AN/A2665048847
2022-07-27$166.79$159.0023.4%6.7%21.4%42.0%20.0%6.2%0.7%254.9K-3.2M-6.3K0.19104.34N/AN/A2665048848
2022-07-28$168.72$159.0023.0%6.6%21.4%40.1%26.2%5.0%0.6%212.4K-3.7M-5.9K0.1894.77N/AN/A2624848848
2022-07-29$171.80$159.0023.5%6.7%21.3%42.2%21.8%5.4%-0.7%194.8K-4.3M-5.8K0.19103.54N/AN/A2634949948