VAW Options History — August 2022

In August 2022, VAW traded between $166.72 and $179.83. ATM implied volatility averaged 21.3%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.6% (HV 20d: 20.6%). Max pain ranged from $148.00 to $171.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.35.

Notable Days

  • 2022-08-03: Highest Volume — 341 contracts
  • 2022-08-29: Largest IV spike — 56.0% change
  • 2022-08-29: Highest IV Rank — 67.8%
  • 2022-08-29: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$172.83$166.72$179.83$170.12$166.72
Max Pain$164.52$148.00$171.00$159.00$171.00
ATM IV21.3%17.4%30.1%21.5%26.4%
Expected Move6.1%5.0%8.6%6.2%7.6%
HV 20d20.6%16.9%24.7%21.6%24.7%
HV 60d27.6%26.6%29.7%29.7%27.2%
IV Rank33.5%18.4%67.8%34.4%53.4%
IV Percentile43.3%18.3%93.7%46.4%74.6%
Term Structure1.2%-8.6%6.4%0.9%0.1%
VWIV21.9%15.0%28.4%22.7%27.3%
Skew 25d5.0%0.0%10.1%1.9%2.4%
Skew 10d8.1%-6.5%23.9%-0.1%10.5%
Call IV 25d20.2%15.0%29.7%20.9%29.7%
Put IV 25d25.2%18.0%32.1%22.8%32.1%
Bid-Ask Spread %81.0657.54100.3199.0797.69
Gamma HHI0.150.090.230.200.13
Net GEX91.9K-11.6K241.9K196.8K42.5K
Net DEX-3.4M-6.1M-141.7K-4.0M-141.7K
Net VEX-4.3K-5.5K-3.4K-5.2K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.0020.000.190.46
Total Volume99.870341312146
Total OI460.391177642550219

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$170.12$159.0021.5%6.2%21.6%34.4%22.7%1.9%0.9%196.8K-4.0M-5.2K0.1999.07N/AN/A2634950149
2022-08-02$169.10$159.0018.5%5.3%19.7%22.8%22.4%8.8%4.6%206.3K-3.9M-5.2K0.1999.28N/AN/A2624950149
2022-08-03$168.65$159.0022.0%6.3%19.8%36.5%19.6%7.2%-1.2%216.7K-3.8M-4.7K0.17100.31N/AN/A2924950049
2022-08-04$168.61$148.0024.4%7.0%19.5%45.8%21.7%6.7%-2.5%235.3K-4.2M-5.2K0.1757.54N/AN/A2924953049
2022-08-05$168.70$148.0022.1%6.3%19.1%36.6%21.5%6.0%0.3%241.9K-4.0M-5.5K0.1865.74N/AN/A2784953049
2022-08-08$170.66$148.0022.9%6.1%18.8%39.9%21.7%8.7%0.9%168.2K-4.8M-4.5K0.1883.24N/AN/A2795053149
2022-08-09$169.20$148.0020.4%6.2%19.3%30.1%28.4%7.5%-0.2%212.6K-4.5M-4.9K20.0088.28N/AN/A12053650
2022-08-10$174.46$156.0020.2%5.8%21.4%29.5%18.8%0.0%1.5%104.5K-5.3M-4.3K1.0070.61N/AN/A161653770
2022-08-11$175.01$168.0017.4%5.0%19.5%18.7%0.0%2.5%6.4%58.3K-5.5M-4.6K0.0066.69N/AN/A7054684
2022-08-12$178.37$168.0017.4%5.0%19.9%18.4%18.8%1.4%2.7%59.2K-6.1M-4.4K4.0070.55N/AN/A31254984
2022-08-15$178.46$171.0017.7%5.1%19.9%19.7%18.4%1.9%4.7%38.7K-5.9M-4.3K0.0060.61N/AN/A3054696
2022-08-16$179.83$171.0018.5%5.3%16.9%22.8%15.0%3.0%2.5%51.6K-6.1M-4.1K0.0075.67N/AN/A30054696
2022-08-17$176.92$171.0020.7%5.9%18.5%31.3%0.0%5.3%4.0%5.3K-5.4M-3.9K0.0081.13N/AN/A0053196
2022-08-18$177.99$171.0020.3%5.8%18.4%29.9%19.2%4.6%3.4%19.0K-5.6M-3.7K0.4375.76N/AN/A7353196
2022-08-19$174.20$171.0020.9%6.0%20.2%31.9%20.4%10.1%-0.9%-11.6K-4.8M-3.4K0.6773.22N/AN/A9653796
2022-08-22$171.14$171.0018.7%5.4%21.5%23.7%22.3%6.1%5.0%30.1K-268.8K-3.5K0.0090.39N/AN/A0111760
2022-08-23$173.21$171.0021.9%6.3%21.7%35.9%22.8%7.5%1.9%27.7K-441.7K-3.6K0.0877.95N/AN/A12111761
2022-08-24$173.86$171.0023.8%6.8%21.0%43.2%0.0%5.3%0.5%38.0K-537.8K-3.8K0.0076.01N/AN/A4012960
2022-08-25$177.55$171.0022.1%6.3%21.8%36.9%26.8%4.2%-1.5%37.2K-791.6K-3.9K0.0684.80N/AN/A17112960
2022-08-26$172.55$171.0019.3%5.5%23.6%25.9%0.0%1.5%4.0%41.7K-516.2K-4.2K0.0087.55N/AN/A3014461
2022-08-29$171.69$171.0030.1%8.6%23.4%67.8%0.0%5.5%-8.6%46.6K-478.7K-4.1K0.0091.52N/AN/A2014761
2022-08-30$168.12$171.0021.7%6.2%24.5%35.4%27.0%6.4%-0.2%47.1K-159.2K-3.7K0.6090.69N/AN/A10614961
2022-08-31$166.72$171.0026.4%7.6%24.7%53.4%27.3%2.4%0.1%42.5K-141.7K-4.0K0.4697.69N/AN/A1004615366