VAW Options History — September 2022

In September 2022, VAW traded between $148.14 and $173.25. ATM implied volatility averaged 29.0%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 1.1% (HV 20d: 27.9%). Max pain ranged from $165.00 to $171.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 8.56.

Notable Days

  • 2022-09-22: Highest Volume — 289 contracts
  • 2022-09-13: Largest IV spike — 39.1% change
  • 2022-09-13: Highest IV Rank — 100.0%
  • 2022-09-27: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$159.50$148.14$173.25$162.82$148.89
Max Pain$168.67$165.00$171.00$171.00$167.00
ATM IV29.0%21.1%41.2%25.8%33.4%
Expected Move7.9%6.4%10.6%7.4%9.6%
HV 20d27.9%24.9%29.8%26.0%29.1%
HV 60d25.3%24.1%27.4%27.4%25.2%
IV Rank58.8%33.0%100.0%51.1%72.7%
IV Percentile80.9%38.1%100.0%73.0%96.4%
Term Structure0.8%-7.4%5.2%1.4%-7.4%
VWIV24.8%18.1%34.2%18.1%34.2%
Skew 25d5.2%-5.4%18.3%18.3%-5.4%
Skew 10d4.9%-7.3%21.8%21.8%-7.3%
Call IV 25d25.9%16.6%40.4%16.6%40.4%
Put IV 25d31.1%24.5%38.6%34.9%35.0%
Bid-Ask Spread %76.0448.70109.81109.8182.04
Gamma HHI0.210.070.460.140.07
Net GEX446-104.4K86.7K30.4K5.3K
Net DEX761.9K-758.8K2.5M231.6K666.7K
Net VEX-3.9K-7.1K-1.9K-3.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.560.0071.250.501.22
Total Volume124.14302893193
Total OI268.143211380221212

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$162.82$171.0025.8%7.4%26.0%51.1%18.1%18.3%1.4%30.4K231.6K-3.3K0.50109.81N/AN/A2115467
2022-09-02$162.94$171.0025.5%7.3%26.0%50.1%0.0%3.2%-0.5%34.2K22.5K-3.6K0.00108.03N/AN/A12015666
2022-09-06$163.00$170.0027.8%7.2%25.6%58.9%25.9%9.0%1.9%37.0K126.3K-3.4K0.4373.24N/AN/A1104716767
2022-09-07$167.24$170.0027.2%6.9%27.3%56.3%20.0%11.1%-2.4%61.4K-64.7K-3.5K0.4354.72N/AN/A1114816867
2022-09-08$168.28$165.0021.1%7.4%24.9%33.0%0.0%5.9%-1.9%75.9K-231.7K-3.8K0.0059.94N/AN/A2017067
2022-09-09$172.01$165.0025.9%6.4%26.2%51.4%0.0%5.9%1.3%86.7K-630.8K-4.3K0.0048.70N/AN/A0017267
2022-09-12$173.25$165.0029.6%6.8%25.3%65.9%20.7%6.2%-1.1%86.2K-758.8K-4.0K0.2054.75N/AN/A5117267
2022-09-13$166.64$170.0041.2%7.2%28.6%100.0%21.7%2.6%3.2%86.5K-225.3K-3.9K0.4670.89N/AN/A1064917768
2022-09-14$163.71$170.0026.5%7.6%28.7%48.7%25.3%2.3%3.2%53.9K-27.3K-3.0K40.0076.06N/AN/A416017657
2022-09-15$161.83$170.0026.3%7.5%28.5%48.0%24.4%3.1%0.6%-77.0K1.4M-6.3K10.0071.43N/AN/A220177203
2022-09-16$159.14$170.0027.1%7.8%28.5%50.5%24.9%4.9%3.2%-93.1K1.5M-5.2K1.2476.05N/AN/A108134175183
2022-09-19$162.42$170.0025.6%7.3%29.3%45.5%24.3%-0.9%5.2%-104.4K1.8M-7.1K21.5069.86N/AN/A486126221
2022-09-20$159.64$169.0028.6%8.2%29.3%55.9%0.0%1.9%4.2%-66.2K1.6M-5.7K0.0968.13N/AN/A111127177
2022-09-21$156.22$169.0029.9%8.6%29.3%60.6%0.0%5.5%-0.5%-60.8K1.8M-5.0K0.0086.83N/AN/A10136178
2022-09-22$154.56$169.0028.2%8.1%29.2%54.4%18.5%0.8%1.2%-57.4K1.9M-4.3K71.2575.50N/AN/A4285137179
2022-09-23$150.06$169.0026.3%7.5%28.5%47.9%25.9%-0.4%-0.6%-55.8K2.5M-4.1K17.6095.82N/AN/A10176138214
2022-09-26$148.20$169.0032.4%9.3%27.6%69.3%26.8%5.9%1.2%-11.7K1.3M-2.0K2.0181.73N/AN/A87175136107
2022-09-27$148.14$169.0036.9%10.6%27.7%84.9%29.5%8.6%-0.3%-12.2K1.3M-2.0K1.8876.68N/AN/A93175134107
2022-09-28$151.80$167.0030.4%8.7%29.4%62.1%27.0%9.0%0.5%-13.3K1.1M-2.9K1.2575.37N/AN/A85106141107
2022-09-29$148.79$167.0032.2%9.2%29.8%68.4%29.3%11.0%3.9%3.7K688.4K-1.9K1.2281.32N/AN/A8710614467
2022-09-30$148.89$167.0033.4%9.6%29.1%72.7%34.2%-5.4%-7.4%5.3K666.7K-2.1K1.2282.04N/AN/A8710614567