VAW Options History — October 2022

In October 2022, VAW traded between $150.29 and $164.02. ATM implied volatility averaged 32.0%, placing in the 67.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.4% (HV 20d: 32.4%). Max pain ranged from $158.00 to $175.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.14.

Notable Days

2022-10-21: Highest Volume — 222 contracts
2022-10-06: Largest IV spike — 20.1% change
2022-10-11: Highest IV Rank — 85.9%
2022-10-12: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$156.74	$150.29	$164.02	$153.75	$163.19
Max Pain	$167.14	$158.00	$175.00	$167.00	$167.00
ATM IV	32.0%	26.3%	37.2%	33.3%	30.1%
Expected Move	9.0%	7.5%	10.2%	9.5%	8.6%
HV 20d	32.4%	30.0%	34.4%	31.9%	30.1%
HV 60d	27.9%	26.0%	29.2%	26.0%	29.2%
IV Rank	67.6%	47.8%	85.9%	72.2%	61.3%
IV Percentile	89.8%	67.1%	98.8%	96.0%	84.1%
Term Structure	-1.5%	-5.8%	7.4%	-5.6%	-1.5%
VWIV	28.5%	23.0%	32.1%	32.0%	28.8%
Skew 25d	4.0%	0.8%	8.1%	1.8%	3.2%
Skew 10d	6.7%	-2.2%	20.5%	-2.2%	1.9%
Call IV 25d	30.4%	27.6%	36.6%	30.8%	29.9%
Put IV 25d	34.5%	30.6%	39.9%	32.6%	33.1%
Bid-Ask Spread %	75.50	64.00	89.11	82.27	84.70
Gamma HHI	0.07	0.06	0.08	0.07	0.08
Net GEX	21.0K	6.7K	37.7K	6.7K	20.7K
Net DEX	133.0K	-317.3K	562.2K	542.5K	-293.4K
Net VEX	-2.8K	-3.3K	-2.2K	-2.5K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	1.02	1.33	1.14	1.02
Total Volume	207.048	193	222	199	218
Total OI	208.143	179	225	212	181

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-10-03	$153.75	$167.00	33.3%	9.5%	31.9%	72.2%	32.0%	1.8%	-5.6%	6.7K	542.5K	-2.5K	1.14	82.27	N/A	N/A	93	106	145	67
2022-10-04	$159.01	$158.00	30.7%	8.8%	34.4%	63.2%	32.1%	6.3%	-1.5%	15.6K	257.7K	-3.3K	1.08	78.22	N/A	N/A	99	107	154	67
2022-10-05	$158.27	$158.00	26.3%	7.5%	32.9%	47.8%	31.2%	3.1%	7.4%	14.0K	352.1K	-2.9K	1.07	88.52	N/A	N/A	100	107	155	67
2022-10-06	$156.05	$175.00	31.6%	7.9%	33.0%	66.3%	25.8%	6.8%	2.4%	14.1K	378.5K	-2.9K	1.07	70.72	N/A	N/A	100	107	155	67
2022-10-07	$151.62	$175.00	33.2%	9.4%	32.6%	72.1%	24.1%	2.9%	-3.5%	13.0K	525.9K	-2.4K	1.07	74.35	N/A	N/A	100	107	155	67
2022-10-10	$152.87	$175.00	36.7%	9.5%	32.7%	84.3%	28.3%	6.0%	-5.8%	13.5K	537.0K	-2.3K	1.13	74.29	N/A	N/A	96	108	155	67
2022-10-11	$151.49	$173.00	37.2%	9.5%	30.4%	85.9%	23.0%	8.1%	-3.2%	12.5K	562.2K	-2.3K	1.13	75.59	N/A	N/A	96	108	156	69
2022-10-12	$151.18	$173.00	35.5%	10.2%	30.0%	80.1%	27.2%	5.5%	-3.6%	12.6K	559.2K	-2.2K	1.12	75.48	N/A	N/A	99	111	156	68
2022-10-13	$154.99	$166.00	30.9%	8.9%	31.5%	64.0%	23.7%	6.5%	-0.9%	25.0K	209.8K	-2.2K	1.19	89.11	N/A	N/A	93	111	161	48
2022-10-14	$150.29	$165.00	31.4%	9.0%	32.8%	65.9%	27.6%	3.4%	-2.1%	26.0K	158.3K	-2.5K	1.19	85.46	N/A	N/A	93	111	165	48
2022-10-17	$154.08	$165.00	33.1%	9.5%	33.2%	71.6%	29.0%	4.6%	-3.2%	25.6K	158.0K	-2.4K	1.10	71.94	N/A	N/A	102	112	165	50
2022-10-18	$156.53	$165.00	32.6%	9.3%	33.4%	69.9%	29.6%	2.8%	-2.9%	35.7K	-42.0K	-3.0K	1.08	68.86	N/A	N/A	105	113	168	50
2022-10-19	$154.50	$165.00	32.5%	9.3%	32.8%	69.5%	30.6%	4.0%	-2.5%	37.7K	89.4K	-2.9K	1.06	64.00	N/A	N/A	107	113	173	51
2022-10-20	$153.41	$165.00	32.5%	9.3%	32.7%	69.5%	30.8%	4.9%	-0.7%	32.1K	140.4K	-2.8K	1.07	65.50	N/A	N/A	107	114	169	51
2022-10-21	$159.24	$165.00	30.6%	8.8%	33.4%	62.8%	28.4%	5.0%	0.5%	33.8K	-105.0K	-3.0K	1.07	64.07	N/A	N/A	107	115	172	52
2022-10-24	$158.69	$165.00	32.9%	9.4%	33.0%	70.9%	31.2%	2.7%	-1.2%	18.0K	-117.4K	-3.0K	1.33	69.22	N/A	N/A	83	110	140	39
2022-10-25	$162.04	$167.00	31.6%	9.0%	33.5%	66.2%	29.2%	3.2%	-3.2%	18.3K	-200.5K	-3.1K	1.22	69.46	N/A	N/A	90	110	140	39
2022-10-26	$163.41	$167.00	31.4%	9.0%	32.7%	65.5%	30.0%	0.8%	-2.4%	21.8K	-312.7K	-3.3K	1.24	78.61	N/A	N/A	88	109	140	39
2022-10-27	$162.89	$167.00	29.3%	8.4%	31.6%	58.4%	29.2%	1.3%	-0.4%	21.6K	-317.3K	-3.3K	1.25	77.21	N/A	N/A	87	109	141	39
2022-10-28	$164.02	$167.00	27.7%	8.0%	31.6%	52.9%	27.4%	2.2%	1.6%	21.8K	-289.1K	-3.2K	1.24	77.87	N/A	N/A	88	109	142	38
2022-10-31	$163.19	$167.00	30.1%	8.6%	30.1%	61.3%	28.8%	3.2%	-1.5%	20.7K	-293.4K	-3.1K	1.02	84.70	N/A	N/A	108	110	143	38