VAW Options History — November 2022

In November 2022, VAW traded between $159.15 and $180.48. ATM implied volatility averaged 26.1%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.1% (HV 20d: 30.2%). Max pain ranged from $152.00 to $164.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2022-11-18: Highest Volume — 278 contracts
  • 2022-11-10: Largest IV drop — 13.0% change
  • 2022-11-08: Highest IV Rank — 67.2%
  • 2022-11-01: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$172.72$159.15$180.48$163.13$180.48
Max Pain$154.76$152.00$164.00$164.00$155.00
ATM IV26.1%21.4%31.8%30.0%24.7%
Expected Move7.3%6.1%8.6%8.6%7.1%
HV 20d30.2%27.8%34.5%27.8%31.5%
HV 60d30.7%28.7%32.0%29.1%31.1%
IV Rank46.3%27.1%67.2%60.7%39.1%
IV Percentile55.9%23.4%90.5%82.9%45.2%
Term Structure-0.9%-3.4%1.2%-2.3%-0.0%
VWIV26.0%21.1%29.7%29.7%21.1%
Skew 25d3.0%-4.4%8.4%-0.4%1.3%
Skew 10d6.5%-3.4%11.6%1.3%6.7%
Call IV 25d24.2%19.9%29.1%27.1%25.9%
Put IV 25d27.1%18.0%31.6%26.6%27.2%
Bid-Ask Spread %62.8230.7098.3190.1179.21
Gamma HHI0.140.080.590.080.13
Net GEX72.6K27.6K204.4K45.0K69.0K
Net DEX-1.1M-1.8M-104.9K-499.5K-1.2M
Net VEX-3.4K-3.8K-2.7K-3.5K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.241.041.031.00
Total Volume183.95202782196
Total OI200.19110258202145

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$163.13$164.0030.0%8.6%27.8%60.7%29.7%-0.4%-2.3%45.0K-499.5K-3.5K1.0390.11N/AN/A10811116438
2022-11-02$159.15$164.0027.2%7.8%29.2%50.9%26.1%-1.7%-1.5%37.4K-309.6K-3.1K1.0498.31N/AN/A10811216439
2022-11-03$159.70$152.0028.7%7.8%28.7%56.2%26.7%6.3%-0.2%27.6K-104.9K-2.7K0.9551.19N/AN/A11811216441
2022-11-04$165.07$152.0028.4%7.5%28.6%55.2%25.3%5.3%-0.5%48.5K-525.1K-3.4K0.9649.59N/AN/A11911417441
2022-11-07$166.35$152.0029.5%7.9%28.6%59.1%25.3%4.2%-2.7%56.0K-663.0K-3.4K0.9736.46N/AN/A12512117441
2022-11-08$169.68$152.0031.8%7.7%28.6%67.2%27.0%3.4%-1.7%69.8K-991.7K-3.6K0.9837.63N/AN/A13213018048
2022-11-09$165.54$152.0028.4%8.1%30.5%55.3%28.9%4.0%-2.0%53.7K-703.3K-3.7K0.9930.70N/AN/A13113018758
2022-11-10$174.69$152.0024.7%7.1%34.5%42.4%25.7%2.5%0.7%78.9K-1.4M-3.4K0.9843.96N/AN/A13413118258
2022-11-11$177.52$152.0023.7%6.8%31.8%38.9%26.5%1.9%0.2%98.3K-1.7M-3.5K1.0053.27N/AN/A13513518759
2022-11-14$178.10$154.0024.4%7.0%31.2%41.4%28.1%6.0%1.0%98.8K-1.8M-3.3K1.0050.12N/AN/A13513519063
2022-11-15$177.35$154.0024.9%7.1%31.3%43.1%26.1%3.1%0.2%95.1K-1.7M-3.2K0.9956.70N/AN/A13813619063
2022-11-16$175.60$155.0024.4%7.0%31.1%41.3%26.1%5.5%1.2%91.9K-1.6M-3.3K0.9855.11N/AN/A13913619164
2022-11-17$173.04$155.0024.1%6.9%31.6%40.1%25.7%8.4%1.1%76.8K-1.4M-3.2K0.9958.04N/AN/A13913819264
2022-11-18$174.87$155.0026.9%7.7%29.5%49.9%25.1%1.2%-3.4%204.4K-1.5M-3.1K1.0069.57N/AN/A13913919266
2022-11-21$175.20$155.0025.8%7.4%29.3%46.2%26.4%3.5%-2.0%45.6K-820.4K-3.1K0.2663.23N/AN/A65179416
2022-11-22$179.30$155.0024.2%6.9%29.5%37.1%21.3%0.5%-0.8%58.9K-1.0M-3.3K0.2472.15N/AN/A741810516
2022-11-23$179.98$155.0021.4%6.1%29.5%27.1%21.1%5.3%-0.7%66.9K-1.2M-3.5K0.2884.74N/AN/A742111517
2022-11-25$179.97$155.0023.2%6.6%29.4%33.6%0.0%-4.4%-0.6%66.4K-1.2M-3.7K1.0088.58N/AN/A1111522
2022-11-28$175.89$155.0025.7%7.4%31.0%43.0%0.0%2.7%-1.3%66.3K-986.7K-3.7K1.0081.73N/AN/A3311723
2022-11-29$176.49$155.0026.1%7.5%30.8%44.1%0.0%4.2%-3.3%68.7K-999.2K-3.8K0.0068.82N/AN/A0011926
2022-11-30$180.48$155.0024.7%7.1%31.5%39.1%0.0%1.3%-0.0%69.0K-1.2M-3.7K0.0079.21N/AN/A0611926