VAW Options History — December 2022

In December 2022, VAW traded between $169.10 and $183.08. ATM implied volatility averaged 28.0%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.0% (HV 20d: 24.0%). Max pain ranged from $155.00 to $176.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2022-12-19: Highest Volume — 14 contracts
  • 2022-12-14: Largest IV drop — 42.0% change
  • 2022-12-12: Highest IV Rank — 100.0%
  • 2022-12-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.86$169.10$183.08$181.31$169.85
Max Pain$173.90$155.00$176.00$155.00$176.00
ATM IV28.0%21.2%47.4%27.1%24.5%
Expected Move6.9%6.1%7.8%7.8%7.0%
HV 20d24.0%19.0%29.5%29.4%21.6%
HV 60d29.1%27.3%30.8%30.7%27.3%
IV Rank45.7%21.2%100.0%47.9%31.1%
IV Percentile55.2%17.5%100.0%61.5%40.9%
Term Structure1.2%-4.5%5.7%-4.5%5.1%
VWIV23.8%20.2%26.6%26.6%23.5%
Skew 25d2.4%-4.3%7.5%0.1%6.8%
Skew 10d5.4%-1.0%11.8%-0.5%3.5%
Call IV 25d22.7%18.2%26.6%26.6%21.3%
Put IV 25d25.0%17.4%28.7%26.7%28.1%
Bid-Ask Spread %67.3327.4097.9780.3492.85
Gamma HHI0.100.080.130.130.10
Net GEX69.2K50.6K91.7K69.3K58.7K
Net DEX-930.7K-1.5M-495.1K-1.3M-544.7K
Net VEX-4.2K-4.9K-3.7K-3.7K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.002.000.140.00
Total Volume5.76201482
Total OI166.286147182147168

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$181.31$155.0027.1%7.8%29.4%47.9%26.6%0.1%-4.5%69.3K-1.3M-3.7K0.1480.34N/AN/A7111928
2022-12-02$183.08$155.0025.5%7.3%29.4%42.0%24.2%1.1%-0.2%75.2K-1.4M-3.8K0.6783.61N/AN/A3212629
2022-12-05$179.31$175.0029.3%6.7%29.3%56.2%0.0%1.5%0.8%78.1K-1.3M-3.8K0.0051.66N/AN/A12012929
2022-12-06$177.97$175.0028.2%6.8%29.5%52.2%22.1%2.2%2.8%76.4K-1.1M-4.1K2.0039.06N/AN/A2413329
2022-12-07$177.38$176.0034.3%7.0%29.0%74.3%26.4%1.7%2.3%72.1K-1.1M-4.1K0.0027.40N/AN/A5013331
2022-12-08$178.22$176.0035.0%7.2%27.2%77.0%0.0%3.5%-0.3%77.7K-1.2M-4.3K0.0030.17N/AN/A0013831
2022-12-09$177.19$176.0038.0%7.2%19.8%88.1%0.0%1.3%-0.1%75.8K-1.1M-4.2K1.0031.44N/AN/A2213831
2022-12-12$177.97$176.0047.4%7.0%19.0%100.0%0.0%7.3%0.8%78.7K-1.1M-4.2K0.0043.59N/AN/A2014033
2022-12-13$180.72$176.0041.2%6.5%19.8%81.3%0.0%-1.4%-2.3%91.7K-1.5M-4.1K0.0097.97N/AN/A7014233
2022-12-14$178.28$176.0023.9%6.9%20.4%29.4%0.0%-2.0%-0.0%88.2K-1.3M-4.3K0.0092.17N/AN/A0014933
2022-12-15$171.87$176.0023.8%6.8%24.0%29.3%0.0%2.7%-0.8%57.3K-578.1K-4.0K0.0067.20N/AN/A7013233
2022-12-16$171.68$176.0022.1%6.3%23.5%24.1%0.0%0.7%5.7%57.1K-644.4K-4.1K0.0077.56N/AN/A6013933
2022-12-19$169.10$176.0021.9%6.3%23.6%23.6%0.0%7.5%0.8%50.6K-505.3K-3.8K0.0082.69N/AN/A14012427
2022-12-20$170.85$176.0024.5%7.0%24.0%31.1%23.6%2.6%1.4%61.5K-677.4K-4.3K0.4475.14N/AN/A9413427
2022-12-21$172.28$176.0021.2%6.1%22.5%21.2%20.2%3.5%3.4%71.1K-820.2K-4.9K0.0070.92N/AN/A2014331
2022-12-22$169.88$176.0024.1%6.9%22.8%30.0%0.0%3.3%3.3%62.5K-708.6K-4.8K0.0062.86N/AN/A8014531
2022-12-23$171.84$176.0022.7%6.5%23.4%25.8%0.0%5.9%4.2%64.9K-745.8K-4.7K0.5061.13N/AN/A2113931
2022-12-27$172.52$176.0025.1%7.2%22.1%33.0%23.5%2.1%2.1%67.5K-777.6K-4.6K0.0072.06N/AN/A13014130
2022-12-28$169.38$176.0025.7%7.4%22.9%34.8%0.0%3.9%0.2%55.1K-495.1K-4.1K0.0079.71N/AN/A2013430
2022-12-29$171.41$176.0023.1%6.6%21.7%27.0%0.0%-4.3%1.3%63.3K-600.3K-4.4K0.0094.44N/AN/A2013630
2022-12-30$169.85$176.0024.5%7.0%21.6%31.1%0.0%6.8%5.1%58.7K-544.7K-4.2K0.0092.85N/AN/A2013830