VAW Options History — January 2023

In January 2023, VAW traded between $169.78 and $186.17. ATM implied volatility averaged 22.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.9% (HV 20d: 21.2%). Max pain ranged from $160.00 to $176.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.69.

Notable Days

2023-01-17: Highest Volume — 45 contracts
2023-01-30: Largest IV spike — 13.7% change
2023-01-03: Highest IV Rank — 36.2%
2023-01-03: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$180.09	$169.78	$186.17	$169.78	$186.17
Max Pain	$164.30	$160.00	$176.00	$176.00	$176.00
ATM IV	22.1%	19.2%	26.2%	26.2%	23.1%
Expected Move	6.4%	5.5%	7.5%	7.5%	6.6%
HV 20d	21.2%	17.5%	25.2%	21.1%	17.7%
HV 60d	25.5%	24.0%	27.3%	27.1%	24.0%
IV Rank	17.7%	6.6%	36.2%	36.2%	18.9%
IV Percentile	20.6%	6.3%	54.4%	54.4%	26.6%
Term Structure	-0.3%	-3.2%	1.9%	0.6%	-3.2%
VWIV	22.1%	19.4%	28.5%	28.5%	22.6%
Skew 25d	3.1%	-0.3%	6.1%	6.1%	2.4%
Skew 10d	6.5%	-0.6%	12.7%	7.9%	5.6%
Call IV 25d	21.0%	18.8%	23.4%	23.4%	20.6%
Put IV 25d	24.0%	20.7%	29.5%	29.5%	23.1%
Bid-Ask Spread %	75.69	56.29	105.47	105.47	83.41
Gamma HHI	0.15	0.09	0.24	0.10	0.23
Net GEX	118.5K	59.7K	178.8K	59.7K	130.2K
Net DEX	-1.4M	-1.8M	-554.0K	-588.6K	-1.6M
Net VEX	-4.4K	-4.8K	-4.0K	-4.2K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	3.50	0.00	0.29
Total Volume	10.45	0	45	0	9
Total OI	186.2	170	214	170	181

Daily Data (20 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
2023-01-03	$169.78	$176.00	26.2%	7.5%	21.1%	36.2%	0.0%	6.1%	0.6%	59.7K	-588.6K	-4.2K	0.00	105.47	N/A	N/A	0	0	140	30
2023-01-04	$172.02	$176.00	23.9%	6.8%	20.9%	27.9%	0.0%	2.4%	-2.6%	69.4K	-674.0K	-4.3K	0.00	85.69	N/A	N/A	1	0	140	30
2023-01-05	$170.64	$160.00	23.5%	7.3%	20.9%	25.0%	28.5%	5.7%	0.5%	61.9K	-554.0K	-4.1K	2.00	57.46	N/A	N/A	1	2	141	30
2023-01-06	$176.66	$160.00	21.4%	6.8%	24.7%	16.5%	0.0%	2.4%	0.8%	87.4K	-974.8K	-4.6K	0.33	56.29	N/A	N/A	3	1	142	30
2023-01-09	$177.59	$160.00	23.3%	6.7%	24.7%	22.5%	20.8%	3.6%	0.4%	96.1K	-1.1M	-4.6K	0.50	61.42	N/A	N/A	2	1	145	31
2023-01-10	$178.81	$160.00	22.7%	6.6%	24.7%	20.5%	22.8%	3.1%	0.6%	101.8K	-1.2M	-4.7K	1.00	68.38	N/A	N/A	4	4	146	32
2023-01-11	$181.39	$163.00	23.8%	6.8%	25.2%	24.0%	22.3%	3.9%	0.1%	101.9K	-1.4M	-4.7K	0.50	64.35	N/A	N/A	2	1	148	34
2023-01-12	$182.63	$163.00	21.2%	6.1%	24.7%	15.7%	20.5%	3.4%	0.3%	121.6K	-1.5M	-4.6K	1.00	74.43	N/A	N/A	5	5	150	33
2023-01-13	$184.26	$160.00	19.2%	5.5%	24.3%	9.4%	0.0%	2.1%	1.9%	125.6K	-1.7M	-4.6K	0.00	76.37	N/A	N/A	0	0	155	32
2023-01-17	$182.44	$160.00	21.1%	6.1%	20.2%	12.4%	23.4%	3.4%	0.5%	141.3K	-1.6M	-4.4K	0.13	74.62	N/A	N/A	40	5	155	32
2023-01-18	$180.27	$160.00	22.0%	6.3%	20.9%	15.4%	21.6%	3.3%	-0.1%	173.7K	-1.7M	-4.8K	0.00	74.24	N/A	N/A	3	0	182	32
2023-01-19	$178.75	$160.00	22.7%	6.5%	20.2%	17.6%	20.4%	3.6%	-0.6%	170.9K	-1.4M	-4.5K	0.50	71.60	N/A	N/A	2	1	175	32
2023-01-20	$181.46	$160.00	21.7%	6.2%	20.5%	14.5%	22.3%	2.7%	-0.8%	178.8K	-1.8M	-4.5K	1.00	74.09	N/A	N/A	2	2	178	31
2023-01-23	$182.34	$162.00	22.1%	6.3%	20.4%	15.7%	22.7%	3.5%	-0.7%	127.2K	-1.7M	-4.4K	3.50	75.87	N/A	N/A	4	14	164	28
2023-01-24	$182.53	$170.00	21.9%	6.3%	19.5%	14.9%	21.1%	3.1%	-1.4%	126.6K	-1.7M	-4.6K	0.50	77.16	N/A	N/A	4	2	167	35
2023-01-25	$183.11	$165.00	21.8%	6.2%	19.3%	14.6%	22.0%	3.5%	-2.3%	133.9K	-1.8M	-4.4K	0.06	78.24	N/A	N/A	33	2	168	33
2023-01-26	$183.78	$165.00	19.4%	5.5%	19.3%	6.6%	19.4%	2.6%	-0.2%	112.8K	-1.4M	-4.2K	0.11	84.84	N/A	N/A	9	1	142	35
2023-01-27	$184.18	$165.00	19.7%	5.7%	17.5%	7.8%	19.8%	0.8%	1.7%	128.6K	-1.5M	-4.1K	1.00	88.56	N/A	N/A	3	3	147	34
2023-01-30	$183.00	$165.00	22.4%	6.4%	17.6%	16.9%	23.8%	-0.3%	-2.1%	120.4K	-1.4M	-4.0K	0.06	81.35	N/A	N/A	36	2	148	36
2023-01-31	$186.17	$176.00	23.1%	6.6%	17.7%	18.9%	22.6%	2.4%	-3.2%	130.2K	-1.6M	-4.3K	0.29	83.41	N/A	N/A	7	2	146	35