VAW Options History — February 2023

In February 2023, VAW traded between $177.90 and $189.47. ATM implied volatility averaged 20.7%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.5% (HV 20d: 16.2%). Max pain ranged from $175.00 to $180.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.96.

Notable Days

2023-02-13: Highest Volume — 18 contracts
2023-02-06: Largest IV spike — 26.7% change
2023-02-06: Highest IV Rank — 21.9%
2023-02-01: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$182.43	$177.90	$189.47	$189.47	$181.70
Max Pain	$176.79	$175.00	$180.00	$176.00	$180.00
ATM IV	20.7%	18.0%	23.9%	22.4%	21.0%
Expected Move	5.8%	5.2%	6.4%	6.4%	6.0%
HV 20d	16.2%	14.7%	19.1%	18.1%	15.9%
HV 60d	20.8%	18.7%	24.2%	24.2%	18.7%
IV Rank	11.2%	2.2%	21.9%	16.7%	12.0%
IV Percentile	14.1%	2.4%	36.1%	23.4%	14.3%
Term Structure	0.0%	-2.4%	4.4%	-2.4%	0.7%
VWIV	21.1%	19.2%	24.0%	22.4%	21.3%
Skew 25d	4.2%	1.9%	8.7%	8.7%	2.7%
Skew 10d	5.9%	1.3%	12.1%	4.6%	9.9%
Call IV 25d	18.1%	15.4%	20.1%	15.4%	19.8%
Put IV 25d	22.3%	19.9%	24.9%	24.1%	22.5%
Bid-Ask Spread %	54.32	33.28	97.86	97.86	61.15
Gamma HHI	0.19	0.11	0.29	0.23	0.11
Net GEX	138.6K	59.6K	266.5K	127.5K	74.1K
Net DEX	-1.2M	-1.8M	-702.8K	-1.8M	-977.0K
Net VEX	-4.2K	-4.6K	-3.6K	-4.2K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.00	11.00	0.22	0.00
Total Volume	7.368	0	18	11	7
Total OI	177.105	124	214	184	140

Daily Data (19 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
2023-02-01	$189.47	$176.00	22.4%	6.4%	18.1%	16.7%	22.4%	8.7%	-2.4%	127.5K	-1.8M	-4.2K	0.22	97.86	N/A	N/A	9	2	149	35
2023-02-02	$187.84	$175.00	23.2%	5.9%	18.6%	19.2%	20.5%	2.3%	-0.6%	133.2K	-1.8M	-4.5K	0.83	34.89	N/A	N/A	6	5	155	36
2023-02-03	$185.41	$176.00	18.9%	5.4%	19.1%	5.1%	21.5%	3.0%	4.4%	159.8K	-1.7M	-4.6K	0.00	48.33	N/A	N/A	5	0	161	37
2023-02-06	$183.44	$176.00	23.9%	5.8%	16.0%	21.9%	20.8%	4.4%	0.5%	155.7K	-1.4M	-4.5K	0.00	33.28	N/A	N/A	15	0	156	37
2023-02-07	$184.96	$176.00	22.4%	5.8%	16.1%	16.7%	0.0%	4.2%	-0.9%	164.4K	-1.6M	-4.3K	0.00	35.09	N/A	N/A	0	0	156	37
2023-02-08	$183.59	$176.00	20.4%	5.9%	16.3%	10.2%	0.0%	4.9%	-0.0%	163.3K	-1.4M	-4.3K	0.00	35.10	N/A	N/A	3	0	156	37
2023-02-09	$180.85	$176.00	21.9%	6.3%	16.6%	15.0%	20.0%	3.3%	0.9%	139.5K	-1.2M	-4.2K	11.00	47.90	N/A	N/A	1	11	157	37
2023-02-10	$181.34	$176.00	19.2%	5.5%	16.4%	6.2%	20.1%	8.7%	0.7%	149.1K	-1.0M	-4.0K	0.00	61.57	N/A	N/A	13	0	156	38
2023-02-13	$182.69	$176.00	21.2%	6.1%	16.3%	12.9%	22.0%	4.9%	-2.2%	185.7K	-1.3M	-4.2K	0.13	44.00	N/A	N/A	16	2	168	38
2023-02-14	$183.41	$176.00	18.9%	5.4%	16.0%	5.0%	0.0%	2.7%	0.7%	231.7K	-1.4M	-4.5K	0.00	40.69	N/A	N/A	0	0	173	40
2023-02-15	$183.73	$176.00	18.0%	5.2%	15.3%	2.2%	20.6%	2.9%	1.3%	266.5K	-1.5M	-4.3K	0.00	48.34	N/A	N/A	0	2	173	40
2023-02-16	$182.62	$176.00	18.7%	5.4%	15.1%	4.4%	0.0%	3.5%	0.5%	241.8K	-1.3M	-4.2K	0.50	49.24	N/A	N/A	4	2	173	41
2023-02-17	$180.68	$176.00	19.2%	5.5%	14.7%	5.9%	19.2%	3.3%	1.2%	121.6K	-988.8K	-4.0K	2.00	45.81	N/A	N/A	1	2	173	39
2023-02-21	$177.90	$176.00	21.2%	6.1%	15.6%	12.8%	24.0%	4.2%	0.5%	59.6K	-724.0K	-3.7K	0.25	61.54	N/A	N/A	4	1	106	18
2023-02-22	$178.17	$176.00	20.8%	6.0%	15.6%	11.3%	20.6%	4.2%	-1.5%	64.2K	-744.3K	-3.8K	0.43	64.81	N/A	N/A	7	3	108	18
2023-02-23	$178.72	$180.00	21.5%	6.2%	15.6%	13.7%	0.0%	3.7%	-2.2%	67.3K	-702.8K	-3.6K	0.00	88.30	N/A	N/A	2	0	105	20
2023-02-24	$179.11	$180.00	21.6%	6.2%	15.5%	14.1%	0.0%	7.1%	-0.7%	63.0K	-732.6K	-3.8K	0.00	71.34	N/A	N/A	2	0	106	20
2023-02-27	$180.57	$180.00	19.9%	5.7%	15.8%	8.3%	21.1%	1.9%	-0.5%	65.9K	-831.0K	-3.8K	0.07	62.85	N/A	N/A	14	1	106	20
2023-02-28	$181.70	$180.00	21.0%	6.0%	15.9%	12.0%	21.3%	2.7%	0.7%	74.1K	-977.0K	-4.4K	0.00	61.15	N/A	N/A	7	0	120	20