VAW Options History — March 2023

In March 2023, VAW traded between $166.57 and $187.65. ATM implied volatility averaged 25.0%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.6% (HV 20d: 21.4%). Max pain ranged from $180.00 to $184.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.47.

Notable Days

  • 2023-03-01: Highest Volume — 25 contracts
  • 2023-03-30: Largest IV drop — 22.6% change
  • 2023-03-13: Highest IV Rank — 63.3%
  • 2023-03-15: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.77$166.57$187.65$183.21$177.26
Max Pain$181.13$180.00$184.00$180.00$180.00
ATM IV25.0%17.3%36.4%21.4%21.1%
Expected Move6.7%5.0%8.4%6.1%6.0%
HV 20d21.4%13.9%26.1%14.9%25.8%
HV 60d20.0%18.4%20.8%18.7%20.4%
IV Rank25.4%0.0%63.3%13.5%12.6%
IV Percentile46.2%0.0%96.0%17.5%13.5%
Term Structure-0.1%-2.4%3.9%0.8%-0.2%
VWIV22.8%16.2%28.3%23.0%22.3%
Skew 25d4.4%0.6%8.3%2.7%4.7%
Skew 10d6.1%-1.2%14.3%3.9%7.1%
Call IV 25d21.6%17.7%26.1%21.5%19.2%
Put IV 25d26.0%21.5%31.8%24.2%23.9%
Bid-Ask Spread %62.2831.0494.1654.1165.00
Gamma HHI0.080.060.110.110.09
Net GEX59.3K37.6K94.1K86.5K69.6K
Net DEX-618.7K-1.5M-243.8K-1.1M-756.7K
Net VEX-4.1K-5.2K-3.2K-4.5K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.000.671.00
Total Volume6.043025257
Total OI163.217147173147169

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$183.21$180.0021.4%6.1%14.9%13.5%23.0%2.7%0.8%86.5K-1.1M-4.5K0.6754.11N/AN/A151012720
2023-03-02$185.19$180.0021.8%6.2%13.9%14.6%0.0%4.2%-2.0%88.0K-1.2M-5.1K1.0055.39N/AN/A1113827
2023-03-03$187.65$180.0019.4%5.6%14.5%6.8%21.6%3.8%-0.1%89.2K-1.5M-5.0K0.4064.14N/AN/A5213928
2023-03-06$184.34$184.0021.9%5.8%15.1%15.2%0.0%3.3%-0.7%94.1K-1.2M-5.2K0.0031.04N/AN/A3014329
2023-03-07$180.80$184.0023.1%6.0%16.2%19.2%18.5%3.9%0.6%82.5K-929.0K-5.0K0.0035.08N/AN/A3014230
2023-03-08$181.36$184.0025.4%6.0%15.9%26.9%20.1%4.1%-0.2%83.7K-942.5K-5.0K0.5033.18N/AN/A2114230
2023-03-09$176.94$184.0027.4%6.8%17.9%33.4%0.0%1.3%0.8%72.7K-688.4K-4.7K0.0051.01N/AN/A0014429
2023-03-10$172.39$184.0030.0%7.1%19.4%41.9%26.2%0.6%-1.8%55.6K-473.3K-4.3K0.0062.28N/AN/A14014428
2023-03-13$171.47$182.0036.4%7.6%19.3%63.3%24.6%4.8%1.4%44.5K-365.7K-3.8K0.0070.41N/AN/A5013526
2023-03-14$172.64$182.0031.3%6.8%19.2%46.4%0.0%5.1%1.7%44.7K-398.8K-3.9K0.0062.53N/AN/A9013726
2023-03-15$166.57$182.0029.3%8.4%22.3%39.8%23.9%4.0%-1.2%37.9K-243.8K-3.5K2.0094.16N/AN/A3614525
2023-03-16$169.54$180.0025.9%7.4%23.6%28.2%21.6%8.3%-2.4%47.4K-306.8K-3.3K0.5081.26N/AN/A2114820
2023-03-17$166.95$180.0026.3%7.5%24.0%29.6%28.3%4.5%-1.7%38.8K-259.5K-3.2K0.0068.96N/AN/A0714821
2023-03-20$169.86$180.0023.6%6.8%25.0%20.8%0.0%5.2%-1.3%38.3K-320.3K-3.5K0.0064.80N/AN/A3012526
2023-03-21$172.53$180.0023.5%6.7%25.4%20.3%23.8%5.4%1.1%46.5K-452.1K-3.9K1.0067.52N/AN/A2212626
2023-03-22$170.24$180.0024.3%7.0%25.7%23.1%0.0%4.4%0.2%45.3K-379.5K-3.7K0.0074.10N/AN/A6012727
2023-03-23$169.17$180.0028.4%8.1%25.7%36.7%25.1%3.3%-0.7%37.6K-287.4K-3.4K0.2578.51N/AN/A8212227
2023-03-24$169.65$180.0026.1%7.5%25.7%29.1%0.0%6.6%-0.3%42.2K-351.5K-3.7K0.0069.48N/AN/A2012929
2023-03-27$171.34$180.0025.1%7.2%25.8%25.9%0.0%5.3%-0.7%48.8K-438.0K-3.8K0.0056.57N/AN/A2013129
2023-03-28$171.62$180.0023.2%6.7%25.6%19.4%0.0%5.1%0.4%50.7K-446.1K-3.7K0.0060.50N/AN/A1013329
2023-03-29$174.06$180.0022.4%6.4%26.1%16.6%23.6%6.2%-0.5%58.0K-550.6K-3.9K2.0062.16N/AN/A4813229
2023-03-30$174.89$180.0017.3%5.0%25.7%0.0%16.2%4.2%3.9%61.9K-593.0K-4.1K1.0070.33N/AN/A1113532
2023-03-31$177.26$180.0021.1%6.0%25.8%12.6%22.3%4.7%-0.2%69.6K-756.7K-4.3K0.0065.00N/AN/A0713633