VAW Options History — April 2023 In April 2023, VAW traded between $171.55 and $179.62. ATM implied volatility averaged 19.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.6% (HV 20d: 19.0%). Max pain ranged from $163.00 to $180.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.42.
Notable Days 2023-04-26 : Highest Volume — 8 contracts2023-04-25 : Largest IV spike — 21.2% change2023-04-25 : Highest IV Rank — 17.8%2023-04-25 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $176.73 $171.55 $179.62 $178.96 $176.09 Max Pain $167.79 $163.00 $180.00 $180.00 $169.00 ATM IV 19.6% 17.0% 22.7% 20.3% 17.0% Expected Move 5.6% 4.9% 6.5% 5.8% 4.9% HV 20d 19.0% 14.0% 25.6% 25.5% 17.7% HV 60d 19.4% 19.0% 20.4% 20.4% 19.5% IV Rank 7.6% 0.0% 17.8% 9.9% 0.0% IV Percentile 8.7% 0.0% 31.3% 9.1% 0.0% Term Structure 0.6% -3.7% 2.7% -0.1% 0.0% VWIV 16.4% 11.0% 20.1% 19.4% 15.4% Skew 25d 4.6% 1.0% 11.0% 5.8% 5.0% Skew 10d 8.1% 0.3% 17.7% 10.4% 4.8% Call IV 25d 17.1% 9.9% 20.7% 17.5% 14.4% Put IV 25d 21.7% 19.1% 23.8% 23.2% 19.4% Bid-Ask Spread % 84.24 60.14 100.73 71.55 93.16 Gamma HHI 0.08 0.07 0.09 0.09 0.08 Net GEX 74.5K 53.6K 93.3K 75.5K 71.8K Net DEX -662.5K -850.5K -369.8K -850.5K -548.8K Net VEX -3.5K -4.3K -2.6K -4.3K -2.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.00 1.00 0.67 1.00 Total Volume 3.053 0 8 5 2 Total OI 170.737 156 178 168 159
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 2023-04-03 $178.96 $180.00 20.3% 5.8% 25.5% 9.9% 19.4% 5.8% -0.1% 75.5K -850.5K -4.3K 0.67 71.55 N/A N/A 3 2 136 32 2023-04-04 $175.37 $180.00 21.1% 6.1% 25.6% 12.6% 0.0% 3.3% -0.3% 66.6K -625.9K -4.0K 0.00 80.09 N/A N/A 3 0 139 34 2023-04-05 $175.00 $180.00 20.1% 5.7% 25.5% 9.1% 0.0% 5.4% 2.6% 64.6K -553.6K -3.8K 0.00 80.21 N/A N/A 1 0 140 34 2023-04-06 $174.74 $163.00 20.0% 6.0% 24.0% 8.8% 19.6% 5.0% 0.9% 62.8K -545.8K -3.8K 0.00 61.10 N/A N/A 3 0 139 34 2023-04-10 $175.86 $163.00 20.8% 6.1% 22.2% 11.5% 0.0% 4.4% 0.7% 66.7K -607.2K -3.7K 1.00 60.14 N/A N/A 1 1 138 34 2023-04-11 $177.97 $163.00 19.6% 5.8% 22.4% 7.5% 0.0% 4.5% 0.4% 79.0K -777.5K -3.9K 0.00 60.43 N/A N/A 1 0 139 35 2023-04-12 $177.53 $163.00 20.3% 5.8% 22.3% 10.0% 0.0% 4.2% 2.0% 76.6K -729.3K -3.8K 0.00 63.28 N/A N/A 0 0 140 35 2023-04-13 $179.62 $163.00 19.6% 5.6% 17.7% 7.6% 0.0% 11.0% 2.5% 87.2K -845.2K -3.9K 0.00 92.93 N/A N/A 0 0 140 35 2023-04-14 $177.82 $163.00 18.4% 5.3% 17.6% 3.7% 0.0% 1.3% 2.7% 78.8K -766.9K -3.8K 0.00 94.89 N/A N/A 0 0 140 35 2023-04-17 $178.44 $163.00 18.8% 5.4% 16.3% 5.0% 20.1% 1.4% 2.6% 83.3K -761.4K -3.5K 1.00 84.55 N/A N/A 1 1 140 35 2023-04-18 $179.47 $167.00 18.1% 5.2% 15.5% 2.5% 11.0% 9.2% 1.7% 93.3K -838.6K -3.5K 1.00 94.05 N/A N/A 2 2 141 36 2023-04-19 $178.72 $163.00 17.7% 5.1% 14.9% 1.4% 0.0% 2.7% 2.7% 89.7K -801.1K -3.4K 0.00 98.71 N/A N/A 0 0 143 35 2023-04-20 $177.99 $163.00 18.7% 5.4% 14.0% 4.7% 17.7% 3.2% -0.5% 80.4K -745.2K -3.3K 0.00 91.19 N/A N/A 0 6 143 35 2023-04-21 $176.49 $169.00 19.5% 5.6% 14.1% 7.2% 0.0% 2.2% -1.6% 75.0K -635.9K -3.2K 0.00 100.73 N/A N/A 6 0 143 35 2023-04-24 $177.87 $169.00 18.7% 5.4% 14.3% 4.6% 17.8% 3.6% -2.2% 83.4K -671.3K -3.1K 0.75 85.39 N/A N/A 4 3 132 24 2023-04-25 $174.14 $169.00 22.7% 6.5% 16.2% 17.8% 15.4% 4.3% -3.7% 61.9K -476.5K -2.9K 0.50 91.76 N/A N/A 4 2 136 25 2023-04-26 $171.55 $169.00 21.3% 6.1% 17.2% 13.2% 16.3% 1.0% -0.6% 53.6K -369.8K -2.6K 0.00 100.73 N/A N/A 8 0 137 25 2023-04-27 $174.18 $169.00 19.3% 5.5% 17.3% 6.6% 11.9% 10.4% 1.8% 64.2K -437.4K -2.8K 0.00 95.75 N/A N/A 2 0 136 25 2023-04-28 $176.09 $169.00 17.0% 4.9% 17.7% 0.0% 15.4% 5.0% 0.0% 71.8K -548.8K -2.8K 1.00 93.16 N/A N/A 1 1 134 25
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