VAW Options History — May 2023

In May 2023, VAW traded between $165.22 and $176.20. ATM implied volatility averaged 19.3%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.0% (HV 20d: 16.4%). Max pain ranged from $166.00 to $171.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2023-05-26: Highest Volume — 13 contracts
  • 2023-05-05: Largest IV drop — 18.7% change
  • 2023-05-04: Highest IV Rank — 17.6%
  • 2023-05-24: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$171.37$165.22$176.20$176.20$165.22
Max Pain$168.14$166.00$171.00$169.00$171.00
ATM IV19.3%17.4%22.3%17.6%20.0%
Expected Move5.6%5.0%6.3%5.0%5.7%
HV 20d16.4%14.2%17.6%17.0%14.2%
HV 60d19.6%19.2%19.8%19.4%19.2%
IV Rank7.7%1.4%17.6%2.1%9.8%
IV Percentile11.9%1.2%34.9%1.6%17.9%
Term Structure0.1%-2.7%2.2%-0.4%-1.2%
VWIV16.8%11.4%20.2%19.4%20.2%
Skew 25d4.0%-1.8%6.5%6.5%3.8%
Skew 10d6.8%1.8%11.1%7.0%10.1%
Call IV 25d17.3%15.3%23.1%15.3%17.7%
Put IV 25d21.3%19.7%23.5%21.8%21.5%
Bid-Ask Spread %67.4133.45103.4894.1280.31
Gamma HHI0.080.060.120.070.06
Net GEX51.2K23.0K76.6K70.7K23.0K
Net DEX-352.7K-547.9K-76.8K-547.9K-76.8K
Net VEX-2.4K-2.7K-2.1K-2.7K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.003.000.000.00
Total Volume4.72701340
Total OI149.727101180160112

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$176.20$169.0017.6%5.0%17.0%2.1%0.0%6.5%-0.4%70.7K-547.9K-2.7K0.0094.12N/AN/A4013426
2023-05-02$174.39$169.0020.6%5.9%16.9%12.0%19.4%4.1%-0.7%61.7K-445.1K-2.6K0.0094.08N/AN/A6013726
2023-05-03$173.08$169.0020.6%5.9%15.6%11.8%11.4%4.9%-1.6%57.3K-408.4K-2.6K0.00100.67N/AN/A2014126
2023-05-04$171.44$170.0022.3%6.3%15.9%17.6%0.0%4.0%0.4%51.2K-353.7K-2.5K0.3342.82N/AN/A3113926
2023-05-05$174.84$170.0018.2%5.4%17.5%3.9%0.0%5.8%1.6%59.8K-453.2K-2.5K0.0033.45N/AN/A0014027
2023-05-08$174.56$170.0018.5%5.6%17.3%5.0%0.0%4.4%1.4%59.0K-469.8K-2.5K3.0040.25N/AN/A2614027
2023-05-09$173.17$170.0019.0%5.5%16.9%6.6%0.0%4.5%1.3%53.2K-416.7K-2.4K0.5039.62N/AN/A2114126
2023-05-10$173.09$170.0019.2%5.5%16.9%7.3%16.8%6.1%0.7%54.4K-430.4K-2.5K0.0081.78N/AN/A3014227
2023-05-11$170.96$170.0020.4%5.9%16.6%11.4%0.0%1.8%-2.7%46.3K-315.4K-2.2K0.0086.60N/AN/A2014326
2023-05-12$171.06$170.0018.4%5.3%16.4%4.7%15.7%-1.8%2.0%48.9K-316.7K-2.2K0.00103.48N/AN/A12014226
2023-05-15$172.69$166.0018.0%5.2%16.8%3.4%17.6%4.5%2.2%63.3K-375.0K-2.6K0.5750.41N/AN/A7415426
2023-05-16$170.27$166.0019.0%5.4%17.1%6.5%17.1%3.9%0.0%48.3K-269.0K-2.4K0.2076.66N/AN/A5115225
2023-05-17$171.42$166.0019.5%5.6%17.4%8.2%0.0%4.5%0.2%56.7K-379.4K-2.4K0.0056.76N/AN/A6015221
2023-05-18$172.54$166.0017.4%5.0%17.6%1.5%0.0%3.7%1.4%62.2K-462.2K-2.7K0.0056.78N/AN/A3015521
2023-05-19$172.80$166.0017.4%5.0%17.5%1.4%17.0%4.4%0.5%76.6K-492.3K-2.7K0.0051.66N/AN/A0115721
2023-05-22$172.35$166.0017.9%5.1%17.2%3.1%16.6%4.1%0.5%46.8K-384.4K-2.5K0.2554.59N/AN/A419110
2023-05-23$170.31$166.0019.3%5.5%16.0%7.7%15.6%3.8%-0.1%43.9K-318.4K-2.5K0.0058.89N/AN/A409411
2023-05-24$167.76$166.0022.1%6.3%16.0%16.7%0.0%2.3%-1.1%38.0K-239.6K-2.3K0.6770.12N/AN/A329411
2023-05-25$167.26$166.0020.5%5.9%14.8%11.5%17.5%4.1%-0.7%36.9K-231.2K-2.2K0.0067.23N/AN/A309511
2023-05-26$167.88$166.0019.4%5.6%14.2%7.9%20.2%3.8%-0.2%41.0K-255.2K-2.3K0.6367.27N/AN/A859712
2023-05-30$166.78$171.0020.0%5.7%14.2%9.8%0.0%4.0%-0.8%26.6K-119.5K-2.3K0.0075.43N/AN/A309218
2023-05-31$165.22$171.0020.0%5.7%14.2%9.8%0.0%3.8%-1.2%23.0K-76.8K-2.1K0.0080.31N/AN/A009418