VAW Options History — June 2023

In June 2023, VAW traded between $166.78 and $182.30. ATM implied volatility averaged 16.2%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.7% (HV 20d: 19.0%). Max pain ranged from $165.00 to $175.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2023-06-09: Highest Volume — 12 contracts
  • 2023-06-07: Largest IV spike — 30.2% change
  • 2023-06-07: Highest IV Rank — 18.2%
  • 2023-06-01: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$176.61$166.78$182.30$166.78$182.30
Max Pain$166.57$165.00$175.00$171.00$166.00
ATM IV16.2%13.1%22.0%18.1%13.1%
Expected Move4.4%3.8%5.2%5.2%3.8%
HV 20d19.0%14.7%20.0%14.7%18.8%
HV 60d17.9%16.7%20.5%18.9%16.7%
IV Rank2.9%0.0%18.2%3.6%0.0%
IV Percentile4.1%0.0%36.1%4.8%0.0%
Term Structure1.2%-0.4%3.0%-0.4%1.9%
VWIV15.3%13.4%18.5%15.7%13.4%
Skew 25d2.8%1.3%3.8%3.8%1.3%
Skew 10d5.4%1.8%12.3%10.0%2.2%
Call IV 25d14.1%12.6%15.8%15.8%12.6%
Put IV 25d16.9%13.9%19.7%19.7%13.9%
Bid-Ask Spread %67.2539.3887.7983.1887.79
Gamma HHI0.080.060.100.060.10
Net GEX72.8K25.8K110.8K25.8K110.8K
Net DEX-587.6K-993.8K-99.1K-99.1K-993.8K
Net VEX-2.9K-3.2K-2.1K-2.1K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.001.000.00
Total Volume3.38101202
Total OI124.524112137112137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$166.78$171.0018.1%5.2%14.7%3.6%0.0%3.8%-0.4%25.8K-99.1K-2.1K0.0083.18N/AN/A009418
2023-06-02$173.16$171.0016.4%4.7%20.0%0.0%15.7%2.3%-0.1%50.6K-347.8K-2.7K1.0081.21N/AN/A449618
2023-06-05$172.72$165.0017.8%4.8%18.7%4.8%18.5%3.5%0.7%49.6K-332.9K-2.6K0.0039.38N/AN/A1009418
2023-06-06$174.14$165.0016.9%4.5%18.9%1.8%0.0%3.5%0.7%59.9K-461.8K-2.8K0.0040.80N/AN/A0010018
2023-06-07$176.28$165.0022.0%4.5%19.2%18.2%0.0%3.3%1.5%67.7K-573.1K-3.0K0.5060.67N/AN/A2110018
2023-06-08$175.59$165.0016.5%4.5%19.2%0.5%0.0%3.5%0.8%68.9K-531.3K-2.9K0.0066.67N/AN/A0010117
2023-06-09$174.18$165.0017.3%4.4%18.9%3.1%14.6%3.4%1.1%61.6K-468.2K-2.7K0.2045.86N/AN/A10210017
2023-06-12$175.12$165.0020.3%4.6%19.0%12.7%0.0%3.0%1.2%74.4K-546.2K-2.9K0.0056.24N/AN/A0010918
2023-06-13$178.59$165.0018.7%4.3%19.9%7.6%0.0%2.4%2.1%86.4K-765.2K-3.1K0.3359.16N/AN/A3110918
2023-06-14$177.74$166.0015.5%4.4%19.2%0.0%0.0%3.3%1.7%87.5K-732.6K-3.2K0.0059.82N/AN/A1011218
2023-06-15$179.59$166.0015.1%4.3%19.3%0.0%15.8%2.3%-0.3%93.9K-824.7K-3.2K0.0062.41N/AN/A3011318
2023-06-16$179.31$166.0014.9%4.3%19.3%0.0%0.0%2.5%1.0%95.6K-819.7K-3.2K0.0069.06N/AN/A2011418
2023-06-20$177.25$166.0016.4%4.7%19.9%4.8%16.5%3.3%1.1%66.3K-591.3K-2.9K0.0063.03N/AN/A0110417
2023-06-21$177.72$166.0015.4%4.4%19.8%1.7%16.0%2.2%0.4%68.2K-573.5K-2.9K0.0070.23N/AN/A0210418
2023-06-22$176.97$166.0014.9%4.3%19.3%0.1%15.0%2.6%1.7%63.2K-540.9K-2.9K0.0074.83N/AN/A0110420
2023-06-23$175.44$166.0015.2%4.4%18.7%1.0%13.6%3.0%3.0%57.2K-461.8K-2.8K0.0074.86N/AN/A0210421
2023-06-26$177.35$166.0014.0%4.0%18.8%0.0%14.4%2.3%2.8%62.9K-541.5K-2.8K0.0079.54N/AN/A10010423
2023-06-27$179.76$166.0014.3%4.1%19.2%0.9%0.0%2.1%1.5%92.2K-758.2K-3.0K0.0081.00N/AN/A1011423
2023-06-28$178.59$166.0014.2%4.1%19.2%0.6%14.7%2.3%0.6%87.7K-670.5K-2.9K0.0080.55N/AN/A0111423
2023-06-29$180.15$175.0014.1%4.0%18.7%0.3%13.4%1.9%1.2%99.0K-705.6K-3.0K0.0076.02N/AN/A8010722
2023-06-30$182.30$166.0013.1%3.8%18.8%0.0%0.0%1.3%1.9%110.8K-993.8K-3.1K0.0087.79N/AN/A0211522