VAW Options History — July 2023

In July 2023, VAW traded between $176.42 and $188.78. ATM implied volatility averaged 15.0%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.1% (HV 20d: 17.1%). Max pain ranged from $166.00 to $174.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.34.

Notable Days

2023-07-21: Highest Volume — 24 contracts
2023-07-05: Largest IV spike — 10.6% change
2023-07-06: Highest IV Rank — 9.7%
2023-07-10: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$183.94	$176.42	$188.78	$183.14	$188.78
Max Pain	$171.30	$166.00	$174.00	$166.00	$174.00
ATM IV	15.0%	13.5%	16.5%	13.5%	14.6%
Expected Move	4.3%	3.9%	4.9%	3.9%	4.2%
HV 20d	17.1%	14.1%	18.6%	14.1%	16.2%
HV 60d	17.5%	16.7%	18.0%	16.7%	16.9%
IV Rank	5.3%	1.2%	9.7%	1.2%	4.3%
IV Percentile	4.1%	0.4%	10.3%	0.4%	3.6%
Term Structure	0.9%	-0.2%	2.5%	1.6%	0.1%
VWIV	15.0%	13.0%	19.1%	14.8%	17.1%
Skew 25d	3.0%	1.5%	5.9%	2.3%	2.9%
Skew 10d	4.6%	-2.6%	8.4%	2.9%	4.6%
Call IV 25d	13.5%	9.9%	15.1%	12.5%	13.4%
Put IV 25d	16.5%	14.8%	19.2%	14.8%	16.3%
Bid-Ask Spread %	76.04	55.11	96.76	86.05	87.79
Gamma HHI	0.09	0.08	0.11	0.10	0.10
Net GEX	124.8K	86.9K	171.2K	112.6K	171.2K
Net DEX	-1.2M	-1.6M	-564.6K	-1.1M	-1.6M
Net VEX	-3.2K	-3.7K	-2.8K	-3.0K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.00	1.00	0.25	0.50
Total Volume	6.25	0	24	5	3
Total OI	157.15	138	179	138	179

Daily Data (20 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
2023-07-03	$183.14	$166.00	13.5%	3.9%	14.1%	1.2%	0.0%	2.3%	1.6%	112.6K	-1.1M	-3.0K	0.25	86.05	N/A	N/A	4	1	115	23
2023-07-05	$178.74	$166.00	15.0%	4.3%	17.0%	5.3%	14.8%	1.5%	0.0%	95.8K	-700.7K	-2.8K	0.00	85.26	N/A	N/A	5	0	115	24
2023-07-06	$176.42	$174.00	16.5%	4.8%	17.6%	9.7%	13.7%	4.0%	0.2%	86.9K	-564.6K	-2.8K	0.80	56.41	N/A	N/A	5	4	120	24
2023-07-07	$179.46	$174.00	14.9%	4.6%	18.1%	5.1%	0.0%	3.2%	1.3%	105.7K	-776.2K	-3.1K	0.00	71.06	N/A	N/A	3	0	120	27
2023-07-10	$179.15	$174.00	16.1%	4.9%	18.1%	8.6%	0.0%	4.1%	0.2%	108.2K	-781.0K	-3.0K	0.00	60.24	N/A	N/A	0	0	122	27
2023-07-11	$181.05	$174.00	15.3%	4.6%	18.0%	6.2%	13.7%	3.6%	1.8%	121.7K	-934.4K	-3.0K	0.00	55.11	N/A	N/A	15	0	122	27
2023-07-12	$183.77	$166.00	15.2%	4.4%	18.6%	6.0%	15.5%	2.9%	1.4%	130.7K	-1.2M	-3.0K	0.50	61.86	N/A	N/A	4	2	123	27
2023-07-13	$185.07	$166.00	14.9%	4.3%	17.6%	5.3%	16.1%	3.4%	1.7%	124.4K	-1.3M	-3.0K	0.20	65.58	N/A	N/A	5	1	124	29
2023-07-14	$183.76	$168.00	15.1%	4.3%	17.7%	5.7%	19.1%	3.5%	1.3%	132.9K	-1.2M	-3.3K	0.00	71.48	N/A	N/A	0	2	129	30
2023-07-17	$184.14	$168.00	15.1%	4.3%	17.4%	5.9%	0.0%	3.2%	1.4%	131.0K	-1.3M	-3.1K	0.00	69.07	N/A	N/A	0	0	129	30
2023-07-18	$185.44	$168.00	14.6%	4.2%	17.5%	4.2%	14.0%	3.4%	2.5%	122.9K	-1.4M	-3.1K	0.00	71.56	N/A	N/A	0	5	129	30
2023-07-19	$184.84	$173.00	14.6%	4.2%	16.9%	4.4%	14.1%	2.7%	1.6%	119.6K	-1.3M	-3.0K	1.00	77.80	N/A	N/A	1	1	129	31
2023-07-20	$184.65	$173.00	14.9%	4.3%	16.9%	5.1%	14.0%	2.5%	-0.2%	98.4K	-1.3M	-3.0K	0.17	87.19	N/A	N/A	6	1	130	32
2023-07-21	$184.91	$173.00	14.8%	4.3%	16.8%	5.0%	0.0%	5.9%	0.3%	104.4K	-1.4M	-3.1K	0.00	96.76	N/A	N/A	24	0	133	32
2023-07-24	$185.09	$173.00	14.1%	4.1%	16.3%	3.0%	15.4%	2.4%	0.9%	131.0K	-1.2M	-3.4K	0.50	81.04	N/A	N/A	4	2	130	25
2023-07-25	$188.47	$174.00	15.2%	4.3%	16.9%	5.9%	14.8%	2.0%	0.1%	138.9K	-1.5M	-3.5K	0.07	79.78	N/A	N/A	15	1	134	27
2023-07-26	$187.78	$174.00	15.0%	4.3%	16.6%	5.6%	0.0%	2.8%	0.3%	149.9K	-1.5M	-3.6K	1.00	82.78	N/A	N/A	1	1	140	28
2023-07-27	$186.48	$174.00	15.6%	4.5%	16.7%	7.2%	14.7%	2.6%	0.5%	146.6K	-1.4M	-3.6K	0.40	84.50	N/A	N/A	5	2	141	29
2023-07-28	$187.75	$174.00	14.0%	4.0%	16.6%	2.5%	13.0%	1.9%	0.5%	162.6K	-1.5M	-3.7K	0.00	89.58	N/A	N/A	2	0	146	31
2023-07-31	$188.78	$174.00	14.6%	4.2%	16.2%	4.3%	17.1%	2.9%	0.1%	171.2K	-1.6M	-3.5K	0.50	87.79	N/A	N/A	2	1	148	31