VAW Options History — August 2023

In August 2023, VAW traded between $177.36 and $188.58. ATM implied volatility averaged 15.9%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.0% (HV 20d: 11.9%). Max pain ranged from $174.00 to $183.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.41.

Notable Days

  • 2023-08-09: Highest Volume — 22 contracts
  • 2023-08-29: Largest IV drop — 12.4% change
  • 2023-08-17: Highest IV Rank — 14.5%
  • 2023-08-17: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$181.18$177.36$188.58$188.58$182.67
Max Pain$181.52$174.00$183.00$174.00$181.00
ATM IV15.9%11.2%18.1%14.9%11.2%
Expected Move4.5%3.2%5.2%4.3%3.2%
HV 20d11.9%9.6%16.2%16.2%10.5%
HV 60d16.1%14.2%16.7%16.7%14.2%
IV Rank8.3%0.0%14.5%5.3%0.0%
IV Percentile12.5%0.0%23.8%6.7%0.0%
Term Structure1.4%-1.9%3.9%-1.9%3.5%
VWIV16.1%9.4%27.3%27.3%9.4%
Skew 25d3.0%1.5%9.1%1.8%3.1%
Skew 10d3.4%-5.4%9.3%-1.7%4.1%
Call IV 25d14.1%8.8%16.0%11.6%10.5%
Put IV 25d17.2%13.2%19.7%13.4%13.6%
Bid-Ask Spread %59.5132.39113.80104.4370.70
Gamma HHI0.120.090.180.100.17
Net GEX98.0K50.1K174.0K174.0K108.7K
Net DEX-799.5K-1.6M-459.1K-1.6M-895.0K
Net VEX-3.3K-4.1K-3.0K-3.5K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.003.001.001.20
Total Volume7.17402240
Total OI159.826106194180142

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$188.58$174.0014.9%4.3%16.2%5.3%0.0%1.8%-1.9%174.0K-1.6M-3.5K1.00104.43N/AN/A2214931
2023-08-02$185.55$174.0016.3%4.7%14.7%9.3%27.3%1.5%0.6%151.1K-1.3M-3.5K0.0093.49N/AN/A15014733
2023-08-03$184.50$183.0016.5%4.6%13.9%9.7%16.2%2.9%1.0%145.0K-1.1M-3.6K0.0032.39N/AN/A4014633
2023-08-04$183.88$183.0017.0%4.7%12.9%11.4%0.0%2.6%0.7%144.7K-1.1M-3.5K0.0036.92N/AN/A4014833
2023-08-07$184.61$183.0015.3%4.2%12.8%6.4%0.0%2.7%3.9%155.3K-1.1M-3.4K0.0041.90N/AN/A1014933
2023-08-08$183.25$183.0016.5%4.8%12.8%9.9%14.9%2.4%1.7%135.1K-951.0K-3.3K0.0037.76N/AN/A14014933
2023-08-09$182.47$183.0016.7%4.8%11.7%10.3%17.2%4.0%1.4%107.3K-800.2K-3.1K0.2240.28N/AN/A18414133
2023-08-10$181.89$183.0015.9%4.6%11.4%8.1%0.0%3.1%1.3%121.9K-919.0K-3.8K0.0045.51N/AN/A1015836
2023-08-11$181.70$183.0016.1%4.6%11.1%8.5%16.0%3.1%1.5%104.7K-862.8K-3.6K0.4345.72N/AN/A7315836
2023-08-14$182.38$183.0015.8%4.5%11.2%7.6%0.0%3.3%2.0%115.3K-893.6K-3.4K0.0046.61N/AN/A0015736
2023-08-15$179.19$183.0017.6%5.0%12.4%13.0%16.1%1.9%-0.5%81.3K-600.0K-3.2K0.0060.68N/AN/A6015736
2023-08-16$178.35$183.0017.5%5.0%12.4%12.6%15.4%3.4%0.1%65.3K-497.6K-3.1K0.0057.12N/AN/A5015436
2023-08-17$177.75$183.0018.1%5.2%12.4%14.5%15.8%3.1%0.5%58.6K-519.2K-3.0K0.0657.83N/AN/A16115433
2023-08-18$178.03$183.0017.8%5.1%12.4%13.8%17.8%3.7%0.9%60.1K-545.9K-3.1K0.3356.27N/AN/A3115533
2023-08-21$177.84$181.0016.8%4.8%12.4%10.7%16.1%2.9%1.1%50.1K-484.3K-3.0K0.1451.92N/AN/A718917
2023-08-22$177.47$181.0017.2%4.9%9.8%11.9%14.5%3.1%1.4%55.0K-479.2K-3.1K0.0060.21N/AN/A309518
2023-08-23$178.01$181.0016.0%4.6%10.1%8.4%17.1%3.1%1.9%54.5K-491.0K-3.0K2.0056.42N/AN/A129518
2023-08-24$177.36$181.0016.2%4.6%9.9%8.9%15.5%2.6%1.9%52.7K-459.1K-3.0K0.1360.73N/AN/A819618
2023-08-25$178.00$182.0015.2%4.4%9.6%6.0%0.0%2.4%2.5%54.1K-492.9K-3.1K0.0066.88N/AN/A109819
2023-08-28$179.03$182.0014.6%4.2%9.6%4.2%14.2%2.6%1.8%59.9K-546.6K-3.1K3.0063.00N/AN/A139919
2023-08-29$182.09$181.0012.8%3.7%11.9%0.0%14.7%1.5%3.1%85.2K-751.7K-3.2K0.1968.26N/AN/A16310020
2023-08-30$182.49$181.0012.7%3.6%10.7%0.0%9.4%9.1%1.9%113.0K-932.1K-3.8K1.20113.80N/AN/A5611620
2023-08-31$182.67$181.0011.2%3.2%10.5%0.0%0.0%3.1%3.5%108.7K-895.0K-4.1K0.0070.70N/AN/A0011923