VAW Options History — September 2023

In September 2023, VAW traded between $171.47 and $184.76. ATM implied volatility averaged 14.2%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.4% (HV 20d: 13.9%). Max pain ranged from $176.00 to $181.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.19.

Notable Days

2023-09-14: Highest Volume — 34 contracts
2023-09-06: Largest IV spike — 52.6% change
2023-09-26: Highest IV Rank — 24.0%
2023-09-26: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$177.08	$171.47	$184.76	$184.76	$172.44
Max Pain	$179.75	$176.00	$181.00	$181.00	$176.00
ATM IV	14.2%	8.7%	18.0%	11.3%	16.0%
Expected Move	4.3%	3.2%	5.2%	3.2%	4.6%
HV 20d	13.9%	11.3%	16.0%	11.3%	14.7%
HV 60d	14.3%	13.4%	14.7%	14.2%	13.4%
IV Rank	14.0%	0.0%	24.0%	0.2%	19.0%
IV Percentile	10.6%	0.0%	32.5%	0.4%	21.8%
Term Structure	1.4%	0.4%	3.4%	2.9%	1.9%
VWIV	14.4%	10.6%	19.7%	10.6%	19.7%
Skew 25d	2.5%	0.1%	4.4%	1.8%	3.4%
Skew 10d	3.1%	-1.9%	7.0%	6.8%	5.0%
Call IV 25d	13.7%	10.0%	15.9%	10.0%	14.5%
Put IV 25d	16.2%	11.7%	20.0%	11.8%	17.9%
Bid-Ask Spread %	55.90	25.70	92.84	83.88	64.00
Gamma HHI	0.10	0.07	0.18	0.18	0.07
Net GEX	65.8K	32.6K	127.1K	127.1K	48.5K
Net DEX	-518.2K	-1.1M	-156.6K	-1.1M	-269.5K
Net VEX	-3.7K	-4.4K	-3.3K	-4.1K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.00	0.29	0.00
Total Volume	6.7	0	34	9	1
Total OI	154.4	142	173	142	167

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
2023-09-01	$184.76	$181.00	11.3%	3.2%	11.3%	0.2%	10.6%	1.8%	2.9%	127.1K	-1.1M	-4.1K	0.29	83.88	N/A	N/A	7	2	119	23
2023-09-05	$181.16	$180.00	8.7%	3.9%	13.2%	0.0%	0.0%	0.5%	0.5%	111.6K	-841.6K	-4.0K	0.00	50.99	N/A	N/A	0	0	125	24
2023-09-06	$180.07	$180.00	13.3%	4.4%	13.1%	11.8%	0.0%	2.6%	1.2%	77.5K	-669.7K	-3.9K	0.00	25.70	N/A	N/A	3	0	125	24
2023-09-07	$178.94	$180.00	13.5%	4.5%	13.2%	12.4%	0.0%	2.8%	1.2%	60.9K	-560.7K	-3.6K	0.00	29.81	N/A	N/A	0	0	123	24
2023-09-08	$178.86	$180.00	12.4%	4.3%	13.2%	9.7%	0.0%	2.6%	3.4%	50.2K	-575.9K	-3.6K	0.00	35.22	N/A	N/A	7	0	123	24
2023-09-11	$179.44	$180.00	14.1%	4.3%	13.3%	14.1%	14.1%	2.5%	1.6%	50.9K	-607.5K	-3.6K	0.00	36.97	N/A	N/A	3	0	124	24
2023-09-12	$178.97	$180.00	14.7%	4.3%	13.2%	15.6%	14.6%	2.4%	1.1%	42.3K	-529.3K	-3.5K	0.50	38.82	N/A	N/A	2	1	124	24
2023-09-13	$178.11	$180.00	14.3%	4.1%	11.7%	14.4%	0.0%	0.1%	1.0%	53.3K	-500.8K	-3.3K	0.00	92.84	N/A	N/A	0	0	125	23
2023-09-14	$181.08	$180.00	13.4%	3.8%	13.0%	12.1%	13.2%	2.5%	0.9%	56.5K	-725.9K	-3.5K	0.36	40.80	N/A	N/A	25	9	125	22
2023-09-15	$178.80	$180.00	13.7%	3.9%	13.8%	12.9%	12.9%	2.3%	1.8%	61.3K	-600.9K	-4.3K	0.00	46.73	N/A	N/A	2	0	144	29
2023-09-18	$178.32	$180.00	13.9%	4.0%	13.8%	13.4%	13.5%	2.3%	1.5%	85.8K	-618.0K	-4.2K	0.07	41.48	N/A	N/A	14	1	121	22
2023-09-19	$178.14	$180.00	13.6%	3.9%	13.8%	12.6%	0.0%	1.8%	1.5%	102.7K	-690.3K	-4.4K	0.00	54.67	N/A	N/A	2	0	133	23
2023-09-20	$176.50	$180.00	14.3%	4.1%	14.2%	14.6%	0.0%	1.6%	1.4%	92.8K	-550.6K	-4.1K	0.00	66.85	N/A	N/A	2	0	132	23
2023-09-21	$173.31	$180.00	16.1%	4.6%	15.5%	19.2%	16.4%	2.3%	1.5%	70.1K	-339.2K	-3.6K	0.38	73.20	N/A	N/A	21	8	133	23
2023-09-22	$172.91	$180.00	15.7%	4.5%	15.5%	18.2%	0.0%	4.1%	0.9%	49.7K	-250.0K	-3.5K	0.00	69.06	N/A	N/A	6	0	130	31
2023-09-25	$173.88	$180.00	15.5%	4.5%	15.6%	17.7%	0.0%	2.3%	0.7%	51.9K	-299.1K	-3.6K	0.00	61.75	N/A	N/A	0	0	131	31
2023-09-26	$171.47	$180.00	18.0%	5.2%	16.0%	24.0%	0.0%	3.6%	0.4%	32.6K	-156.6K	-3.3K	0.50	72.91	N/A	N/A	4	2	131	31
2023-09-27	$171.53	$180.00	15.5%	4.4%	14.4%	17.6%	19.7%	4.4%	1.8%	38.2K	-171.3K	-3.3K	0.00	68.85	N/A	N/A	6	0	131	31
2023-09-28	$172.84	$178.00	16.6%	4.7%	14.7%	20.3%	0.0%	3.8%	0.7%	53.3K	-318.3K	-3.7K	1.00	63.48	N/A	N/A	3	3	135	31
2023-09-29	$172.44	$176.00	16.0%	4.6%	14.7%	19.0%	0.0%	3.4%	1.9%	48.5K	-269.5K	-3.5K	0.00	64.00	N/A	N/A	1	0	135	32