VAW Options History — October 2023

In October 2023, VAW traded between $162.66 and $172.82. ATM implied volatility averaged 19.5%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.5% (HV 20d: 16.0%). Max pain ranged from $160.00 to $176.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.26.

Notable Days

  • 2023-10-27: Highest Volume — 14 contracts
  • 2023-10-18: Largest IV spike — 17.9% change
  • 2023-10-19: Highest IV Rank — 35.7%
  • 2023-10-19: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$168.07$162.66$172.82$169.66$165.87
Max Pain$167.82$160.00$176.00$176.00$160.00
ATM IV19.5%16.4%22.5%17.7%19.7%
Expected Move5.6%5.0%6.5%5.1%5.7%
HV 20d16.0%13.2%18.1%14.4%18.1%
HV 60d13.8%12.8%14.9%13.2%14.9%
IV Rank27.9%20.0%35.7%23.2%28.5%
IV Percentile47.4%24.6%71.8%32.1%51.2%
Term Structure0.1%-3.0%1.9%0.5%0.3%
VWIV18.4%14.9%22.8%16.4%16.4%
Skew 25d4.4%2.6%5.8%3.4%3.9%
Skew 10d6.5%4.1%12.2%4.6%11.1%
Call IV 25d17.2%14.2%19.4%16.0%17.0%
Put IV 25d21.5%18.8%24.0%19.4%20.9%
Bid-Ask Spread %67.5944.6988.4772.5388.47
Gamma HHI0.080.060.130.070.08
Net GEX33.0K15.2K44.0K31.2K44.0K
Net DEX-157.3K-337.8K-14.6K-112.8K-279.9K
Net VEX-2.9K-3.7K-2.2K-3.1K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.001.001.000.00
Total Volume4.45501421
Total OI179.591164201168180

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$169.66$176.0017.7%5.1%14.4%23.2%0.0%3.4%0.5%31.2K-112.8K-3.1K1.0072.53N/AN/A1113632
2023-10-03$169.44$176.0020.7%5.9%13.2%31.1%0.0%4.8%-0.8%34.7K-124.2K-3.2K0.0072.74N/AN/A0013733
2023-10-04$170.85$176.0019.1%5.5%13.8%26.9%0.0%2.6%-1.1%37.2K-181.1K-3.3K0.0074.06N/AN/A6013733
2023-10-05$169.37$165.0019.6%5.8%13.9%28.2%0.0%4.2%-1.8%33.8K-124.4K-3.3K0.0058.69N/AN/A1014233
2023-10-06$171.00$165.0017.4%5.3%14.6%22.4%16.4%4.6%1.9%40.8K-205.2K-3.3K0.8060.02N/AN/A5414333
2023-10-09$170.70$170.0017.8%5.4%14.4%23.7%16.1%4.5%0.7%35.8K-190.4K-3.3K0.5052.02N/AN/A2114535
2023-10-10$172.81$170.0016.4%5.2%15.3%20.0%18.8%4.4%1.0%43.4K-333.2K-3.6K0.1446.48N/AN/A7114736
2023-10-11$172.82$170.0017.5%5.0%15.3%22.7%0.0%3.7%1.2%43.4K-336.9K-3.7K1.0044.69N/AN/A1115236
2023-10-12$170.01$170.0017.8%5.1%14.6%23.4%0.0%4.4%1.1%25.4K-97.3K-3.1K0.0052.70N/AN/A0115136
2023-10-13$169.07$170.0019.3%5.5%14.2%27.4%0.0%4.9%0.5%25.4K-78.1K-3.1K0.0052.93N/AN/A0015136
2023-10-16$171.13$170.0017.4%5.0%15.2%22.6%14.9%3.5%1.7%16.2K-181.2K-3.1K0.0054.53N/AN/A7015136
2023-10-17$172.75$170.0017.4%5.0%15.7%22.5%0.0%4.6%1.3%15.2K-337.8K-3.5K0.0062.30N/AN/A7015836
2023-10-18$168.41$170.0020.5%5.9%17.7%30.6%0.0%4.5%0.5%36.8K-18.7K-3.0K0.0074.86N/AN/A0016536
2023-10-19$166.17$170.0022.5%6.5%17.2%35.7%16.5%5.2%-3.0%34.6K-58.2K-2.6K0.0073.73N/AN/A5016526
2023-10-20$164.59$170.0021.5%6.2%17.4%33.1%22.8%3.9%-0.6%30.0K-81.6K-2.7K0.5078.26N/AN/A2116624
2023-10-23$162.86$170.0020.5%5.9%17.3%30.6%18.7%5.8%0.3%25.0K-14.6K-2.3K0.2074.18N/AN/A10214424
2023-10-24$164.78$162.0019.6%5.6%17.6%28.1%18.1%4.8%-0.8%30.5K-100.0K-2.4K0.0069.59N/AN/A4014222
2023-10-25$162.66$162.0021.8%6.2%18.0%33.7%20.9%4.7%-0.0%26.0K-33.0K-2.2K0.3380.16N/AN/A9314622
2023-10-26$163.92$160.0021.4%6.1%18.0%32.9%0.0%5.1%-0.4%36.5K-156.8K-2.4K0.0081.27N/AN/A0015220
2023-10-27$163.35$160.0022.4%6.4%18.0%35.4%22.6%4.6%-0.6%35.2K-143.6K-2.4K0.0080.53N/AN/A14015220
2023-10-30$165.38$160.0020.9%6.0%18.0%31.5%16.4%4.1%0.0%43.7K-271.0K-2.5K0.0082.18N/AN/A1016020
2023-10-31$165.87$160.0019.7%5.7%18.1%28.5%0.0%3.9%0.3%44.0K-279.9K-2.5K0.0088.47N/AN/A1016020