VAW Options History — November 2023

In November 2023, VAW traded between $166.24 and $180.37. ATM implied volatility averaged 14.9%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 4.3% (HV 20d: 19.2%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 3.70.

Notable Days

  • 2023-11-07: Highest Volume — 51 contracts
  • 2023-11-27: Largest IV spike — 15.1% change
  • 2023-11-01: Highest IV Rank — 26.4%
  • 2023-11-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$173.78$166.24$180.37$166.24$180.37
Max Pain$161.67$160.00$165.00$165.00$163.00
ATM IV14.9%11.8%18.9%18.9%13.0%
Expected Move4.3%3.4%5.4%5.4%3.7%
HV 20d19.2%17.1%22.9%17.8%17.3%
HV 60d16.8%14.8%17.7%14.8%16.8%
IV Rank15.9%7.9%26.4%26.4%11.2%
IV Percentile14.6%1.2%43.3%43.3%2.8%
Term Structure0.9%-0.3%2.2%0.0%1.5%
VWIV15.4%10.8%19.3%17.7%10.8%
Skew 25d2.5%1.0%4.5%4.1%1.4%
Skew 10d4.5%0.5%7.5%1.6%0.5%
Call IV 25d13.7%11.1%16.4%16.4%12.5%
Put IV 25d16.2%13.6%20.5%20.5%13.9%
Bid-Ask Spread %75.4347.42102.6690.78101.21
Gamma HHI0.100.060.210.070.09
Net GEX67.3K-11.0K120.5K38.8K88.0K
Net DEX-553.3K-952.3K-1.8K-203.2K-952.3K
Net VEX-3.0K-3.8K-2.1K-2.3K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.700.0050.000.100.00
Total Volume9.286051113
Total OI167.143121228175139

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$166.24$165.0018.9%5.4%17.8%26.4%17.7%4.1%0.0%38.8K-203.2K-2.3K0.1090.78N/AN/A10115520
2023-11-02$169.47$160.0016.6%5.0%19.0%20.5%0.0%3.8%-0.3%53.3K-364.2K-2.6K0.0047.42N/AN/A0015419
2023-11-03$173.01$160.0015.0%4.6%20.1%16.4%0.0%3.2%0.6%82.2K-560.8K-3.0K0.0058.91N/AN/A3015419
2023-11-06$171.32$160.0016.4%4.9%20.4%19.8%19.3%4.5%0.4%67.0K-448.8K-2.6K0.5051.25N/AN/A2115619
2023-11-07$168.84$160.0016.0%4.8%20.6%18.9%18.4%3.7%0.9%48.3K-313.9K-2.4K50.0052.73N/AN/A15015820
2023-11-08$169.20$163.0016.5%4.7%20.6%20.2%0.0%3.1%0.8%6.0K-139.1K-3.1K0.0054.45N/AN/A1015969
2023-11-09$167.53$163.0016.5%4.7%20.1%20.1%0.0%3.0%1.2%-11.0K-1.8K-3.0K0.0057.05N/AN/A0015969
2023-11-10$169.32$163.0015.9%4.6%20.4%18.7%17.8%3.0%0.7%2.0K-130.5K-3.0K0.0062.13N/AN/A05115969
2023-11-13$169.27$160.0015.6%4.5%19.9%17.8%0.0%2.6%1.4%39.5K-293.5K-2.1K0.0069.12N/AN/A2015921
2023-11-14$174.91$160.0015.0%4.3%22.9%16.4%0.0%1.6%0.9%108.7K-672.7K-2.6K0.4076.47N/AN/A5215721
2023-11-15$175.63$160.0014.5%4.1%20.8%14.9%0.0%1.0%1.6%117.0K-742.7K-2.8K0.0080.12N/AN/A0015821
2023-11-16$175.55$160.0014.4%4.1%20.0%14.6%0.0%1.9%0.5%117.9K-751.7K-2.8K0.0080.08N/AN/A10015821
2023-11-17$176.04$160.0014.4%4.1%19.4%14.8%16.0%1.7%0.8%120.5K-875.7K-3.1K0.1380.53N/AN/A23316821
2023-11-20$176.69$163.0014.2%4.1%18.7%14.3%0.0%1.9%-0.1%62.7K-650.5K-3.2K0.0081.10N/AN/A4010516
2023-11-21$176.87$163.0013.4%3.8%18.5%12.1%12.9%1.6%1.0%68.0K-679.6K-3.3K0.1781.10N/AN/A6110916
2023-11-22$177.09$163.0013.4%3.8%17.5%12.2%13.5%1.7%1.7%75.1K-723.0K-3.4K0.0083.28N/AN/A0411516
2023-11-24$177.94$160.0011.8%3.4%17.5%7.9%15.0%1.8%2.2%82.1K-774.9K-3.5K0.0085.96N/AN/A0211516
2023-11-27$177.77$163.0013.5%3.9%17.4%12.5%12.6%2.6%1.4%80.0K-748.9K-3.4K0.0090.76N/AN/A4011517
2023-11-28$177.93$163.0013.5%3.9%17.1%12.4%0.0%1.4%0.7%82.2K-783.2K-3.5K0.0096.91N/AN/A0011717
2023-11-29$178.40$163.0013.6%3.9%17.1%12.7%10.8%2.7%0.8%84.6K-808.9K-3.5K0.50102.66N/AN/A4211717
2023-11-30$180.37$163.0013.0%3.7%17.3%11.2%0.0%1.4%1.5%88.0K-952.3K-3.8K0.00101.21N/AN/A3012019