VAW Options History — December 2023

In December 2023, VAW traded between $178.53 and $191.76. ATM implied volatility averaged 14.1%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.3% (HV 20d: 14.4%). Max pain ranged from $163.00 to $181.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.21.

Notable Days

2023-12-19: Highest Volume — 19 contracts
2023-12-12: Largest IV drop — 18.8% change
2023-12-11: Highest IV Rank — 21.6%
2023-12-07: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$185.75	$178.53	$191.76	$183.12	$190.26
Max Pain	$177.50	$163.00	$181.00	$163.00	$181.00
ATM IV	14.1%	11.9%	17.1%	14.3%	13.6%
Expected Move	3.9%	3.4%	4.3%	4.1%	3.9%
HV 20d	14.4%	11.1%	16.9%	16.9%	14.4%
HV 60d	17.1%	16.7%	17.5%	17.0%	16.7%
IV Rank	16.4%	8.4%	21.6%	14.5%	17.6%
IV Percentile	12.9%	1.6%	39.7%	11.9%	10.3%
Term Structure	1.0%	-0.6%	2.0%	-0.6%	1.1%
VWIV	13.9%	9.8%	18.8%	9.8%	18.8%
Skew 25d	1.1%	-5.3%	2.9%	0.4%	1.5%
Skew 10d	2.4%	-1.8%	5.6%	4.6%	-0.6%
Call IV 25d	12.9%	11.4%	17.9%	13.7%	12.0%
Put IV 25d	14.0%	12.2%	16.4%	14.1%	13.4%
Bid-Ask Spread %	77.83	48.54	101.68	101.68	97.36
Gamma HHI	0.12	0.09	0.14	0.10	0.13
Net GEX	113.6K	92.5K	124.5K	92.5K	121.2K
Net DEX	-1.4M	-1.8M	-906.0K	-1.1M	-1.6M
Net VEX	-3.9K	-4.2K	-3.4K	-3.9K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.38	0.43	0.00
Total Volume	3.9	0	19	10	0
Total OI	152.45	139	158	139	146

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
2023-12-01	$183.12	$163.00	14.3%	4.1%	16.9%	14.5%	9.8%	0.4%	-0.6%	92.5K	-1.1M	-3.9K	0.43	101.68	N/A	N/A	7	3	120	19
2023-12-04	$181.36	$177.00	14.4%	4.3%	16.3%	14.9%	15.9%	1.8%	0.3%	101.2K	-1.1M	-4.0K	0.36	48.54	N/A	N/A	11	4	127	20
2023-12-05	$178.75	$177.00	16.4%	4.3%	16.8%	20.0%	0.0%	2.4%	0.2%	108.0K	-906.0K	-4.0K	0.00	50.51	N/A	N/A	0	1	136	20
2023-12-06	$178.53	$177.00	15.4%	4.2%	15.7%	17.3%	0.0%	2.9%	1.1%	111.4K	-906.3K	-4.0K	0.00	50.76	N/A	N/A	0	1	136	19
2023-12-07	$179.48	$177.00	16.7%	4.3%	15.7%	20.7%	15.1%	2.8%	-0.6%	110.3K	-964.2K	-4.1K	0.00	51.25	N/A	N/A	0	1	136	20
2023-12-08	$180.35	$178.00	15.3%	3.9%	15.0%	17.2%	0.0%	1.7%	1.1%	116.2K	-1.0M	-4.1K	0.00	59.45	N/A	N/A	1	0	136	21
2023-12-11	$181.13	$178.00	17.1%	3.8%	14.8%	21.6%	0.0%	2.5%	1.4%	117.6K	-1.1M	-4.0K	0.00	63.62	N/A	N/A	0	0	137	21
2023-12-12	$181.76	$178.00	13.8%	3.6%	14.7%	13.3%	0.0%	1.1%	1.4%	118.5K	-1.1M	-3.9K	0.00	66.64	N/A	N/A	0	0	137	21
2023-12-13	$184.77	$178.00	11.9%	3.4%	11.1%	8.4%	0.0%	1.8%	1.6%	109.3K	-1.4M	-4.0K	0.00	85.38	N/A	N/A	2	0	137	21
2023-12-14	$188.34	$178.00	13.0%	3.7%	12.5%	13.3%	12.5%	0.5%	0.9%	106.2K	-1.6M	-3.9K	0.00	92.63	N/A	N/A	1	0	135	21
2023-12-15	$187.43	$178.00	13.0%	3.7%	12.8%	15.7%	13.2%	-5.3%	1.4%	110.2K	-1.6M	-4.0K	0.00	96.61	N/A	N/A	4	0	136	21
2023-12-18	$188.66	$178.00	13.4%	3.8%	12.9%	17.1%	13.1%	1.0%	1.3%	107.2K	-1.5M	-3.9K	0.00	85.28	N/A	N/A	6	0	126	17
2023-12-19	$189.86	$178.00	13.1%	3.8%	12.9%	16.1%	13.2%	1.8%	1.5%	111.2K	-1.7M	-3.8K	1.38	85.59	N/A	N/A	8	11	129	17
2023-12-20	$187.58	$178.00	13.9%	4.0%	14.0%	18.7%	0.0%	0.6%	0.6%	124.5K	-1.5M	-4.2K	0.00	80.12	N/A	N/A	0	0	135	20
2023-12-21	$188.87	$178.00	13.9%	4.0%	14.1%	18.7%	14.7%	0.6%	0.8%	123.7K	-1.6M	-4.2K	0.33	80.41	N/A	N/A	3	1	135	20
2023-12-22	$190.26	$178.00	13.0%	3.7%	14.2%	15.6%	12.9%	-0.6%	1.4%	121.5K	-1.7M	-3.9K	0.00	88.82	N/A	N/A	1	0	132	21
2023-12-26	$191.76	$178.00	13.3%	3.8%	14.1%	16.5%	18.8%	2.9%	1.1%	118.8K	-1.8M	-3.7K	0.00	89.15	N/A	N/A	2	0	133	21
2023-12-27	$191.49	$181.00	12.8%	3.7%	14.2%	14.8%	0.0%	-0.2%	2.0%	123.4K	-1.8M	-3.6K	0.00	90.66	N/A	N/A	10	0	133	21
2023-12-28	$191.29	$181.00	12.9%	3.7%	14.3%	15.3%	0.0%	1.4%	1.6%	118.9K	-1.7M	-3.4K	0.00	92.12	N/A	N/A	0	0	125	21
2023-12-29	$190.26	$181.00	13.6%	3.9%	14.4%	17.6%	0.0%	1.5%	1.1%	121.2K	-1.6M	-3.5K	0.00	97.36	N/A	N/A	0	0	125	21