VAW Options History — January 2024

In January 2024, VAW traded between $180.81 and $188.74. ATM implied volatility averaged 14.3%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.5% (HV 20d: 11.8%). Max pain ranged from $155.00 to $181.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2024-01-23: Highest Volume — 16 contracts
  • 2024-01-10: Largest IV spike — 29.8% change
  • 2024-01-17: Highest IV Rank — 25.7%
  • 2024-01-17: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$184.10$180.81$188.74$188.74$182.56
Max Pain$171.43$155.00$181.00$181.00$175.00
ATM IV14.3%11.1%15.8%15.2%14.1%
Expected Move4.2%3.8%4.5%4.4%4.1%
HV 20d11.8%9.8%14.2%14.1%11.4%
HV 60d15.6%14.5%16.8%16.7%14.5%
IV Rank20.3%8.8%25.7%23.5%19.7%
IV Percentile20.0%0.4%37.3%27.4%17.9%
Term Structure0.6%-1.6%3.0%0.6%1.2%
VWIV16.6%13.4%29.7%14.4%13.4%
Skew 25d2.1%1.0%4.3%1.0%3.4%
Skew 10d1.8%-3.8%7.6%1.1%2.1%
Call IV 25d13.3%11.3%15.3%14.0%13.6%
Put IV 25d15.4%14.1%17.3%15.0%17.0%
Bid-Ask Spread %88.5475.83103.3496.52103.34
Gamma HHI0.120.110.130.130.13
Net GEX120.8K82.2K154.8K123.0K118.0K
Net DEX-994.0K-1.4M-708.9K-1.4M-763.2K
Net VEX-3.3K-3.5K-3.1K-3.5K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.003.000.001.50
Total Volume3.76201600
Total OI157.19146171146171

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$188.74$181.0015.2%4.4%14.1%23.5%0.0%1.0%0.6%123.0K-1.4M-3.5K0.0096.52N/AN/A0012521
2024-01-03$186.69$181.0014.8%4.2%14.2%22.2%0.0%1.2%1.0%123.2K-1.3M-3.5K0.0099.80N/AN/A1012521
2024-01-04$186.44$169.0015.2%4.4%12.9%23.6%0.0%2.4%1.3%126.5K-1.2M-3.5K0.0075.83N/AN/A0012521
2024-01-05$186.50$169.0013.5%4.4%12.9%17.2%0.0%1.0%1.4%128.0K-1.2M-3.4K0.0081.40N/AN/A0012521
2024-01-08$187.49$169.0014.8%4.2%12.9%21.9%0.0%2.5%0.8%138.3K-1.3M-3.3K0.0081.94N/AN/A0012621
2024-01-09$185.16$169.0011.1%4.2%13.9%8.8%14.4%2.4%1.4%133.9K-1.1M-3.2K0.3381.99N/AN/A3112621
2024-01-10$184.75$169.0014.4%4.1%13.9%20.7%0.0%1.7%0.8%133.8K-1.1M-3.3K0.0076.47N/AN/A3012922
2024-01-11$184.37$169.0013.6%3.9%13.9%17.9%28.1%2.2%1.2%132.1K-1.0M-3.4K0.0078.21N/AN/A1013222
2024-01-12$184.50$155.0014.1%4.0%12.6%19.5%13.7%1.6%0.2%137.4K-1.1M-3.3K0.0083.60N/AN/A0413322
2024-01-16$182.19$169.0015.4%4.4%11.1%24.2%14.5%1.3%-0.2%97.8K-829.5K-3.1K0.6782.09N/AN/A3213326
2024-01-17$180.81$170.0015.8%4.5%11.3%25.7%14.7%1.3%3.0%82.2K-708.9K-3.2K0.0080.23N/AN/A4013628
2024-01-18$181.62$170.0014.6%4.2%11.1%21.2%14.7%4.1%1.2%92.7K-813.7K-3.2K0.3884.81N/AN/A8313528
2024-01-19$181.99$170.0013.7%3.9%10.7%18.2%14.4%4.3%1.0%96.6K-783.9K-3.2K0.0088.33N/AN/A0213928
2024-01-22$182.98$170.0014.7%4.2%10.4%21.7%14.0%2.0%0.3%109.3K-843.7K-3.2K0.5083.57N/AN/A8412728
2024-01-23$183.72$170.0015.0%4.3%10.1%22.8%29.7%2.2%-1.6%128.8K-968.2K-3.2K0.0092.40N/AN/A16013329
2024-01-24$181.60$175.0013.2%3.8%10.2%16.4%0.0%2.8%1.7%108.5K-724.7K-3.1K0.00102.22N/AN/A0013329
2024-01-25$182.40$175.0014.3%4.1%9.8%20.2%13.9%1.7%-1.1%116.3K-806.3K-3.1K1.0096.80N/AN/A1113329
2024-01-26$182.84$175.0014.3%4.1%10.0%20.3%13.8%1.3%0.0%122.1K-849.3K-3.1K3.0094.11N/AN/A2613429
2024-01-29$183.64$175.0015.2%4.4%10.2%23.4%0.0%1.0%-1.5%134.4K-941.1K-3.2K0.0095.81N/AN/A0113631
2024-01-30$185.09$175.0013.3%3.8%10.7%16.5%13.4%2.8%0.8%154.8K-1.1M-3.1K1.5099.95N/AN/A2313632
2024-01-31$182.56$175.0014.1%4.1%11.4%19.7%0.0%3.4%1.2%118.0K-763.2K-3.1K0.00103.34N/AN/A0013833