VAW Options History — March 2024

In March 2024, VAW traded between $193.55 and $204.62. ATM implied volatility averaged 14.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.1% (HV 20d: 13.0%). Max pain ranged from $185.00 to $197.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.19.

Notable Days

2024-03-01: Highest Volume — 13 contracts
2024-03-05: Largest IV spike — 30.6% change
2024-03-11: Highest IV Rank — 39.7%
2024-03-07: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$198.98	$193.55	$204.62	$193.90	$204.62
Max Pain	$194.95	$185.00	$197.00	$185.00	$197.00
ATM IV	14.1%	11.0%	19.7%	12.2%	11.0%
Expected Move	3.8%	3.2%	4.3%	3.5%	3.2%
HV 20d	13.0%	10.8%	16.7%	16.7%	12.0%
HV 60d	14.0%	13.6%	14.5%	14.3%	13.9%
IV Rank	23.0%	12.8%	39.7%	12.8%	16.2%
IV Percentile	25.1%	0.4%	82.5%	2.8%	0.4%
Term Structure	0.8%	-1.6%	3.8%	-1.6%	2.2%
VWIV	14.5%	12.0%	19.7%	12.9%	19.7%
Skew 25d	1.1%	-2.6%	4.0%	-0.2%	2.4%
Skew 10d	2.8%	-3.0%	8.8%	1.5%	-3.0%
Call IV 25d	12.6%	9.3%	17.0%	13.5%	10.6%
Put IV 25d	13.7%	11.6%	14.9%	13.3%	13.0%
Bid-Ask Spread %	95.65	75.76	106.27	100.69	104.93
Gamma HHI	0.22	0.18	0.33	0.18	0.19
Net GEX	69.8K	49.2K	96.4K	83.7K	49.2K
Net DEX	-1.6M	-1.9M	-1.4M	-1.4M	-1.7M
Net VEX	-3.4K	-4.1K	-2.7K	-4.0K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.00	0.63	0.00
Total Volume	3	0	13	13	2
Total OI	141.75	123	159	146	128

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
2024-03-01	$193.90	$185.00	12.2%	3.5%	16.7%	12.8%	12.9%	-0.2%	-1.6%	83.7K	-1.4M	-4.0K	0.63	100.69	N/A	N/A	8	5	113	33
2024-03-04	$195.25	$194.00	12.9%	3.5%	16.5%	15.2%	13.6%	1.3%	3.8%	93.8K	-1.6M	-3.9K	0.00	86.33	N/A	N/A	2	0	118	34
2024-03-05	$193.55	$194.00	16.8%	4.2%	14.3%	29.4%	0.0%	-1.8%	-0.2%	96.4K	-1.4M	-4.1K	0.00	75.76	N/A	N/A	0	0	120	34
2024-03-06	$195.48	$194.00	15.1%	4.1%	14.2%	23.2%	0.0%	0.8%	-0.1%	94.6K	-1.6M	-3.9K	0.00	80.97	N/A	N/A	1	0	120	34
2024-03-07	$198.14	$194.00	16.8%	4.3%	14.6%	29.3%	14.9%	0.9%	-0.6%	77.0K	-1.8M	-3.6K	0.00	85.96	N/A	N/A	0	8	120	34
2024-03-08	$197.24	$194.00	16.2%	4.2%	14.8%	27.1%	13.6%	-2.6%	0.5%	87.3K	-1.7M	-3.6K	0.00	94.80	N/A	N/A	5	0	120	33
2024-03-11	$198.67	$194.00	19.7%	4.2%	14.9%	39.7%	0.0%	0.8%	-0.6%	77.7K	-1.8M	-3.6K	0.00	96.85	N/A	N/A	1	0	123	33
2024-03-12	$198.21	$194.00	17.0%	4.1%	14.7%	30.0%	15.9%	3.0%	-0.9%	81.6K	-1.8M	-3.6K	0.00	99.48	N/A	N/A	2	0	124	33
2024-03-13	$199.96	$194.00	14.4%	4.1%	11.4%	20.6%	0.0%	2.7%	0.1%	61.4K	-1.9M	-3.4K	0.00	100.69	N/A	N/A	2	0	124	33
2024-03-14	$197.83	$194.00	13.9%	4.0%	12.4%	22.9%	14.3%	0.2%	1.6%	87.2K	-1.8M	-3.6K	0.80	94.41	N/A	N/A	5	4	124	33
2024-03-15	$198.79	$196.00	13.8%	3.9%	11.1%	24.6%	0.0%	4.0%	1.1%	73.2K	-1.8M	-3.6K	0.00	101.55	N/A	N/A	6	0	125	34
2024-03-18	$199.25	$196.00	13.9%	4.0%	11.1%	26.6%	13.6%	1.1%	0.3%	55.6K	-1.4M	-3.4K	0.00	88.03	N/A	N/A	0	1	101	22
2024-03-19	$198.91	$197.00	13.2%	3.8%	10.8%	22.7%	0.0%	1.7%	0.7%	55.8K	-1.4M	-3.5K	0.00	89.59	N/A	N/A	1	0	101	23
2024-03-20	$201.63	$197.00	13.3%	3.8%	11.4%	23.6%	0.0%	1.5%	1.6%	53.2K	-1.5M	-3.2K	0.00	104.17	N/A	N/A	3	0	102	23
2024-03-21	$202.69	$197.00	12.4%	3.6%	10.9%	19.1%	12.0%	1.4%	1.1%	51.8K	-1.6M	-3.1K	1.00	101.14	N/A	N/A	1	1	103	23
2024-03-22	$200.66	$197.00	12.7%	3.6%	11.8%	20.5%	0.0%	1.2%	0.9%	54.3K	-1.6M	-3.1K	0.00	98.94	N/A	N/A	1	0	104	24
2024-03-25	$200.70	$197.00	12.5%	3.6%	11.6%	19.2%	0.0%	3.2%	1.4%	54.5K	-1.5M	-3.1K	0.00	101.23	N/A	N/A	0	0	103	24
2024-03-26	$200.69	$197.00	11.7%	3.4%	11.6%	17.5%	0.0%	1.1%	2.4%	54.5K	-1.5M	-3.1K	0.00	101.22	N/A	N/A	0	1	103	24
2024-03-27	$203.41	$197.00	12.0%	3.4%	12.2%	20.2%	0.0%	-0.4%	2.7%	52.4K	-1.6M	-3.0K	0.00	106.27	N/A	N/A	0	0	103	25
2024-03-28	$204.62	$197.00	11.0%	3.2%	12.0%	16.2%	19.7%	2.4%	2.2%	49.2K	-1.7M	-2.7K	0.00	104.93	N/A	N/A	0	2	103	25