VAW Options History — April 2024

In April 2024, VAW traded between $193.82 and $204.46. ATM implied volatility averaged 15.8%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.8% (HV 20d: 13.0%). Max pain ranged from $170.00 to $197.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2024-04-04: Highest Volume — 26 contracts
  • 2024-04-04: Largest IV spike — 25.0% change
  • 2024-04-16: Highest IV Rank — 75.2%
  • 2024-04-16: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.73$193.82$204.46$204.03$194.94
Max Pain$180.05$170.00$197.00$197.00$185.00
ATM IV15.8%11.3%19.2%12.2%15.7%
Expected Move4.5%3.2%5.5%3.5%4.5%
HV 20d13.0%11.6%14.5%12.2%13.6%
HV 60d14.3%13.7%14.7%13.7%14.4%
IV Rank50.7%19.0%75.2%25.0%50.6%
IV Percentile53.4%2.4%87.3%4.0%57.5%
Term Structure-0.2%-2.6%2.3%2.0%-2.6%
VWIV16.1%13.7%20.8%14.8%14.2%
Skew 25d2.3%-1.8%4.6%2.9%0.1%
Skew 10d4.7%-5.4%16.8%-2.1%0.6%
Call IV 25d13.7%10.1%16.9%11.8%10.4%
Put IV 25d16.0%10.5%20.2%14.7%10.5%
Bid-Ask Spread %100.7592.68106.98105.36106.98
Gamma HHI0.150.120.190.190.16
Net GEX67.0K48.7K94.5K48.7K94.5K
Net DEX-1.4M-1.9M-1.1M-1.7M-1.2M
Net VEX-4.2K-4.8K-2.6K-2.6K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.001.670.240.50
Total Volume3.31802630
Total OI156.545130169130167

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-04-01$204.03$197.0012.2%3.5%12.2%25.0%0.0%2.9%2.0%48.7K-1.7M-2.6K0.00105.36N/AN/A0310327
2024-04-02$202.94$197.0011.3%3.2%12.4%19.0%0.0%3.0%1.3%50.2K-1.6M-2.9K0.00105.82N/AN/A0110328
2024-04-03$204.34$197.0013.4%3.8%11.8%33.6%14.8%2.5%0.9%49.3K-1.7M-2.8K0.00105.17N/AN/A0210328
2024-04-04$201.99$170.0016.7%4.8%12.5%57.5%0.0%4.6%-2.1%49.7K-1.5M-3.1K0.24101.26N/AN/A21510329
2024-04-05$203.68$170.0014.1%4.4%12.0%39.0%13.7%4.6%-0.0%61.0K-1.8M-4.2K1.00101.72N/AN/A1112334
2024-04-08$203.90$170.0014.1%4.0%11.8%38.9%0.0%0.7%1.8%61.5K-1.9M-4.0K0.00101.33N/AN/A0012435
2024-04-09$204.46$170.0014.7%4.4%11.6%42.8%0.0%1.6%1.1%60.1K-1.9M-4.0K0.00102.12N/AN/A0012435
2024-04-10$201.38$170.0015.7%4.5%13.0%50.3%0.0%2.0%1.7%64.1K-1.7M-4.4K0.0096.93N/AN/A0012435
2024-04-11$201.95$170.0016.4%4.7%12.6%55.2%14.5%3.3%-0.2%62.5K-1.7M-4.3K1.0099.05N/AN/A1112435
2024-04-12$197.59$175.0017.4%5.0%14.4%62.4%16.6%2.8%-1.1%62.3K-1.4M-4.7K0.0095.85N/AN/A4012436
2024-04-15$196.45$175.0018.2%5.2%14.5%68.0%20.8%3.3%0.2%61.8K-1.3M-4.7K1.0097.32N/AN/A1112536
2024-04-16$195.59$176.0019.2%5.5%14.5%75.2%17.4%2.9%-1.9%60.0K-1.2M-4.7K1.6792.68N/AN/A3512437
2024-04-17$195.47$180.0017.6%5.0%14.5%63.8%0.0%1.2%0.3%60.3K-1.2M-4.7K1.0096.12N/AN/A1112742
2024-04-18$195.42$180.0015.9%4.6%13.4%51.6%0.0%1.5%2.3%72.4K-1.2M-4.7K0.5098.84N/AN/A2112841
2024-04-19$194.88$180.0018.1%5.2%13.2%67.1%18.8%0.8%-2.0%72.6K-1.2M-4.6K0.3397.54N/AN/A6212740
2024-04-22$195.87$182.0016.6%4.8%13.1%56.9%0.0%2.9%-1.9%69.1K-1.2M-4.6K0.00100.22N/AN/A1012436
2024-04-23$194.15$182.0017.0%4.9%13.3%59.6%14.3%2.3%-1.0%73.4K-1.1M-4.5K1.0099.45N/AN/A1112536
2024-04-24$193.82$180.0017.1%4.9%13.3%60.4%16.2%2.0%-2.5%75.0K-1.1M-4.5K0.0099.02N/AN/A2012536
2024-04-25$194.95$185.0016.5%4.7%12.4%56.1%14.2%4.1%-1.1%88.3K-1.1M-4.8K0.00104.65N/AN/A0212736
2024-04-26$196.48$185.0015.2%4.4%12.6%47.0%0.0%3.4%-0.7%89.2K-1.3M-4.7K0.00103.85N/AN/A0012737
2024-04-29$197.75$185.0013.4%3.9%12.9%34.4%0.0%-1.8%0.5%87.2K-1.4M-4.4K0.50105.27N/AN/A2112737
2024-04-30$194.94$185.0015.7%4.5%13.6%50.6%0.0%0.1%-2.6%94.5K-1.2M-4.5K0.00106.98N/AN/A0012938