VAW Options History — May 2024

In May 2024, VAW traded between $195.05 and $203.51. ATM implied volatility averaged 12.1%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.3% (HV 20d: 12.4%). Max pain ranged from $185.00 to $190.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2024-05-07: Highest Volume — 11 contracts
  • 2024-05-09: Largest IV spike — 74.8% change
  • 2024-05-09: Highest IV Rank — 76.9%
  • 2024-05-01: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$200.55$195.05$203.51$196.47$200.61
Max Pain$189.32$185.00$190.00$185.00$190.00
ATM IV12.1%9.5%19.3%15.8%10.4%
Expected Move3.4%2.7%4.5%4.5%3.0%
HV 20d12.4%10.8%14.8%13.7%11.8%
HV 60d12.9%12.1%14.0%13.7%12.6%
IV Rank24.9%6.0%76.9%51.1%12.2%
IV Percentile12.1%0.4%91.3%59.1%0.8%
Term Structure1.1%-1.7%2.6%-1.7%1.5%
VWIV12.3%10.4%13.3%12.8%12.6%
Skew 25d0.2%-6.4%6.4%-2.8%-2.5%
Skew 10d2.0%-5.1%6.8%3.7%1.3%
Call IV 25d10.4%7.2%19.6%13.9%11.6%
Put IV 25d10.6%7.6%16.6%11.0%9.1%
Bid-Ask Spread %107.2684.93121.84107.39119.14
Gamma HHI0.130.110.170.150.13
Net GEX76.5K60.2K102.6K91.3K64.9K
Net DEX-1.4M-1.9M-814.4K-1.3M-949.4K
Net VEX-3.6K-4.5K-3.2K-4.5K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.003.003.000.00
Total Volume3.54501140
Total OI147.955114174167120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$196.47$185.0015.8%4.5%13.7%51.1%0.0%-2.8%-1.7%91.3K-1.3M-4.5K3.00107.39N/AN/A1312938
2024-05-02$195.05$185.0012.5%3.6%13.4%27.6%0.0%2.4%2.5%102.6K-1.2M-4.4K0.00112.66N/AN/A1013036
2024-05-03$197.20$185.0011.6%3.3%13.7%21.0%0.0%-3.0%2.6%97.4K-1.4M-4.2K0.00109.11N/AN/A0112936
2024-05-06$198.22$190.0011.5%3.7%13.9%20.2%12.8%6.4%1.6%93.3K-1.5M-4.0K0.0084.93N/AN/A6012938
2024-05-07$200.94$190.0012.5%3.6%14.8%27.6%13.2%2.2%1.6%86.1K-1.7M-3.9K0.3889.69N/AN/A8313138
2024-05-08$200.07$190.0011.1%3.5%13.9%17.2%0.0%-2.5%1.8%83.8K-1.7M-3.8K0.0099.52N/AN/A1012840
2024-05-09$202.13$190.0019.3%3.6%14.4%76.9%12.0%-6.4%2.4%79.2K-1.8M-3.7K1.00121.84N/AN/A2212940
2024-05-10$202.30$190.0010.7%3.4%11.8%14.6%11.4%3.9%1.7%74.9K-1.9M-3.5K1.00101.96N/AN/A2213142
2024-05-13$202.30$190.0013.5%3.5%11.5%34.5%13.3%4.8%1.0%79.5K-1.9M-3.5K3.0099.41N/AN/A2613341
2024-05-14$202.84$190.0012.7%3.3%11.3%29.0%0.0%4.0%2.0%74.1K-1.9M-3.5K0.00106.92N/AN/A2013340
2024-05-15$202.92$190.0011.7%3.3%11.3%21.5%11.3%-4.2%1.1%70.5K-1.9M-3.4K2.33103.76N/AN/A3713240
2024-05-16$201.83$190.009.5%2.7%11.6%6.0%13.2%2.1%2.2%78.9K-1.8M-3.5K0.00113.62N/AN/A4013139
2024-05-17$203.01$190.0010.5%3.0%11.5%13.1%10.4%-3.2%0.0%84.2K-1.9M-3.4K0.20107.19N/AN/A5113339
2024-05-20$203.51$190.0011.2%3.2%11.5%17.8%12.3%-1.9%1.0%66.5K-1.2M-3.2K0.00108.00N/AN/A109222
2024-05-21$203.31$190.0010.6%3.0%10.8%14.1%0.0%-0.0%0.5%68.1K-1.2M-3.3K0.00111.31N/AN/A009322
2024-05-22$201.14$190.0012.1%3.5%11.7%25.0%12.5%-2.2%0.7%73.2K-1.0M-3.4K1.00108.46N/AN/A339322
2024-05-23$199.42$190.0012.3%3.5%12.2%26.3%0.0%-3.0%1.8%63.0K-880.4K-3.5K0.00112.88N/AN/A009025
2024-05-24$201.27$190.0010.8%3.1%12.3%15.1%0.0%6.3%0.6%60.2K-998.9K-3.3K0.00108.81N/AN/A209025
2024-05-28$200.44$190.0012.2%3.5%12.3%25.1%0.0%0.4%-0.0%62.5K-954.5K-3.5K0.00110.44N/AN/A009226
2024-05-29$197.86$190.0011.2%3.2%12.1%18.4%12.6%1.6%-1.5%64.2K-814.4K-3.5K0.20110.56N/AN/A519226
2024-05-30$199.30$190.0013.2%3.8%12.0%32.4%0.0%1.7%0.0%64.7K-860.4K-3.5K0.00112.22N/AN/A109426
2024-05-31$200.61$190.0010.4%3.0%11.8%12.2%0.0%-2.5%1.5%64.9K-949.4K-3.4K0.00119.14N/AN/A009426