VAW Options History — June 2024

In June 2024, VAW traded between $192.44 and $200.09. ATM implied volatility averaged 11.9%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.5% (HV 20d: 11.4%). Max pain ranged from $190.00 to $200.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2024-06-13: Highest Volume — 16 contracts
2024-06-12: Largest IV spike — 34.6% change
2024-06-04: Highest IV Rank — 39.3%
2024-06-11: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$196.19	$192.44	$200.09	$200.09	$192.44
Max Pain	$196.95	$190.00	$200.00	$190.00	$198.00
ATM IV	11.9%	9.3%	14.1%	13.4%	11.2%
Expected Move	3.6%	2.7%	4.1%	3.9%	3.2%
HV 20d	11.4%	10.7%	12.2%	11.3%	10.7%
HV 60d	12.3%	12.0%	12.6%	12.3%	12.2%
IV Rank	23.6%	4.6%	39.3%	34.4%	18.3%
IV Percentile	15.8%	0.4%	39.3%	25.4%	7.5%
Term Structure	1.8%	-1.7%	6.1%	0.2%	-1.2%
VWIV	11.6%	9.2%	13.7%	9.2%	9.8%
Skew 25d	1.0%	-4.5%	5.3%	-4.5%	-0.4%
Skew 10d	1.2%	-6.6%	11.7%	1.9%	-1.2%
Call IV 25d	10.1%	7.6%	17.0%	13.6%	10.0%
Put IV 25d	11.0%	8.8%	18.7%	9.1%	9.7%
Bid-Ask Spread %	112.96	94.29	132.82	113.96	131.15
Gamma HHI	0.12	0.10	0.14	0.12	0.13
Net GEX	66.7K	53.2K	76.7K	64.8K	76.7K
Net DEX	-645.5K	-919.2K	-437.9K	-919.2K	-437.9K
Net VEX	-3.2K	-3.5K	-3.0K	-3.4K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.00	4.00	1.00	0.00
Total Volume	4.211	0	16	2	11
Total OI	119.158	109	123	120	113

Daily Data (19 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
2024-06-03	$200.09	$190.00	13.4%	3.9%	11.3%	34.4%	9.2%	-4.5%	0.2%	64.8K	-919.2K	-3.4K	0.00	113.96	N/A	N/A	0	2	94	26
2024-06-04	$197.53	$190.00	14.1%	4.0%	12.2%	39.3%	0.0%	5.3%	-1.7%	65.4K	-751.4K	-3.5K	0.00	109.60	N/A	N/A	0	0	94	27
2024-06-05	$198.96	$190.00	9.4%	2.7%	11.4%	5.0%	0.0%	-3.7%	3.6%	63.4K	-833.9K	-3.4K	0.00	116.50	N/A	N/A	0	2	94	27
2024-06-06	$198.89	$198.00	9.3%	3.7%	11.3%	4.8%	0.0%	1.2%	1.0%	60.6K	-817.7K	-3.4K	0.00	98.68	N/A	N/A	0	0	94	29
2024-06-07	$197.15	$198.00	12.2%	3.7%	10.9%	25.5%	0.0%	-0.2%	0.7%	63.0K	-712.5K	-3.4K	0.00	100.49	N/A	N/A	0	0	94	29
2024-06-10	$197.06	$198.00	11.9%	3.8%	10.9%	23.1%	0.0%	1.1%	0.8%	64.9K	-676.6K	-3.3K	0.00	94.29	N/A	N/A	0	0	94	28
2024-06-11	$196.35	$198.00	10.0%	4.1%	10.9%	9.4%	13.7%	4.0%	1.3%	64.7K	-626.0K	-3.2K	1.00	101.78	N/A	N/A	4	4	94	28
2024-06-12	$197.24	$198.00	13.4%	3.9%	11.1%	34.3%	9.9%	0.5%	0.9%	55.9K	-743.9K	-3.2K	0.00	108.69	N/A	N/A	0	4	94	29
2024-06-13	$196.97	$200.00	12.9%	3.7%	11.0%	30.6%	0.0%	5.1%	1.2%	53.2K	-646.8K	-3.1K	0.07	106.72	N/A	N/A	15	1	94	28
2024-06-14	$194.55	$200.00	13.6%	3.9%	11.6%	35.4%	11.0%	1.1%	1.3%	57.5K	-480.2K	-3.3K	0.29	113.92	N/A	N/A	7	2	95	27
2024-06-17	$196.29	$198.00	13.5%	3.9%	11.9%	34.5%	9.2%	1.1%	2.2%	63.2K	-635.6K	-3.2K	0.20	118.52	N/A	N/A	5	1	95	24
2024-06-18	$195.99	$198.00	13.2%	3.8%	11.8%	32.7%	13.6%	1.4%	1.2%	74.7K	-669.1K	-3.2K	4.00	110.85	N/A	N/A	1	4	97	23
2024-06-20	$195.91	$198.00	14.0%	4.0%	11.8%	38.1%	0.0%	0.8%	0.9%	71.0K	-654.0K	-3.2K	0.00	110.74	N/A	N/A	0	0	98	25
2024-06-21	$195.21	$198.00	12.9%	3.7%	11.4%	30.6%	13.1%	1.6%	2.0%	70.1K	-583.3K	-3.1K	0.00	112.04	N/A	N/A	5	0	98	24
2024-06-24	$196.60	$198.00	12.2%	3.5%	11.5%	25.2%	13.7%	0.7%	3.8%	75.4K	-691.9K	-3.1K	0.67	114.59	N/A	N/A	3	2	89	20
2024-06-25	$193.68	$198.00	10.9%	3.1%	11.9%	16.1%	12.6%	2.0%	5.2%	76.2K	-496.4K	-3.1K	1.50	123.00	N/A	N/A	2	3	91	22
2024-06-26	$193.30	$198.00	9.3%	2.7%	11.9%	4.6%	0.0%	1.7%	6.1%	72.9K	-441.5K	-3.0K	0.00	127.84	N/A	N/A	2	0	91	22
2024-06-27	$193.36	$198.00	9.5%	2.7%	11.1%	6.1%	0.0%	-0.1%	5.4%	73.6K	-446.9K	-3.0K	0.00	132.82	N/A	N/A	0	0	91	22
2024-06-28	$192.44	$198.00	11.2%	3.2%	10.7%	18.3%	9.8%	-0.4%	-1.2%	76.7K	-437.9K	-3.0K	0.00	131.15	N/A	N/A	11	0	91	22