VAW Options History — July 2024

In July 2024, VAW traded between $189.73 and $205.01. ATM implied volatility averaged 13.4%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.8% (HV 20d: 14.2%). Max pain ranged from $187.00 to $198.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2024-07-08: Highest Volume — 15 contracts
  • 2024-07-08: Largest IV spike — 31.0% change
  • 2024-07-30: Highest IV Rank — 56.6%
  • 2024-07-30: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$197.50$189.73$205.01$189.86$205.01
Max Pain$190.55$187.00$198.00$198.00$190.00
ATM IV13.4%9.7%16.5%13.1%12.6%
Expected Move3.9%2.9%4.7%3.8%3.6%
HV 20d14.2%11.0%16.5%11.0%15.7%
HV 60d12.8%11.5%13.5%12.2%13.3%
IV Rank34.4%7.5%56.6%32.2%28.0%
IV Percentile37.6%2.4%79.8%24.6%19.0%
Term Structure0.9%-2.8%5.5%1.9%0.9%
VWIV14.7%10.6%21.7%13.5%13.8%
Skew 25d0.1%-3.3%3.4%-0.6%0.4%
Skew 10d-0.6%-10.0%8.6%-0.7%0.1%
Call IV 25d12.9%8.8%17.5%10.1%12.9%
Put IV 25d13.0%9.5%15.4%9.5%13.2%
Bid-Ask Spread %111.37104.28129.05117.03111.76
Gamma HHI0.150.110.210.130.21
Net GEX86.3K52.2K114.2K56.3K85.9K
Net DEX-853.4K-1.5M-182.7K-184.5K-1.5M
Net VEX-2.9K-3.3K-2.4K-2.4K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.002.000.000.25
Total Volume3.72701545
Total OI118.318103130103129

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$189.86$198.0013.1%3.8%11.0%32.2%13.5%-0.6%1.9%56.3K-184.5K-2.4K0.00117.03N/AN/A048122
2024-07-02$189.73$197.0010.3%2.9%11.0%11.5%0.0%0.6%5.5%52.4K-182.7K-2.4K0.00129.05N/AN/A608122
2024-07-03$191.92$197.0010.2%2.9%11.4%10.8%13.1%-3.3%5.0%55.1K-320.0K-2.6K0.50128.27N/AN/A218122
2024-07-05$191.78$187.009.7%3.7%11.0%7.5%0.0%-1.7%-0.0%56.8K-288.8K-2.5K0.00104.28N/AN/A028322
2024-07-08$192.46$187.0012.7%4.3%11.1%29.3%13.9%2.3%-0.5%52.2K-322.7K-2.5K0.67110.77N/AN/A968323
2024-07-09$190.95$189.0015.6%4.2%11.1%50.1%12.9%-0.1%0.0%65.1K-361.6K-2.9K0.00106.04N/AN/A209221
2024-07-10$193.08$189.0014.2%4.1%11.9%40.1%0.0%-1.2%0.5%73.4K-486.4K-3.0K0.00106.84N/AN/A009421
2024-07-11$196.96$189.0013.1%3.7%14.0%31.6%13.2%1.1%0.9%89.3K-789.5K-3.2K2.00106.35N/AN/A249621
2024-07-12$199.10$189.0013.8%4.0%14.4%36.9%13.0%3.4%1.8%94.8K-945.2K-3.2K1.00107.44N/AN/A449722
2024-07-15$198.69$190.0013.9%4.0%14.4%37.6%0.0%-0.1%0.5%89.3K-960.9K-3.1K0.00107.34N/AN/A019723
2024-07-16$202.93$190.0013.3%3.8%15.4%33.6%21.2%0.4%4.5%81.3K-1.2M-3.0K0.00111.10N/AN/A109723
2024-07-17$202.21$190.0012.3%3.5%15.3%25.8%13.9%-0.3%1.9%86.6K-1.2M-2.9K0.00109.33N/AN/A309723
2024-07-18$200.06$190.0013.3%3.8%15.9%33.2%13.2%0.9%2.8%105.3K-1.1M-3.0K0.00111.57N/AN/A14010023
2024-07-19$197.99$190.0015.6%4.5%16.4%49.6%0.0%-0.4%0.4%104.8K-974.8K-3.3K0.00108.64N/AN/A0010723
2024-07-22$199.30$190.0015.3%4.4%16.4%47.9%14.6%0.4%-0.8%101.5K-967.1K-3.2K0.00107.58N/AN/A2010219
2024-07-23$200.20$190.0014.3%4.1%16.3%40.8%14.3%0.3%0.0%107.5K-1.2M-3.0K0.00110.64N/AN/A2010419
2024-07-24$197.88$190.0012.7%3.7%15.9%29.3%0.0%-1.9%-0.2%114.0K-980.4K-3.2K0.00109.63N/AN/A0010619
2024-07-25$199.03$190.0014.1%4.0%16.0%39.1%0.0%0.8%-2.8%108.8K-1.1M-3.1K0.00111.36N/AN/A0410619
2024-07-26$201.64$190.0014.5%4.2%16.5%42.2%10.6%2.1%-0.8%101.2K-1.2M-3.1K0.00111.07N/AN/A1010621
2024-07-29$202.11$190.0014.7%4.2%16.3%43.5%18.1%1.3%-0.7%102.4K-1.3M-2.9K1.00111.62N/AN/A1110621
2024-07-30$202.00$190.0016.5%4.7%15.2%56.6%21.7%-1.6%-0.8%114.2K-1.3M-2.8K0.00112.49N/AN/A1010722
2024-07-31$205.01$190.0012.6%3.6%15.7%28.0%13.8%0.4%0.9%85.9K-1.5M-2.6K0.25111.76N/AN/A4110722