VAW Options History — August 2024

In August 2024, VAW traded between $191.50 and $205.82. ATM implied volatility averaged 16.7%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 4.0% (HV 20d: 20.8%). Max pain ranged from $190.00 to $200.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2024-08-05: Highest Volume — 23 contracts
  • 2024-08-02: Largest IV spike — 37.5% change
  • 2024-08-05: Highest IV Rank — 100.0%
  • 2024-08-02: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.58$191.50$205.82$201.51$205.82
Max Pain$191.45$190.00$200.00$190.00$190.00
ATM IV16.7%11.2%27.4%15.5%11.2%
Expected Move4.4%3.2%6.1%4.4%3.2%
HV 20d20.8%17.1%22.6%17.1%17.3%
HV 60d16.1%13.8%16.6%13.8%16.3%
IV Rank44.8%13.6%100.0%49.3%13.6%
IV Percentile60.9%8.7%100.0%68.3%8.7%
Term Structure-0.0%-2.5%3.8%-0.9%-0.0%
VWIV14.6%9.6%20.1%17.5%9.6%
Skew 25d1.7%-6.6%8.8%-1.4%1.4%
Skew 10d1.8%-2.1%7.7%2.8%2.0%
Call IV 25d13.0%8.8%19.8%18.8%9.3%
Put IV 25d14.7%9.7%23.7%17.4%10.7%
Bid-Ask Spread %100.7569.71117.05113.09117.05
Gamma HHI0.200.110.310.170.24
Net GEX97.7K59.3K157.5K105.9K73.6K
Net DEX-781.2K-1.2M-437.3K-1.2M-1.1M
Net VEX-3.5K-3.9K-2.9K-3.0K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.000.000.00
Total Volume6.59102320
Total OI134.682102166132118

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$201.51$190.0015.5%4.4%17.1%49.3%17.5%-1.4%-0.9%105.9K-1.2M-3.0K0.00113.09N/AN/A2010923
2024-08-02$196.56$190.0021.3%6.1%19.6%91.3%16.2%-0.3%-2.5%107.2K-779.8K-3.0K0.00111.11N/AN/A14010923
2024-08-05$191.72$200.0027.4%6.1%21.7%100.0%20.1%7.4%-0.2%92.9K-503.8K-2.9K0.7769.71N/AN/A131011623
2024-08-06$194.59$190.0023.8%5.3%22.1%80.6%0.0%7.8%1.4%113.8K-719.8K-3.0K1.0088.17N/AN/A101011623
2024-08-07$191.50$190.0022.6%5.5%22.6%74.2%0.0%8.8%-0.4%96.2K-437.3K-3.6K0.0075.76N/AN/A1012633
2024-08-08$194.38$190.0022.5%5.3%22.0%74.1%0.0%8.2%-0.5%115.1K-658.3K-3.7K0.0080.81N/AN/A0012633
2024-08-09$194.09$190.0018.7%5.2%21.6%53.6%18.0%3.3%0.5%126.5K-612.4K-3.6K0.7576.61N/AN/A4312633
2024-08-12$192.89$192.0022.9%4.7%21.7%76.1%0.0%1.4%0.2%117.3K-498.9K-3.4K0.0094.96N/AN/A0012836
2024-08-13$195.24$192.0019.4%4.4%20.6%57.3%15.8%3.0%2.1%150.4K-700.2K-3.3K0.0090.47N/AN/A0312836
2024-08-14$195.07$194.0015.0%4.3%20.6%33.7%0.0%2.0%0.5%157.5K-680.1K-3.3K0.00102.06N/AN/A13012837
2024-08-15$198.46$194.0013.8%4.0%21.4%27.3%0.0%1.9%-0.9%132.7K-909.9K-3.2K0.00103.14N/AN/A16011537
2024-08-16$198.26$194.0013.5%3.9%21.1%25.5%11.8%0.1%-1.0%153.9K-1.0M-3.6K0.80102.20N/AN/A10812937
2024-08-19$199.34$194.0013.2%3.8%21.0%24.2%14.4%5.8%0.3%59.3K-559.0K-3.8K0.17107.53N/AN/A617626
2024-08-20$198.50$190.0011.3%3.2%21.0%13.7%13.1%3.2%0.4%63.1K-591.9K-3.9K1.00106.27N/AN/A448228
2024-08-21$201.03$192.0014.0%4.0%21.1%28.3%10.8%-1.1%-1.3%67.1K-734.2K-3.9K2.00112.96N/AN/A128329
2024-08-22$200.63$190.0013.9%4.0%21.0%28.1%12.8%-2.4%-1.1%68.8K-747.0K-3.9K0.00112.70N/AN/A108428
2024-08-23$203.44$190.0012.8%3.7%21.1%21.8%0.0%-0.2%-0.0%68.1K-917.4K-3.8K1.00110.96N/AN/A118528
2024-08-26$204.38$190.0014.7%4.2%21.1%32.0%0.0%-1.9%-0.1%66.3K-969.1K-3.8K1.50105.49N/AN/A238628
2024-08-27$204.05$190.0014.3%4.1%21.1%30.0%9.6%-6.6%0.3%69.3K-951.9K-3.9K0.00108.15N/AN/A018830
2024-08-28$203.09$190.0012.4%3.6%20.5%20.0%0.0%-4.5%3.8%72.3K-897.4K-3.9K0.00112.00N/AN/A008829
2024-08-29$204.18$190.0014.3%4.1%19.6%29.8%0.0%1.4%-1.0%71.2K-1.0M-3.7K0.00115.33N/AN/A108829
2024-08-30$205.82$190.0011.2%3.2%17.3%13.6%0.0%1.4%-0.0%73.6K-1.1M-3.6K0.00117.05N/AN/A008929