VAW Options History — September 2024

In September 2024, VAW traded between $196.09 and $213.60. ATM implied volatility averaged 15.5%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.7% (HV 20d: 16.2%). Max pain ranged from $190.00 to $200.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.57.

Notable Days

2024-09-03: Highest Volume — 47 contracts
2024-09-30: Largest IV spike — 29.8% change
2024-09-10: Highest IV Rank — 60.7%
2024-09-03: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$204.32	$196.09	$213.60	$200.69	$211.13
Max Pain	$191.20	$190.00	$200.00	$190.00	$200.00
ATM IV	15.5%	11.0%	20.3%	19.5%	17.3%
Expected Move	4.3%	3.1%	5.6%	5.6%	5.0%
HV 20d	16.2%	15.2%	18.1%	17.3%	18.1%
HV 60d	17.5%	17.1%	18.1%	17.2%	18.1%
IV Rank	34.4%	9.3%	60.7%	57.9%	44.5%
IV Percentile	60.0%	6.0%	94.0%	92.5%	83.7%
Term Structure	0.6%	-2.9%	6.0%	-2.9%	0.5%
VWIV	14.6%	9.3%	18.7%	18.7%	15.0%
Skew 25d	1.1%	-2.9%	7.4%	-0.7%	3.9%
Skew 10d	2.0%	-5.5%	8.3%	-2.7%	-2.3%
Call IV 25d	10.9%	8.6%	15.9%	13.3%	9.6%
Put IV 25d	12.1%	9.8%	18.9%	12.6%	13.5%
Bid-Ask Spread %	105.69	76.26	120.78	115.14	111.48
Gamma HHI	0.22	0.20	0.24	0.23	0.21
Net GEX	69.2K	50.9K	81.1K	71.4K	58.0K
Net DEX	-941.1K	-1.4M	-507.0K	-776.9K	-1.1M
Net VEX	-3.4K	-4.0K	-2.6K	-3.8K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	2.00	0.31	0.00
Total Volume	3.8	0	47	47	2
Total OI	117.1	107	121	117	107

Daily Data (20 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
2024-09-03	$200.69	$190.00	19.5%	5.6%	17.3%	57.9%	18.7%	-0.7%	-2.9%	71.4K	-776.9K	-3.8K	0.31	115.14	N/A	N/A	36	11	89	28
2024-09-04	$199.98	$194.00	18.3%	5.2%	16.8%	51.5%	0.0%	0.4%	-2.6%	66.1K	-723.5K	-4.0K	0.00	115.72	N/A	N/A	1	0	90	29
2024-09-05	$198.35	$190.00	16.5%	5.0%	15.9%	41.9%	0.0%	1.1%	-0.2%	66.9K	-623.9K	-4.0K	0.00	79.74	N/A	N/A	0	2	91	29
2024-09-06	$196.09	$190.00	16.6%	4.8%	15.8%	40.4%	0.0%	7.4%	0.8%	61.7K	-507.0K	-3.9K	0.00	76.26	N/A	N/A	2	0	91	29
2024-09-09	$197.56	$190.00	19.8%	4.6%	15.9%	58.0%	0.0%	0.7%	1.0%	68.9K	-577.1K	-3.9K	0.00	87.09	N/A	N/A	1	0	92	29
2024-09-10	$197.40	$190.00	20.3%	4.6%	15.7%	60.7%	0.0%	1.3%	0.7%	66.1K	-514.2K	-3.8K	0.00	85.71	N/A	N/A	0	0	91	29
2024-09-11	$197.74	$190.00	15.9%	4.6%	15.2%	36.5%	0.0%	1.0%	-0.1%	68.6K	-548.8K	-3.8K	0.00	90.48	N/A	N/A	0	0	91	29
2024-09-12	$200.31	$190.00	15.8%	4.5%	15.8%	35.8%	0.0%	2.9%	0.8%	73.0K	-714.2K	-3.8K	0.00	99.01	N/A	N/A	0	0	91	29
2024-09-13	$202.77	$190.00	14.8%	4.2%	15.2%	30.2%	0.0%	0.6%	0.4%	74.8K	-898.2K	-3.7K	0.00	108.83	N/A	N/A	0	1	91	29
2024-09-16	$204.71	$190.00	15.0%	4.3%	15.5%	31.7%	0.0%	-2.9%	0.2%	77.1K	-1.0M	-3.6K	0.00	114.82	N/A	N/A	0	0	91	29
2024-09-17	$204.80	$190.00	15.4%	4.4%	15.4%	34.0%	15.5%	0.7%	-0.0%	76.9K	-1.0M	-3.5K	2.00	113.56	N/A	N/A	1	2	91	29
2024-09-18	$204.75	$190.00	15.6%	4.5%	15.3%	34.6%	0.0%	-2.4%	0.6%	77.7K	-1.0M	-3.5K	0.00	120.78	N/A	N/A	0	0	92	28
2024-09-19	$208.48	$190.00	12.9%	3.7%	15.9%	19.7%	0.0%	2.9%	2.3%	78.6K	-1.3M	-3.1K	0.00	111.17	N/A	N/A	0	2	92	28
2024-09-20	$207.01	$190.00	14.7%	4.2%	16.2%	29.9%	0.0%	2.5%	0.1%	81.1K	-1.2M	-3.3K	0.25	110.79	N/A	N/A	4	1	92	29
2024-09-23	$208.05	$190.00	11.9%	3.4%	15.6%	14.3%	9.3%	-0.4%	-0.4%	75.6K	-1.1M	-3.1K	2.00	119.17	N/A	N/A	1	2	86	25
2024-09-24	$211.18	$190.00	13.6%	3.9%	16.3%	23.7%	0.0%	2.0%	0.4%	66.4K	-1.3M	-2.8K	0.00	111.26	N/A	N/A	0	0	86	27
2024-09-25	$209.26	$190.00	11.4%	3.3%	16.7%	11.5%	0.0%	0.5%	5.1%	68.5K	-1.2M	-2.9K	0.00	116.38	N/A	N/A	0	0	86	27
2024-09-26	$213.60	$190.00	11.0%	3.1%	17.9%	9.3%	0.0%	1.9%	6.0%	50.9K	-1.4M	-2.6K	0.00	117.33	N/A	N/A	0	0	86	27
2024-09-27	$212.49	$200.00	13.4%	3.8%	18.0%	22.4%	15.0%	-1.1%	-0.5%	56.5K	-1.2M	-2.6K	0.00	109.03	N/A	N/A	7	0	80	27
2024-09-30	$211.13	$200.00	17.3%	5.0%	18.1%	44.5%	0.0%	3.9%	0.5%	58.0K	-1.1M	-2.9K	0.00	111.48	N/A	N/A	0	2	80	27