VAW Options History — October 2024

In October 2024, VAW traded between $206.56 and $215.09. ATM implied volatility averaged 17.1%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.7% (HV 20d: 13.5%). Max pain ranged from $196.00 to $200.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.17.

Notable Days

  • 2024-10-21: Highest Volume — 4 contracts
  • 2024-10-31: Largest IV spike — 16.9% change
  • 2024-10-31: Highest IV Rank — 66.8%
  • 2024-10-31: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$210.15$206.56$215.09$210.78$206.56
Max Pain$197.22$196.00$200.00$200.00$197.00
ATM IV17.1%14.3%21.4%16.8%21.4%
Expected Move5.1%4.4%6.1%4.8%6.1%
HV 20d13.5%10.3%15.9%15.3%11.0%
HV 60d16.8%14.3%18.2%18.1%14.3%
IV Rank43.3%27.4%66.8%41.3%66.8%
IV Percentile81.1%52.0%98.0%81.0%98.0%
Term Structure-0.8%-3.7%1.6%-0.1%-2.3%
VWIV17.9%13.9%21.3%20.6%21.3%
Skew 25d6.2%-0.7%14.4%2.5%11.0%
Skew 10d7.2%0.6%16.5%10.2%16.5%
Call IV 25d11.2%8.7%16.9%10.3%12.3%
Put IV 25d17.4%11.4%23.6%12.8%23.3%
Bid-Ask Spread %104.5495.92112.42108.98112.42
Gamma HHI0.200.190.210.200.21
Net GEX55.9K49.9K62.4K55.4K56.6K
Net DEX-1.0M-1.4M-768.3K-1.1M-768.3K
Net VEX-2.6K-3.3K-2.1K-2.9K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.000.000.00
Total Volume0.8260410
Total OI109.783102115109107

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$210.78$200.0016.8%4.8%15.3%41.3%0.0%2.5%-0.1%55.4K-1.1M-2.9K0.00108.98N/AN/A108029
2024-10-02$209.62$200.0016.3%4.7%15.4%38.7%0.0%0.7%1.6%57.9K-1.1M-3.0K0.00110.64N/AN/A028129
2024-10-03$206.93$197.0014.8%5.3%15.9%30.1%0.0%8.9%-0.1%58.1K-895.5K-3.3K0.00100.99N/AN/A008131
2024-10-04$208.07$197.0015.1%4.9%15.1%32.2%20.6%8.8%0.4%59.1K-963.1K-3.1K0.0095.92N/AN/A028131
2024-10-07$207.97$197.0014.3%5.4%15.0%27.4%0.0%9.3%-1.3%59.8K-948.0K-3.1K0.0098.80N/AN/A008131
2024-10-08$207.30$197.0016.3%5.5%15.1%38.4%16.8%14.4%-2.7%60.6K-905.9K-3.1K0.0098.26N/AN/A108131
2024-10-09$208.88$197.0017.0%4.9%15.2%42.5%0.0%12.2%-0.7%61.1K-1.0M-2.9K0.00101.19N/AN/A008231
2024-10-10$208.99$197.0017.2%4.9%14.8%43.8%0.0%11.6%-0.9%62.4K-1.1M-2.8K0.00101.87N/AN/A008231
2024-10-11$211.18$197.0017.5%5.0%14.6%45.6%0.0%10.4%-0.1%56.4K-1.1M-2.8K0.00101.92N/AN/A018231
2024-10-14$212.06$197.0018.9%5.4%14.4%52.9%0.0%12.3%-2.2%53.5K-1.2M-2.7K0.00101.19N/AN/A108232
2024-10-15$212.35$197.0017.6%5.0%14.4%45.8%0.0%5.0%0.0%52.5K-1.3M-2.4K0.00103.60N/AN/A008332
2024-10-16$214.22$197.0015.8%4.5%14.6%35.7%0.0%6.7%1.3%49.9K-1.3M-2.3K0.00103.48N/AN/A008332
2024-10-17$214.10$197.0015.5%4.4%13.3%34.1%0.0%5.5%0.5%50.4K-1.3M-2.3K0.00102.33N/AN/A008332
2024-10-18$215.09$197.0015.3%4.4%13.0%33.1%13.9%2.7%0.0%50.0K-1.4M-2.1K0.00107.54N/AN/A018332
2024-10-21$213.25$196.0016.1%4.6%13.5%37.4%16.9%0.2%0.0%53.3K-1.1M-2.2K1.00101.70N/AN/A227329
2024-10-22$211.76$197.0018.5%5.3%12.7%50.6%0.0%-0.7%-0.3%54.2K-1.0M-2.3K0.00104.82N/AN/A107331
2024-10-23$210.83$197.0018.3%5.3%12.4%49.8%0.0%3.1%-1.7%54.5K-943.0K-2.4K0.00108.70N/AN/A007331
2024-10-24$208.79$197.0018.3%5.2%10.3%49.6%21.3%5.5%-1.3%55.3K-839.9K-2.5K0.00106.34N/AN/A207331
2024-10-25$207.61$197.0018.1%5.2%10.4%48.9%0.0%5.5%-1.7%56.8K-841.5K-2.5K0.00108.03N/AN/A027431
2024-10-28$209.73$197.0020.1%5.8%10.9%59.8%0.0%0.2%-3.7%54.1K-928.4K-2.4K0.00107.96N/AN/A007432
2024-10-29$208.27$197.0017.0%4.9%11.1%42.5%0.0%0.4%-0.7%58.0K-883.6K-2.3K0.00107.80N/AN/A017432
2024-10-30$209.16$197.0018.3%5.2%11.1%49.7%0.0%5.6%-1.5%56.0K-915.8K-2.3K0.00109.99N/AN/A007433
2024-10-31$206.56$197.0021.4%6.1%11.0%66.8%0.0%11.0%-2.3%56.6K-768.3K-2.4K0.00112.42N/AN/A007433