VAW Options History — November 2024

In November 2024, VAW traded between $204.03 and $213.19. ATM implied volatility averaged 16.4%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.7% (HV 20d: 13.8%). Max pain ranged from $197.00 to $205.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.10.

Notable Days

2024-11-13: Highest Volume — 6 contracts
2024-11-07: Largest IV drop — 38.6% change
2024-11-05: Highest IV Rank — 76.1%
2024-11-01: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$208.81	$204.03	$213.19	$206.05	$212.53
Max Pain	$204.60	$197.00	$205.00	$197.00	$205.00
ATM IV	16.4%	12.3%	23.1%	20.8%	12.3%
Expected Move	4.5%	3.5%	6.0%	6.0%	3.5%
HV 20d	13.8%	10.9%	15.1%	10.9%	14.4%
HV 60d	14.3%	13.8%	14.8%	14.0%	13.8%
IV Rank	39.4%	16.3%	76.1%	63.8%	16.3%
IV Percentile	66.4%	16.7%	99.2%	97.2%	16.7%
Term Structure	-0.7%	-2.6%	2.0%	-1.6%	-2.2%
VWIV	13.1%	9.6%	18.9%	18.9%	14.1%
Skew 25d	3.4%	-1.3%	12.6%	6.7%	-0.6%
Skew 10d	4.0%	-0.7%	14.1%	14.1%	0.3%
Call IV 25d	10.5%	8.5%	16.5%	16.5%	12.3%
Put IV 25d	13.9%	10.8%	23.2%	23.2%	11.7%
Bid-Ask Spread %	107.94	84.11	119.63	109.91	119.63
Gamma HHI	0.27	0.19	0.35	0.21	0.30
Net GEX	46.0K	24.5K	74.3K	57.0K	36.2K
Net DEX	-636.8K	-1.1M	-269.1K	-748.0K	-481.1K
Net VEX	-1.9K	-2.4K	-1.7K	-2.4K	-1.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.10	0.00	0.50	0.00	0.00
Total Volume	1.75	0	6	2	4
Total OI	83.8	51	107	107	61

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
2024-11-01	$206.05	$197.00	20.8%	6.0%	10.9%	63.8%	0.0%	6.7%	-1.6%	57.0K	-748.0K	-2.4K	0.00	109.91	N/A	N/A	2	0	74	33
2024-11-04	$206.31	$205.00	22.5%	5.3%	10.9%	73.0%	0.0%	11.1%	0.5%	57.6K	-757.3K	-2.2K	0.00	84.11	N/A	N/A	3	0	74	33
2024-11-05	$207.50	$205.00	23.1%	5.2%	11.1%	76.1%	0.0%	12.6%	-1.1%	56.6K	-757.1K	-2.2K	0.00	87.58	N/A	N/A	0	0	71	33
2024-11-06	$212.35	$205.00	21.7%	5.3%	13.5%	68.4%	18.9%	4.3%	-0.0%	50.6K	-976.8K	-2.0K	0.00	103.63	N/A	N/A	0	1	71	33
2024-11-07	$212.93	$205.00	13.3%	4.3%	13.6%	22.1%	0.0%	3.7%	0.0%	54.5K	-1.1M	-1.7K	0.00	104.99	N/A	N/A	0	0	71	33
2024-11-08	$211.09	$205.00	13.3%	4.5%	13.5%	22.2%	10.3%	3.2%	0.9%	53.0K	-983.5K	-1.8K	0.50	107.46	N/A	N/A	2	1	71	33
2024-11-11	$210.71	$205.00	17.2%	4.4%	13.4%	43.4%	0.0%	3.7%	1.2%	49.9K	-989.4K	-1.7K	0.00	110.66	N/A	N/A	0	0	72	33
2024-11-12	$207.44	$205.00	20.1%	4.6%	14.4%	59.8%	0.0%	2.2%	-0.1%	58.0K	-730.6K	-1.9K	0.00	106.95	N/A	N/A	0	0	72	33
2024-11-13	$207.14	$205.00	15.9%	4.6%	14.0%	36.4%	0.0%	2.4%	2.0%	63.5K	-758.4K	-1.8K	0.00	109.95	N/A	N/A	6	0	72	33
2024-11-14	$205.45	$205.00	14.8%	4.2%	14.1%	30.1%	0.0%	1.9%	0.6%	54.1K	-724.1K	-1.8K	0.00	115.02	N/A	N/A	2	0	72	33
2024-11-15	$204.03	$205.00	16.2%	4.6%	14.0%	37.9%	9.6%	1.9%	-1.6%	74.3K	-687.4K	-1.8K	0.00	110.39	N/A	N/A	3	0	73	31
2024-11-18	$205.57	$205.00	14.3%	4.1%	14.3%	27.7%	12.9%	-1.3%	-0.5%	24.5K	-269.1K	-1.8K	0.50	107.22	N/A	N/A	4	2	34	17
2024-11-19	$205.22	$205.00	15.6%	4.5%	14.1%	34.9%	0.0%	4.5%	-1.8%	30.6K	-277.0K	-1.8K	0.00	112.98	N/A	N/A	1	0	38	18
2024-11-20	$206.43	$205.00	16.8%	4.8%	14.3%	41.3%	12.9%	4.1%	-2.6%	32.2K	-300.8K	-1.9K	0.00	111.75	N/A	N/A	0	1	39	18
2024-11-21	$209.19	$205.00	15.3%	4.4%	14.8%	33.4%	0.0%	0.0%	-1.9%	31.5K	-374.8K	-1.9K	0.00	108.44	N/A	N/A	0	0	39	19
2024-11-22	$210.52	$205.00	14.1%	4.1%	14.8%	26.7%	0.0%	2.5%	-0.3%	32.7K	-429.3K	-1.8K	0.00	110.00	N/A	N/A	0	1	39	19
2024-11-25	$213.19	$205.00	14.1%	4.1%	15.0%	26.7%	14.1%	0.3%	-2.1%	33.2K	-492.9K	-1.7K	0.00	109.60	N/A	N/A	2	0	39	20
2024-11-26	$211.38	$205.00	13.1%	3.8%	15.1%	21.0%	0.0%	2.4%	-2.6%	33.3K	-450.9K	-1.9K	0.00	116.15	N/A	N/A	0	0	41	20
2024-11-27	$211.11	$205.00	14.2%	4.1%	15.1%	27.2%	0.0%	2.1%	-1.3%	36.2K	-463.2K	-1.8K	0.00	112.30	N/A	N/A	0	0	41	20
2024-11-29	$212.53	$205.00	12.3%	3.5%	14.4%	16.3%	0.0%	-0.6%	-2.2%	36.2K	-481.1K	-1.7K	0.00	119.63	N/A	N/A	4	0	41	20