VAW Options History — December 2024

In December 2024, VAW traded between $187.40 and $212.19. ATM implied volatility averaged 15.2%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.4% (HV 20d: 13.8%). Max pain ranged from $194.00 to $205.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2024-12-27: Highest Volume — 20 contracts
  • 2024-12-10: Largest IV spike — 57.6% change
  • 2024-12-19: Highest IV Rank — 54.5%
  • 2024-12-19: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$198.23$187.40$212.19$212.19$187.50
Max Pain$197.43$194.00$205.00$205.00$194.00
ATM IV15.2%11.1%19.2%12.1%15.3%
Expected Move4.4%3.5%5.5%3.5%4.4%
HV 20d13.8%11.9%16.8%14.4%13.7%
HV 60d13.8%13.2%14.6%13.5%13.9%
IV Rank32.6%9.6%54.5%15.5%33.3%
IV Percentile58.8%6.7%92.1%13.9%65.9%
Term Structure0.8%-2.1%3.8%0.1%0.1%
VWIV13.3%11.0%15.0%13.5%11.0%
Skew 25d1.5%-2.6%8.4%1.2%0.3%
Skew 10d1.8%-5.6%7.8%0.3%0.1%
Call IV 25d12.3%9.3%22.4%10.3%11.0%
Put IV 25d13.7%9.5%25.6%11.4%11.3%
Bid-Ask Spread %109.7494.21127.05118.28115.89
Gamma HHI0.210.120.320.280.13
Net GEX20.2K1.9K41.7K41.6K2.6K
Net DEX-121.4K-512.2K122.7K-512.2K107.7K
Net VEX-1.6K-1.9K-1.2K-1.9K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.003.000.001.00
Total Volume2.38102012
Total OI69.57165806580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$212.19$205.0012.1%3.5%14.4%15.5%0.0%1.2%0.1%41.6K-512.2K-1.9K0.00118.28N/AN/A014520
2024-12-03$211.49$205.0012.4%3.5%14.5%17.0%0.0%0.9%-2.1%40.6K-490.2K-1.9K0.00118.16N/AN/A104520
2024-12-04$209.87$205.0015.2%4.4%14.7%32.8%0.0%0.1%-1.7%41.7K-456.8K-1.9K0.00112.45N/AN/A004620
2024-12-05$207.66$197.0011.1%3.8%12.6%9.6%0.0%0.3%2.7%37.9K-386.2K-1.9K0.00105.75N/AN/A004620
2024-12-06$206.61$197.0012.2%4.0%12.6%15.7%0.0%-0.5%1.3%36.2K-354.8K-1.9K0.00105.73N/AN/A004620
2024-12-09$206.63$197.0012.1%3.9%12.3%15.4%0.0%7.3%1.3%37.1K-342.5K-1.8K0.00106.03N/AN/A004620
2024-12-10$204.07$197.0019.1%4.2%13.0%54.0%0.0%-2.4%0.6%32.3K-270.9K-1.8K0.00109.72N/AN/A104620
2024-12-11$203.63$197.0013.4%3.8%11.9%22.7%0.0%0.3%1.3%30.9K-258.4K-1.8K0.00106.79N/AN/A004720
2024-12-12$202.22$197.0015.4%4.4%12.0%33.8%0.0%0.2%0.1%23.1K-214.1K-1.8K0.00108.79N/AN/A204720
2024-12-13$200.11$197.0014.7%4.2%12.2%29.6%13.5%-0.4%0.6%23.9K-129.3K-1.7K3.00100.86N/AN/A134720
2024-12-16$198.29$197.0015.0%4.3%12.4%31.5%0.0%6.1%1.2%17.5K-50.5K-1.7K0.0094.21N/AN/A004723
2024-12-17$196.91$197.0016.6%4.8%12.1%40.2%0.0%5.8%0.2%16.1K-10.3K-1.6K0.0096.97N/AN/A004723
2024-12-18$190.12$197.0018.8%5.4%16.8%52.4%15.0%-2.6%2.2%6.9K85.5K-1.4K3.00107.11N/AN/A134723
2024-12-19$188.47$197.0019.2%5.5%16.5%54.5%0.0%3.8%3.8%4.0K107.3K-1.4K0.00108.34N/AN/A104823
2024-12-20$189.69$197.0017.6%5.0%15.7%45.6%0.0%8.4%1.3%4.8K110.4K-1.4K0.50109.18N/AN/A214723
2024-12-23$189.73$197.0016.2%4.6%15.2%38.2%13.8%1.1%0.7%2.2K116.2K-1.2K0.40109.39N/AN/A524522
2024-12-24$190.56$194.0015.3%4.4%14.2%33.1%0.0%0.2%2.0%9.5K92.2K-1.3K0.00127.05N/AN/A005024
2024-12-26$190.78$194.0015.5%4.4%14.3%34.3%0.0%0.4%0.6%10.8K69.0K-1.3K3.00116.65N/AN/A135024
2024-12-27$188.94$194.0016.3%4.7%14.4%38.7%11.0%0.3%-1.5%3.3K116.8K-1.2K0.00113.34N/AN/A2004925
2024-12-30$187.40$194.0015.9%4.6%13.6%36.4%0.0%0.1%1.5%1.9K122.7K-1.4K0.00113.72N/AN/A005525
2024-12-31$187.50$194.0015.3%4.4%13.7%33.3%0.0%0.3%0.1%2.6K107.7K-1.3K1.00115.89N/AN/A115525