W Options History — October 2014

In October 2014, W traded between $24.33 and $26.05. ATM implied volatility averaged 67.4%. The 30-day expected move averaged 17.9%. Max pain ranged from $25.00 to $25.00. Net GEX was positive for 6 of 7 trading days. Term structure was in contango for 1 of 7 days. Put/call ratio averaged 0.25.

Notable Days

  • 2014-10-30: Highest Volume — 137 contracts
  • 2014-10-30: Largest IV spike — 16.3% change
  • 2014-10-24: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.34$24.33$26.05$26.01$25.25
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV67.4%57.3%73.9%72.0%70.9%
Expected Move17.9%17.1%18.8%18.7%17.2%
Term Structure-8.5%-33.4%5.6%-33.4%-5.8%
VWIV62.0%59.6%64.5%64.5%59.6%
Bid-Ask Spread %82.1370.09118.60118.6079.92
Gamma HHI0.560.361.001.000.59
Net GEX2.0K05.8K05.8K
Net DEX-48.2K-148.5K00-148.5K
Net VEX-255-66500-665
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.000.000.07
Total Volume85.14351375130
Total OI105.28602560256

Daily Data (7 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-23$26.01$0.0072.0%18.7%0.0%0.0%0.0%0.0%-33.4%0000.00118.60N/AN/A5000
2014-10-24$25.08$0.0068.7%18.8%0.0%0.0%0.0%0.0%-4.2%190-1.7K-80.0079.51N/AN/A45050
2014-10-27$26.05$0.0065.4%17.9%0.0%0.0%0.0%0.0%-4.7%1.2K-29.8K-640.4570.09N/AN/A7634230
2014-10-28$25.69$0.0057.3%17.7%0.0%0.0%0.0%0.0%5.6%2.0K-31.3K-2101.0072.69N/AN/A22228534
2014-10-29$25.00$0.0063.6%17.1%0.0%0.0%0.0%0.0%-7.5%1.8K-43.5K-3620.1378.25N/AN/A1111410644
2014-10-30$24.33$0.0073.9%18.0%0.0%0.0%64.5%0.0%-9.8%2.7K-82.8K-4730.1375.83N/AN/A1211613846
2014-10-31$25.25$25.0070.9%17.2%0.0%0.0%59.6%0.0%-5.8%5.8K-148.5K-6650.0779.92N/AN/A121920848