W Options History — November 2014 In November 2014, W traded between $21.27 and $27.86. ATM implied volatility averaged 72.8%. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 13.0% (HV 20d: 85.8%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.01.
Notable Days 2014-11-14 : Highest Volume — 1,322 contracts2014-11-11 : Largest IV drop — 42.1% change2014-11-28 : Largest Expected Move — 21.4%Monthly Statistics Metric Avg Min Max Open Close Price $23.73 $21.27 $27.86 $25.69 $24.26 Max Pain $23.29 $20.00 $25.00 $25.00 $22.50 ATM IV 72.8% 60.9% 109.9% 65.1% 66.6% Expected Move 19.5% 17.8% 21.4% 17.9% 21.4% HV 20d 85.8% 82.9% 94.2% 94.2% 83.0% Term Structure -2.8% -20.3% 3.4% 3.4% 2.9% VWIV 69.1% 61.3% 83.5% 61.3% 79.4% Skew 25d 15.1% 9.3% 21.0% 11.6% 20.5% Skew 10d 30.6% 6.4% 48.5% 6.4% 27.9% Call IV 25d 59.7% 51.3% 67.4% 63.4% 55.7% Put IV 25d 74.7% 72.3% 77.0% 75.0% 76.2% Bid-Ask Spread % 42.81 20.69 77.15 77.15 31.37 Gamma HHI 0.40 0.20 0.74 0.54 0.20 Net GEX -4.9K -25.4K 26.7K 6.1K -9.4K Net DEX 398.9K -835.1K 1.4M -169.7K 15.7K Net VEX -3.8K -6.9K -651 -651 -6.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.01 0.07 13.06 0.07 3.14 Total Volume 358.474 36 1,322 129 58 Total OI 1,842.526 259 3,221 259 2,777
Daily Data (19 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 2014-11-03 $25.69 $25.00 65.1% 17.9% 0.0% 0.0% 61.3% 0.0% 3.4% 6.1K -169.7K -651 0.07 77.15 N/A N/A 120 9 208 51 2014-11-04 $26.05 $25.00 81.8% 19.7% 0.0% 0.0% 67.4% 0.0% -12.1% 6.5K -190.8K -659 0.08 67.50 N/A N/A 116 9 212 51 2014-11-05 $25.39 $25.00 89.1% 20.1% 0.0% 0.0% 70.4% 0.0% -6.2% 7.1K -211.2K -825 0.12 68.41 N/A N/A 74 9 259 51 2014-11-06 $25.67 $25.00 86.0% 20.2% 0.0% 0.0% 62.4% 0.0% -20.3% 9.6K -286.5K -1.2K 0.25 56.85 N/A N/A 246 62 326 51 2014-11-07 $26.03 $25.00 83.3% 18.8% 0.0% 0.0% 64.1% 0.0% -3.4% 12.6K -409.5K -2.0K 0.18 35.01 N/A N/A 417 75 448 104 2014-11-10 $27.86 $25.00 109.9% 17.8% 0.0% 0.0% 63.3% 0.0% -10.0% 26.7K -835.1K -2.6K 2.83 36.59 N/A N/A 200 565 696 119 2014-11-11 $23.65 $25.00 63.7% 18.2% 0.0% 0.0% 64.2% 0.0% -1.2% 10.0K -181.3K -1.6K 0.97 39.83 N/A N/A 173 167 688 119 2014-11-12 $21.27 $22.50 63.6% 18.2% 0.0% 0.0% 69.1% 0.0% 0.8% -12.0K 1.0M -2.4K 0.63 42.95 N/A N/A 227 144 910 712 2014-11-13 $22.00 $22.50 60.9% 18.1% 94.2% 0.0% 63.8% 11.6% -1.0% -10.3K 911.7K -2.9K 1.91 38.18 N/A N/A 146 279 1,063 726 2014-11-14 $21.57 $22.50 65.8% 18.8% 91.0% 0.0% 83.5% 13.0% -2.5% -11.8K 987.6K -3.2K 13.06 33.07 N/A N/A 94 1,228 1,111 872 2014-11-17 $21.61 $22.50 67.1% 19.2% 88.3% 0.0% 69.0% 10.3% -3.1% -18.4K 1.4M -5.7K 1.64 51.51 N/A N/A 155 254 1,177 1,982 2014-11-18 $22.14 $22.50 65.8% 19.3% 86.7% 0.0% 71.3% 11.9% 0.8% -22.8K 1.4M -5.4K 1.98 42.88 N/A N/A 139 275 1,181 1,984 2014-11-19 $22.29 $20.00 66.0% 20.1% 84.4% 0.0% 68.7% 16.0% 1.6% -18.5K 1.4M -5.9K 3.50 55.34 N/A N/A 8 28 1,192 2,000 2014-11-20 $23.03 $22.50 67.4% 20.0% 83.4% 0.0% 70.2% 18.6% 3.2% -15.2K 1.2M -5.5K 0.96 32.02 N/A N/A 163 156 1,193 2,013 2014-11-21 $22.28 $22.50 70.9% 21.1% 83.3% 0.0% 73.9% 18.0% 2.3% -25.4K 1.3M -5.6K 2.49 30.07 N/A N/A 163 406 1,198 2,023 2014-11-24 $23.00 $22.50 74.2% 21.2% 82.9% 0.0% 66.2% 15.6% -2.9% -13.2K 234.8K -5.9K 0.54 27.50 N/A N/A 105 57 679 1,690 2014-11-25 $23.24 $22.50 70.8% 20.9% 83.0% 0.0% 72.2% 9.3% -7.4% -7.2K 81.1K -6.2K 1.88 26.52 N/A N/A 119 224 749 1,745 2014-11-26 $23.90 $22.50 65.0% 19.4% 83.4% 0.0% 73.1% 21.0% 1.0% -8.2K 68.6K -6.6K 1.88 20.69 N/A N/A 49 92 771 1,877 2014-11-28 $24.26 $22.50 66.6% 21.4% 83.0% 0.0% 79.4% 20.5% 2.9% -9.4K 15.7K -6.9K 3.14 31.37 N/A N/A 14 44 811 1,966
« Oct 2014 | All History | Dec 2014 » Home W History November 2014