W Options History — December 2014

In December 2014, W traded between $18.20 and $23.11. ATM implied volatility averaged 79.3%. The 30-day expected move averaged 23.9%. IV traded above realized volatility by 8.9% (HV 20d: 70.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-12-12: Highest Volume — 2,481 contracts
  • 2014-12-05: Largest IV drop — 13.3% change
  • 2014-12-16: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.36$18.20$23.11$23.11$19.85
Max Pain$21.14$20.00$22.50$22.50$20.00
ATM IV79.3%73.1%90.5%76.6%75.0%
Expected Move23.9%22.6%25.5%22.7%24.7%
HV 20d70.4%45.4%84.9%83.5%67.4%
HV 60d72.6%72.0%73.3%73.3%72.0%
Term Structure4.2%-5.9%11.3%-1.1%10.1%
VWIV82.6%78.9%93.6%80.2%84.0%
Skew 25d12.4%4.4%27.1%18.6%12.0%
Skew 10d29.5%-7.2%55.5%23.9%54.7%
Call IV 25d71.8%62.1%87.7%63.4%68.8%
Put IV 25d84.2%77.1%93.8%82.0%80.8%
Bid-Ask Spread %45.4534.8664.7636.4444.83
Gamma HHI0.280.200.430.200.27
Net GEX-42.6K-114.5K-14.1K-14.1K-27.0K
Net DEX796.6K19.9K2.1M260.2K333.0K
Net VEX-9.5K-10.5K-7.0K-7.0K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.394.254.251.40
Total Volume684.136212,4811,308113
Total OI4,297.7272,8125,1282,8124,500

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$23.11$22.5076.6%22.7%83.5%0.0%80.2%18.6%-1.1%-14.1K260.2K-7.0K4.2536.44N/AN/A2491,0598022,010
2014-12-02$21.98$22.5073.5%22.6%84.6%0.0%79.9%9.5%-3.2%-34.1K810.7K-9.3K0.8439.07N/AN/A3182679142,801
2014-12-03$21.15$22.5080.5%22.6%84.9%0.0%80.6%4.4%-1.2%-35.0K877.2K-9.3K0.8134.86N/AN/A2752239922,811
2014-12-04$20.90$22.5089.6%23.6%84.7%0.0%93.6%27.1%-5.9%-38.7K1.1M-9.4K0.4142.91N/AN/A186771,0102,813
2014-12-05$20.77$22.5077.6%23.8%84.4%0.0%79.4%9.0%5.9%-40.6K1.1M-9.8K0.9040.76N/AN/A3763391,1362,826
2014-12-08$21.04$22.5079.5%24.0%84.3%0.0%80.0%10.4%8.1%-43.6K997.5K-9.2K0.8740.71N/AN/A3533061,1332,807
2014-12-09$20.98$22.5078.3%23.8%79.1%0.0%79.6%12.4%5.7%-46.3K1.1M-9.3K0.8039.54N/AN/A3773011,1342,901
2014-12-10$20.11$22.5076.3%23.7%57.5%0.0%80.3%11.1%6.6%-51.4K1.3M-9.3K0.6744.53N/AN/A3762531,1592,915
2014-12-11$19.49$22.5077.8%23.7%45.4%0.0%82.0%6.4%5.4%-53.9K1.4M-9.1K1.1249.40N/AN/A2532841,1742,942
2014-12-12$18.20$22.5083.2%25.4%48.4%0.0%84.3%12.2%5.3%-52.1K2.1M-8.7K2.5343.19N/AN/A7031,7781,1802,978
2014-12-15$19.17$20.0083.1%24.0%52.9%0.0%82.3%16.4%-0.3%-52.8K1.3M-10.5K0.9340.61N/AN/A4974601,5913,395
2014-12-16$18.45$20.0090.5%25.5%54.0%0.0%87.2%5.3%-4.1%-54.8K1.6M-10.3K0.7844.13N/AN/A4893791,6373,393
2014-12-17$20.97$20.0084.0%24.5%71.8%0.0%82.5%12.8%1.9%-50.5K538.5K-10.4K0.7440.27N/AN/A5003711,6343,393
2014-12-18$20.94$20.0083.3%24.3%71.8%0.0%82.5%18.6%7.4%-57.4K575.0K-10.0K0.7147.29N/AN/A5403831,6663,409
2014-12-19$20.06$20.0083.9%24.7%71.8%0.0%88.9%10.1%1.7%-114.5K835.2K-10.1K1.0242.75N/AN/A1611651,7153,413
2014-12-22$20.31$20.0077.5%23.8%71.4%0.0%83.9%13.3%5.4%-29.3K221.5K-10.0K0.3942.63N/AN/A4311701,3102,931
2014-12-23$20.81$20.0073.1%23.9%70.9%0.0%79.9%15.0%11.3%-27.5K19.9K-9.8K0.5464.76N/AN/A3181711,4002,942
2014-12-24$20.44$20.0073.2%23.2%70.8%0.0%78.9%16.9%9.6%-22.8K93.4K-10.2K0.5747.06N/AN/A3001711,4532,972
2014-12-26$20.25$20.0074.1%23.7%69.6%0.0%80.0%9.8%9.2%-24.4K154.4K-9.8K0.5360.89N/AN/A3191691,4532,972
2014-12-29$19.45$20.0078.8%24.0%70.0%0.0%82.6%8.1%8.0%-32.7K412.0K-9.5K0.5354.06N/AN/A3731971,4702,972
2014-12-30$19.54$20.0075.2%23.7%68.7%0.0%84.2%13.2%7.3%-33.4K483.2K-9.3K1.1059.16N/AN/A10111,5122,979
2014-12-31$19.85$20.0075.0%24.7%67.4%0.0%84.0%12.0%10.1%-27.0K333.0K-9.1K1.4044.83N/AN/A47661,5122,988