W Options History — January 2015

In January 2015, W traded between $19.04 and $23.27. ATM implied volatility averaged 76.8%. The 30-day expected move averaged 21.8%. IV traded above realized volatility by 15.1% (HV 20d: 61.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2015-01-08: Highest Volume — 2,627 contracts
  • 2015-01-14: Largest IV drop — 15.3% change
  • 2015-01-08: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.16$19.04$23.27$20.81$19.65
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV76.8%67.0%97.8%78.6%67.4%
Expected Move21.8%19.2%24.7%24.3%19.3%
HV 20d61.7%50.9%73.9%68.6%53.6%
HV 60d70.3%68.4%72.8%72.2%68.7%
Term Structure4.0%-4.8%11.6%6.9%9.5%
VWIV76.2%56.4%90.5%81.3%64.2%
Skew 25d8.7%-5.5%22.4%22.4%-5.5%
Skew 10d18.9%-21.2%66.2%66.2%17.6%
Call IV 25d73.5%61.7%82.4%66.3%77.6%
Put IV 25d82.2%72.1%97.7%88.6%72.1%
Bid-Ask Spread %47.1734.1857.6452.2949.36
Gamma HHI0.350.210.860.260.27
Net GEX39.4K-25.6K217.4K-25.6K3.6K
Net DEX-1.6M-7.5M875.3K47.3K492.0K
Net VEX-10.5K-12.3K-8.7K-9.0K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.106.780.462.03
Total Volume808.35582,627478969
Total OI6,058.454,4838,9074,5465,671

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$20.81$20.0078.6%24.3%68.6%0.0%81.3%22.4%6.9%-25.6K47.3K-9.0K0.4652.29N/AN/A3281501,4933,053
2015-01-05$22.02$20.0076.8%24.5%71.4%0.0%90.5%22.0%-4.8%-14.6K-453.4K-8.7K1.6745.37N/AN/A851421,5063,037
2015-01-06$22.60$20.0075.9%24.4%71.8%0.0%90.5%11.4%-2.9%-8.2K-753.3K-8.8K6.7844.24N/AN/A493321,5563,169
2015-01-07$22.34$20.0077.4%24.1%71.9%0.0%89.1%7.9%-2.6%-10.8K-721.0K-8.9K4.2352.33N/AN/A261101,5593,414
2015-01-08$21.34$20.0087.0%24.7%73.9%0.0%90.2%15.0%-4.7%-22.4K-213.6K-9.2K0.1055.07N/AN/A2,3862411,5803,499
2015-01-09$20.78$20.0097.8%24.0%72.9%0.0%83.0%9.3%-0.3%76.6K-2.9M-11.9K0.1746.97N/AN/A1,3342253,7423,574
2015-01-12$21.73$20.0097.4%22.4%73.4%0.0%81.2%7.7%2.7%137.5K-4.6M-11.6K1.3248.63N/AN/A4616084,4483,591
2015-01-13$22.15$20.0088.4%22.3%68.1%0.0%78.6%11.2%0.9%126.0K-4.7M-12.3K0.9051.79N/AN/A3162834,5343,915
2015-01-14$22.17$20.0074.9%21.5%66.3%0.0%75.6%10.2%5.8%158.2K-5.3M-11.8K0.4355.84N/AN/A7093044,6413,917
2015-01-15$23.27$20.0076.7%22.0%65.5%0.0%79.3%6.0%6.1%113.8K-7.5M-10.3K1.5834.18N/AN/A4857664,6483,942
2015-01-16$22.50$20.0073.9%21.2%50.9%0.0%84.9%5.3%6.8%217.4K-6.2M-11.0K0.2842.15N/AN/A321894,6184,289
2015-01-20$21.35$20.0074.1%21.3%54.6%0.0%75.1%9.0%2.1%1.7K-522.6K-10.5K0.2042.83N/AN/A390791,9442,539
2015-01-21$21.21$20.0071.7%20.6%52.2%0.0%70.4%3.8%8.3%11.0K-631.1K-10.7K0.5244.62N/AN/A3211682,1822,565
2015-01-22$20.43$20.0070.7%20.3%54.0%0.0%57.0%1.2%6.5%10.7K-241.2K-11.6K2.1449.07N/AN/A3277002,4232,727
2015-01-23$20.41$20.0069.9%20.0%53.2%0.0%56.4%6.6%7.1%8.0K-12.9K-11.2K1.8635.27N/AN/A3636762,4662,737
2015-01-26$20.11$20.0070.4%20.2%53.1%0.0%75.7%6.8%8.5%10.8K69.6K-11.1K5.1637.37N/AN/A673462,4902,764
2015-01-27$20.00$20.0070.3%20.2%53.0%0.0%70.4%13.4%6.4%3.4K249.1K-11.2K0.3251.53N/AN/A44142,5333,085
2015-01-28$19.36$20.0069.9%20.0%52.3%0.0%65.4%6.1%5.2%-4.4K657.1K-10.7K2.0757.64N/AN/A3216632,5713,099
2015-01-29$19.04$20.0067.0%19.2%52.6%0.0%64.8%3.8%11.6%-5.8K875.3K-10.0K2.0646.76N/AN/A3176522,5793,069
2015-01-30$19.65$20.0067.4%19.3%53.6%0.0%64.2%-5.5%9.5%3.6K492.0K-10.0K2.0349.36N/AN/A3206492,6323,039