W Options History — February 2015 In February 2015, W traded between $20.09 and $24.53. ATM implied volatility averaged 70.4%. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 23.7% (HV 20d: 46.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 15 of 18 trading days. Term structure was in contango for 4 of 18 days. Put/call ratio averaged 1.37.
Notable Days 2015-02-13 : Highest Volume — 1,569 contracts2015-02-11 : Largest IV spike — 13.6% change2015-02-26 : Largest Expected Move — 21.8%Monthly Statistics Metric Avg Min Max Open Close Price $22.34 $20.09 $24.53 $20.09 $23.31 Max Pain $21.39 $20.00 $22.50 $20.00 $22.50 ATM IV 70.4% 61.8% 75.9% 68.3% 74.0% Expected Move 20.8% 19.6% 21.8% 19.6% 21.2% HV 20d 46.7% 41.2% 51.9% 51.3% 42.7% HV 60d 60.3% 55.8% 70.0% 68.8% 56.8% Term Structure -3.1% -7.8% 8.8% 8.8% -5.5% VWIV 73.0% 50.1% 81.1% 68.1% 75.3% Skew 25d 11.5% 2.8% 25.0% 7.2% 8.4% Skew 10d 25.5% -11.5% 52.7% 36.0% 12.0% Call IV 25d 69.9% 54.2% 76.7% 73.9% 76.7% Put IV 25d 81.4% 70.0% 86.1% 81.1% 85.0% Bid-Ask Spread % 63.11 48.42 71.63 54.78 71.63 Gamma HHI 0.42 0.28 0.64 0.30 0.41 Net GEX 36.8K -11.9K 98.2K 13.7K -11.9K Net DEX -1.4M -3.7M 136.6K 136.6K -527.9K Net VEX -11.1K -14.3K -8.5K -9.7K -14.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.37 0.34 3.47 3.47 1.33 Total Volume 943.111 85 1,569 85 945 Total OI 6,147.333 4,051 7,830 5,658 4,891
Daily Data (18 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 2015-02-02 $20.09 $20.00 68.3% 19.6% 51.3% 0.0% 68.1% 7.2% 8.8% 13.7K 136.6K -9.7K 3.47 54.78 N/A N/A 19 66 2,635 3,023 2015-02-03 $21.20 $20.00 72.7% 20.8% 50.9% 0.0% 50.1% 25.0% 2.4% 25.8K -515.0K -9.7K 2.25 58.63 N/A N/A 277 624 2,640 3,047 2015-02-04 $20.99 $20.00 69.2% 19.8% 49.9% 0.0% 57.9% 3.5% 4.8% 31.1K -597.9K -9.6K 0.82 64.76 N/A N/A 728 598 2,642 3,047 2015-02-05 $21.80 $20.00 65.1% 21.4% 51.9% 0.0% 81.1% 10.3% -3.2% 36.6K -1.4M -10.8K 0.80 58.09 N/A N/A 732 582 3,086 3,053 2015-02-06 $21.42 $20.00 63.7% 20.6% 49.6% 0.0% 75.6% 7.7% -2.7% 35.0K -1.2M -11.2K 0.34 61.20 N/A N/A 917 316 3,086 3,070 2015-02-09 $21.13 $20.00 65.4% 20.9% 48.9% 0.0% 74.7% 5.8% -2.5% 55.8K -1.1M -8.5K 0.37 56.96 N/A N/A 493 181 3,117 3,170 2015-02-10 $21.45 $20.00 61.8% 21.1% 46.4% 0.0% 79.0% 16.8% -7.8% 60.4K -1.5M -9.6K 0.69 58.70 N/A N/A 334 230 3,142 3,186 2015-02-11 $22.01 $20.00 70.2% 20.1% 46.9% 0.0% 72.1% 14.5% -1.8% 71.0K -1.9M -9.7K 2.57 65.37 N/A N/A 336 862 3,137 3,175 2015-02-12 $22.79 $22.50 73.2% 21.0% 48.5% 0.0% 73.3% 16.8% -5.9% 72.2K -2.5M -10.6K 1.86 48.42 N/A N/A 528 982 3,208 3,689 2015-02-13 $22.00 $22.50 71.5% 20.5% 46.8% 0.0% 72.9% 6.0% -5.5% 71.9K -1.4M -12.0K 2.45 64.73 N/A N/A 455 1,114 3,362 3,800 2015-02-17 $22.18 $22.50 70.4% 20.2% 45.5% 0.0% 74.9% 15.5% -6.4% 71.8K -1.4M -10.9K 0.80 66.81 N/A N/A 426 341 3,378 3,983 2015-02-18 $22.37 $22.50 70.5% 20.2% 41.2% 0.0% 72.9% 17.0% -6.0% 98.2K -1.7M -10.6K 0.65 70.22 N/A N/A 493 319 3,358 4,028 2015-02-19 $23.45 $22.50 75.8% 21.7% 44.0% 0.0% 74.3% 11.4% -7.6% 36.1K -3.2M -10.8K 0.49 61.52 N/A N/A 369 181 3,383 4,073 2015-02-20 $24.53 $22.50 72.3% 20.7% 43.2% 0.0% 80.0% 14.2% -7.1% 9.0K -3.7M -11.6K 1.11 67.11 N/A N/A 352 391 3,602 4,228 2015-02-23 $24.30 $22.50 72.9% 20.9% 43.5% 0.0% 81.0% 14.8% -2.4% 5.4K -1.3M -12.4K 1.55 67.10 N/A N/A 315 489 2,150 1,901 2015-02-25 $23.58 $22.50 74.2% 21.3% 45.0% 0.0% 75.0% 2.8% 0.4% -7.8K -774.6K -13.7K 1.72 69.26 N/A N/A 364 626 2,291 2,328 2015-02-26 $23.47 $22.50 75.9% 21.8% 44.9% 0.0% 76.1% 9.2% -6.9% -11.1K -608.6K -14.0K 1.48 70.75 N/A N/A 399 592 2,304 2,439 2015-02-27 $23.31 $22.50 74.0% 21.2% 42.7% 0.0% 75.3% 8.4% -5.5% -11.9K -527.9K -14.3K 1.33 71.63 N/A N/A 406 539 2,362 2,529
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