W Options History — March 2015

In March 2015, W traded between $23.55 and $33.51. ATM implied volatility averaged 61.0%. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 6.6% (HV 20d: 67.6%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.69.

Notable Days

  • 2015-03-03: Highest Volume — 6,198 contracts
  • 2015-03-04: Largest IV drop — 35.1% change
  • 2015-03-03: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.27$23.55$33.51$23.55$32.06
Max Pain$28.98$22.50$30.00$22.50$30.00
ATM IV61.0%54.3%90.0%86.3%59.4%
Expected Move17.3%15.6%25.8%24.8%17.0%
HV 20d67.6%41.6%74.4%41.6%73.4%
HV 60d60.0%55.9%63.5%55.9%58.8%
Term Structure2.0%-17.4%6.6%-12.7%6.2%
VWIV59.5%49.8%97.5%88.0%49.8%
Skew 25d4.6%0.3%12.8%5.5%3.4%
Skew 10d9.0%-2.8%23.7%16.1%6.9%
Call IV 25d59.6%48.2%90.5%89.7%57.4%
Put IV 25d64.3%58.6%100.7%95.2%60.8%
Bid-Ask Spread %69.3126.5079.8955.7276.16
Gamma HHI0.460.310.690.390.44
Net GEX49.2K-31.8K161.7K-11.3K61.6K
Net DEX-6.3M-12.9M-492.4K-492.4K-4.6M
Net VEX-24.1K-31.3K-14.1K-14.1K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.690.1057.400.370.66
Total Volume1,278.636726,1982,068926
Total OI11,582.9095,02815,6815,0289,348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$23.55$22.5086.3%24.8%41.6%0.0%88.0%5.5%-12.7%-11.3K-492.4K-14.1K0.3755.72N/AN/A1,5065622,4332,595
2015-03-03$25.33$22.5090.0%25.8%46.6%0.0%97.5%10.2%-17.4%33.6K-2.6M-17.2K1.1147.70N/AN/A2,9433,2553,4402,848
2015-03-04$28.97$22.5058.3%16.7%63.6%0.0%59.3%5.9%-2.2%161.7K-9.3M-21.7K1.4026.50N/AN/A1,5872,2225,4024,981
2015-03-05$27.79$30.0063.5%16.5%65.5%0.0%59.6%4.0%2.1%75.3K-5.8M-27.8K1.9168.73N/AN/A8991,7155,5436,437
2015-03-06$28.76$30.0058.5%16.1%65.3%0.0%54.0%6.0%5.3%84.8K-7.0M-29.1K0.5267.06N/AN/A1,1115795,6437,546
2015-03-09$29.04$30.0060.1%16.1%64.8%0.0%55.6%5.6%4.2%45.0K-6.6M-30.3K0.1072.55N/AN/A368365,7607,613
2015-03-10$28.26$30.0060.8%16.3%65.5%0.0%55.8%5.3%3.8%27.5K-4.9M-31.3K0.9769.96N/AN/A80785,7107,619
2015-03-11$28.57$30.0056.4%16.2%64.7%0.0%54.1%5.9%5.0%45.0K-5.2M-30.5K0.4270.20N/AN/A92395,7257,672
2015-03-12$29.87$30.0054.3%15.6%65.5%0.0%54.2%12.8%6.6%142.0K-8.5M-25.9K8.9375.15N/AN/A1241,1075,7737,663
2015-03-13$32.45$30.0056.7%16.3%69.6%0.0%55.7%3.9%3.0%53.7K-12.9M-23.6K1.2078.77N/AN/A9951,1935,7498,430
2015-03-16$32.48$30.0057.9%16.6%69.6%0.0%57.0%2.3%3.4%-31.8K-9.3M-25.5K1.8479.19N/AN/A4408095,5719,347
2015-03-17$30.85$30.0057.8%16.6%71.5%0.0%53.5%1.5%4.3%14.4K-5.5M-25.8K1.2877.08N/AN/A1822335,61410,001
2015-03-18$31.26$30.0057.5%16.5%71.4%0.0%56.5%4.1%3.0%7.3K-7.0M-23.7K0.1676.15N/AN/A62105,6939,988
2015-03-19$33.07$30.0056.2%16.1%72.7%0.0%56.8%2.6%3.9%18.9K-9.4M-21.6K0.4276.52N/AN/A159675,6579,988
2015-03-20$31.94$30.0059.8%17.1%74.3%0.0%57.8%3.4%1.4%17.1K-7.6M-23.3K0.5866.97N/AN/A2101225,63210,004
2015-03-23$32.22$30.0058.4%16.7%73.5%0.0%59.5%0.3%4.9%24.7K-5.0M-21.3K0.6167.44N/AN/A6914193,5814,864
2015-03-24$31.40$30.0058.4%16.7%74.4%0.0%58.4%3.2%4.8%73.0K-5.1M-23.5K0.2779.89N/AN/A360964,1664,663
2015-03-25$30.87$30.0057.4%16.5%73.6%0.0%57.3%2.9%6.3%71.0K-4.1M-24.5K0.1067.61N/AN/A193204,1524,727
2015-03-26$31.35$30.0057.6%16.5%73.3%0.0%54.5%7.4%3.6%74.4K-4.8M-24.3K0.3174.77N/AN/A9002764,2014,732
2015-03-27$32.33$30.0058.7%16.8%73.0%0.0%57.8%3.9%3.3%66.4K-6.0M-22.3K57.4077.87N/AN/A105744,1634,774
2015-03-30$33.51$30.0057.3%16.4%73.3%0.0%56.1%2.2%0.8%27.5K-6.7M-21.3K0.5672.91N/AN/A5643164,1705,206
2015-03-31$32.06$30.0059.4%17.0%73.4%0.0%49.8%3.4%6.2%61.6K-4.6M-22.1K0.6676.16N/AN/A5573694,0745,274