W Options History — April 2015

In April 2015, W traded between $30.87 and $34.63. ATM implied volatility averaged 70.2%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 21.7% (HV 20d: 48.5%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2015-04-17: Highest Volume — 1,636 contracts
  • 2015-04-17: Largest IV spike — 20.6% change
  • 2015-04-30: Highest IV Rank — 59.5%
  • 2015-04-30: Largest Expected Move — 25.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.80$30.87$34.63$31.51$32.15
Max Pain$31.43$25.00$35.00$30.00$35.00
ATM IV70.2%56.9%87.3%59.0%87.3%
Expected Move20.3%16.9%25.0%16.9%25.0%
HV 20d48.5%41.8%57.9%57.9%42.7%
HV 60d56.3%55.2%58.4%58.4%55.8%
IV Rank53.6%48.4%59.5%48.4%59.5%
IV Percentile89.5%84.9%93.8%84.9%93.8%
Term Structure-6.2%-21.7%4.4%4.4%-21.7%
VWIV69.9%49.0%85.3%53.6%85.3%
Skew 25d3.2%-3.5%10.6%6.6%-3.5%
Skew 10d14.6%1.9%29.2%15.8%1.9%
Call IV 25d70.6%57.2%90.4%57.2%90.4%
Put IV 25d73.8%63.0%90.8%63.8%86.9%
Bid-Ask Spread %74.4064.6582.9382.9381.23
Gamma HHI0.390.200.780.470.35
Net GEX12.9K-105.3K198.3K71.5K-37.6K
Net DEX-3.7M-8.9M-598.3K-3.9M-598.3K
Net VEX-16.7K-22.0K-11.9K-21.6K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.425.790.420.84
Total Volume773.6671971,636775616
Total OI7,393.0953,8299,6029,2175,061

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$31.51$30.0059.0%16.9%57.9%0.0%53.6%6.6%4.4%71.5K-3.9M-21.6K0.4282.93N/AN/A5472284,0775,140
2015-04-02$30.87$25.0056.9%18.1%56.2%0.0%62.1%4.8%0.5%90.6K-3.0M-22.0K0.4869.45N/AN/A5522644,0975,157
2015-04-06$31.59$25.0062.1%18.5%55.6%0.0%68.0%10.6%1.8%115.9K-4.0M-18.9K0.8265.57N/AN/A3642994,0575,188
2015-04-07$31.75$30.0060.0%18.4%55.5%0.0%63.1%5.4%-2.1%198.3K-4.3M-16.7K0.9866.19N/AN/A3713624,0645,270
2015-04-08$32.92$30.0062.3%17.9%55.3%0.0%49.0%5.0%-0.3%8.8K-4.8M-20.1K5.7969.52N/AN/A291684,0165,315
2015-04-09$32.72$30.0061.6%17.7%55.5%0.0%62.3%4.0%2.3%12.7K-4.7M-20.4K0.9864.65N/AN/A4033964,0905,326
2015-04-10$33.69$30.0062.3%17.9%54.4%0.0%62.4%3.3%-0.3%25.7K-6.6M-19.1K0.6575.88N/AN/A5523604,1305,377
2015-04-13$34.23$30.0062.4%17.9%46.4%0.0%62.3%1.7%-0.5%40.4K-7.9M-16.4K0.8975.24N/AN/A3953534,2095,393
2015-04-14$34.06$30.0064.1%18.4%46.5%0.0%62.3%-2.1%0.4%28.5K-7.5M-15.7K0.6474.84N/AN/A4362814,0595,394
2015-04-15$33.72$30.0064.8%18.6%42.3%0.0%63.3%0.5%-0.1%23.7K-6.8M-14.9K0.6479.56N/AN/A4262733,9895,424
2015-04-16$34.63$30.0062.9%18.0%42.9%0.0%65.1%3.1%1.1%-105.3K-8.9M-11.9K0.7678.61N/AN/A3922973,9965,428
2015-04-17$32.08$30.0075.9%21.8%47.5%0.0%76.4%2.2%-13.6%-332-5.6M-12.8K0.6072.39N/AN/A1,0226143,9025,398
2015-04-20$32.18$30.0076.7%22.0%45.9%0.0%76.6%1.6%-10.2%9.7K-1.5M-13.5K3.7773.40N/AN/A3111,1721,7552,074
2015-04-21$32.63$35.0074.1%21.3%46.1%0.0%74.7%3.3%-7.4%-31.6K-780.5K-16.4K1.8774.15N/AN/A3456451,7872,882
2015-04-22$32.34$35.0077.0%22.1%45.2%0.0%77.8%1.5%-8.1%-30.4K-659.2K-16.5K0.7774.20N/AN/A3272521,8412,897
2015-04-23$33.05$35.0076.6%22.0%45.1%0.0%77.5%7.2%-10.8%-31.3K-892.2K-16.0K0.6775.44N/AN/A3562391,8412,918
2015-04-24$32.82$35.0079.3%22.7%45.1%0.0%78.8%-1.1%-13.9%-27.8K-1.0M-16.1K0.8673.43N/AN/A3873331,8892,938
2015-04-27$33.87$35.0083.3%23.9%45.1%0.0%81.6%8.8%-18.2%-26.7K-1.7M-14.8K0.8576.13N/AN/A3482951,9542,977
2015-04-28$32.85$35.0081.2%23.3%44.7%48.4%82.7%-0.4%-14.1%-27.5K-1.1M-15.1K1.0979.22N/AN/A3123401,9482,958
2015-04-29$33.11$35.0083.8%24.0%41.8%53.0%83.7%5.0%-18.8%-35.3K-1.1M-15.3K0.8680.35N/AN/A3152701,9653,074
2015-04-30$32.15$35.0087.3%25.0%42.7%59.5%85.3%-3.5%-21.7%-37.6K-598.3K-15.6K0.8481.23N/AN/A3352811,9673,094