W Options History — May 2015

In May 2015, W traded between $27.78 and $30.88. ATM implied volatility averaged 73.1%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 18.6% (HV 20d: 54.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-05-08: Highest Volume — 4,566 contracts
  • 2015-05-11: Largest IV drop — 33.1% change
  • 2015-05-06: Highest IV Rank — 100.0%
  • 2015-05-01: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.34$27.78$30.88$30.06$29.88
Max Pain$30.25$30.00$35.00$35.00$30.00
ATM IV73.1%51.7%120.8%86.9%51.7%
Expected Move17.4%14.8%24.9%24.9%14.8%
HV 20d54.5%47.9%58.8%48.6%57.7%
HV 60d58.9%52.6%60.9%57.0%52.6%
IV Rank30.8%0.0%100.0%58.6%0.0%
IV Percentile38.0%0.0%100.0%92.2%0.0%
Term Structure-1.5%-21.4%5.9%-21.4%0.9%
VWIV60.6%47.9%88.8%88.8%52.1%
Skew 25d3.4%-2.5%7.4%-2.5%7.3%
Skew 10d9.6%-9.8%21.0%-9.8%11.7%
Call IV 25d60.3%50.3%90.8%90.8%51.4%
Put IV 25d63.7%56.2%88.3%88.3%58.7%
Bid-Ask Spread %69.5057.5580.4980.4979.84
Gamma HHI0.400.190.950.370.40
Net GEX137.9K-50.6K857.2K-50.6K66.1K
Net DEX-1.9M-10.6M1.1M921.3K-1.7M
Net VEX-16.5K-20.4K-12.5K-15.3K-17.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.145.670.260.43
Total Volume1,246.21404,5661,191907
Total OI7,243.452,89513,8425,1424,668

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$30.06$35.0086.9%24.9%48.6%58.6%88.8%-2.5%-21.4%-50.6K921.3K-15.3K0.2680.49N/AN/A9432481,9873,155
2015-05-04$29.56$30.0097.8%19.7%48.0%78.2%68.6%4.3%-4.5%-35.8K1.1M-14.6K0.1562.71N/AN/A1,0631642,3803,171
2015-05-05$29.38$30.00102.8%19.7%47.9%87.2%69.1%2.8%-2.9%28.3K-312.0K-16.4K0.8566.42N/AN/A3282803,3173,205
2015-05-06$27.78$30.00116.7%20.1%48.9%100.0%71.3%3.0%-4.3%12.9K938.9K-15.2K0.4657.55N/AN/A8683973,3773,178
2015-05-07$28.54$30.00120.8%20.4%50.5%100.0%71.7%6.9%-6.8%52.4K-10.7K-16.3K0.1459.19N/AN/A2,5813683,9363,264
2015-05-08$30.78$30.00119.1%20.6%57.1%97.5%73.3%5.8%-5.4%226.3K-6.2M-20.2K0.1965.35N/AN/A3,8407265,9783,315
2015-05-11$30.01$30.0079.6%16.5%57.0%38.1%58.4%1.7%3.3%694.9K-9.9M-20.2K1.0565.31N/AN/A1,2091,2699,4323,790
2015-05-12$30.08$30.0074.6%16.4%57.1%30.6%59.2%4.3%4.1%857.2K-10.6M-20.4K0.8765.67N/AN/A6515669,7204,122
2015-05-13$28.74$30.0058.5%16.8%58.8%6.4%56.6%-1.6%3.9%650.7K-5.4M-19.0K1.0370.38N/AN/A4965109,6684,130
2015-05-14$28.51$30.0057.0%16.3%57.4%4.1%54.2%2.9%4.7%-427639.5K-12.5K0.8668.63N/AN/A4814149,6324,132
2015-05-15$29.15$30.0054.7%15.7%52.6%0.7%55.9%7.4%5.9%-601559.9K-12.5K0.7068.71N/AN/A5383749,6474,158
2015-05-18$28.32$30.0056.4%16.2%53.2%3.2%58.7%3.0%-0.4%-1.7K-192.9K-12.7K5.6774.10N/AN/A211191,4181,477
2015-05-19$28.65$30.0055.7%16.0%53.1%2.2%55.7%2.8%1.4%-3.6K-289.9K-13.2K0.9366.35N/AN/A1501391,4361,594
2015-05-20$28.31$30.0055.3%15.9%53.1%1.5%54.1%2.2%-1.4%-4.7K-65.4K-14.0K0.4073.12N/AN/A8353381,5801,732
2015-05-21$29.92$30.0054.8%15.7%56.7%0.8%54.0%5.1%-3.7%31.6K-1.5M-16.8K0.5069.74N/AN/A8334152,1741,752
2015-05-22$30.88$30.0053.6%15.4%58.2%0.0%47.9%6.7%0.3%62.1K-2.5M-19.0K1.7269.37N/AN/A2484262,5891,962
2015-05-26$29.58$30.0055.2%15.8%58.3%2.4%54.1%1.6%-1.3%56.8K-1.7M-18.1K1.5373.63N/AN/A2934492,6121,944
2015-05-27$29.40$30.0055.4%15.9%57.7%2.7%53.4%-0.5%-2.0%58.3K-1.5M-18.0K1.8775.47N/AN/A2534722,6581,955
2015-05-28$29.18$30.0054.6%15.7%57.4%1.6%54.5%3.8%-1.2%57.7K-1.3M-17.7K1.8078.03N/AN/A2544582,6691,955
2015-05-29$29.88$30.0051.7%14.8%57.7%0.0%52.1%7.3%0.9%66.1K-1.7M-17.9K0.4379.84N/AN/A6342732,6691,999