W Options History — June 2015

In June 2015, W traded between $28.79 and $38.74. ATM implied volatility averaged 55.9%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 5.8% (HV 20d: 50.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.61.

Notable Days

  • 2015-06-26: Highest Volume — 4,769 contracts
  • 2015-06-26: Largest IV spike — 15.5% change
  • 2015-06-29: Highest IV Rank — 19.0%
  • 2015-06-29: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.69$28.79$38.74$28.79$37.74
Max Pain$30.45$30.00$35.00$30.00$35.00
ATM IV55.9%51.4%64.6%53.6%60.2%
Expected Move15.8%14.7%18.5%15.4%17.3%
HV 20d50.1%46.3%57.4%54.2%47.1%
HV 60d51.2%49.2%54.6%52.5%50.3%
IV Rank6.2%0.0%19.0%2.8%12.6%
IV Percentile10.8%0.0%40.8%1.3%31.2%
Term Structure6.1%-3.3%11.6%-1.1%6.7%
VWIV55.5%49.8%63.1%53.8%61.5%
Skew 25d5.1%-3.7%24.1%-3.7%6.8%
Skew 10d9.6%-14.9%39.3%-8.7%12.6%
Call IV 25d54.1%39.8%63.0%57.9%59.7%
Put IV 25d59.2%53.7%68.4%54.2%66.6%
Bid-Ask Spread %71.5461.8392.4780.3874.70
Gamma HHI0.500.220.810.380.79
Net GEX30.0K-380.4K210.8K52.3K-364.2K
Net DEX-4.7M-12.2M5.1M-895.6K3.8M
Net VEX-26.2K-55.3K-13.4K-16.7K-54.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.0012.170.931.28
Total Volume1,342.6363214,769441958
Total OI7,000.0454,66511,4804,66511,376

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$28.79$30.0053.6%15.4%54.2%2.8%53.8%-3.7%-1.1%52.3K-895.6K-16.7K0.9380.38N/AN/A2292122,6372,028
2015-06-02$29.26$30.0057.2%16.4%54.3%8.0%57.2%15.2%-3.3%52.2K-1.1M-17.1K0.0092.47N/AN/A1,50842,6482,053
2015-06-03$30.69$30.0055.2%15.8%56.8%5.1%55.2%24.1%0.1%179.5K-4.1M-19.8K0.5679.13N/AN/A1,0175703,6492,052
2015-06-04$30.67$30.0056.1%15.4%52.6%6.3%53.7%2.1%7.7%210.8K-5.0M-22.3K0.5865.66N/AN/A4462584,3412,407
2015-06-05$32.98$30.0057.0%15.0%57.4%7.8%53.7%8.2%7.0%132.9K-7.2M-21.2K0.4973.76N/AN/A3931934,2622,443
2015-06-08$33.60$30.0058.8%15.6%51.6%10.2%56.0%8.6%4.9%134.6K-8.0M-18.9K1.0867.11N/AN/A1801954,1932,463
2015-06-09$33.73$30.0057.1%15.6%50.4%7.8%55.8%3.3%6.0%137.8K-8.3M-19.0K0.9563.16N/AN/A1651564,2052,476
2015-06-10$33.99$30.0053.6%15.4%50.4%2.8%55.0%10.0%5.9%141.6K-8.7M-18.2K0.0765.91N/AN/A2,1451564,2132,466
2015-06-11$34.05$30.0053.9%15.4%46.7%3.1%54.2%-0.3%6.0%120.5K-7.9M-17.1K0.0867.01N/AN/A2,1541823,8432,466
2015-06-12$34.21$30.0053.7%15.4%46.3%2.9%57.1%4.2%7.8%126.9K-8.3M-16.2K0.1367.98N/AN/A2,1672713,8372,442
2015-06-15$33.05$30.0055.0%15.8%48.5%4.8%55.8%-0.8%6.1%141.3K-7.1M-16.0K0.1277.42N/AN/A2,1742653,8982,415
2015-06-16$34.15$30.0053.3%15.3%47.5%2.3%53.8%3.1%8.9%135.6K-8.9M-14.2K0.8381.35N/AN/A3072543,9012,457
2015-06-17$34.59$30.0052.9%15.2%47.5%1.8%56.1%4.0%8.9%124.8K-9.7M-14.8K1.4674.87N/AN/A1772583,9972,482
2015-06-18$37.43$30.0055.1%15.8%52.7%4.9%49.8%4.5%7.0%63.0K-12.1M-13.4K1.8761.83N/AN/A4648684,0242,530
2015-06-19$37.99$30.0052.6%15.1%50.4%1.3%52.2%3.0%11.1%29.3K-12.2M-16.7K7.5163.22N/AN/A3862,8984,1453,172
2015-06-22$38.74$30.0052.6%15.1%50.0%1.4%52.4%1.6%10.5%-48.6K-1.7M-38.4K1.5068.23N/AN/A3184782,1564,800
2015-06-23$37.94$30.0051.4%14.7%47.3%0.0%50.4%3.1%11.6%-76.5K-768.3K-41.3K0.8269.37N/AN/A2752252,1495,308
2015-06-24$37.39$30.0056.5%16.2%47.9%7.4%55.8%3.1%7.0%-80.8K-380.0K-41.8K0.7668.47N/AN/A2461862,1485,350
2015-06-25$37.25$30.0055.5%15.9%47.7%5.9%55.2%3.0%8.2%-84.5K-85.5K-40.9K0.7268.87N/AN/A2661912,1545,362
2015-06-26$38.03$30.0064.1%18.4%47.6%18.3%63.1%3.5%3.2%-87.2K-114.8K-42.5K12.1771.11N/AN/A3624,4072,1595,414
2015-06-29$36.82$35.0064.6%18.5%47.0%19.0%62.5%5.4%3.9%-380.4K5.1M-55.3K1.5271.77N/AN/A3865882,2989,182
2015-06-30$37.74$35.0060.2%17.3%47.1%12.6%61.5%6.8%6.7%-364.2K3.8M-54.1K1.2874.70N/AN/A4205382,3299,047