W Options History — July 2015

In July 2015, W traded between $35.49 and $39.65. ATM implied volatility averaged 74.7%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 33.2% (HV 20d: 41.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.46.

Notable Days

  • 2015-07-07: Highest Volume — 922 contracts
  • 2015-07-06: Largest IV spike — 12.7% change
  • 2015-07-31: Highest IV Rank — 43.8%
  • 2015-07-31: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.75$35.49$39.65$38.03$37.33
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV74.7%59.6%81.8%59.6%81.8%
Expected Move21.2%17.1%23.4%17.1%23.4%
HV 20d41.5%37.2%45.6%45.3%41.1%
HV 60d49.3%46.4%50.9%50.3%46.4%
IV Rank33.5%11.7%43.8%11.7%43.8%
IV Percentile68.7%29.2%86.5%29.2%86.5%
Term Structure-7.1%-14.7%7.0%7.0%-11.5%
VWIV75.4%56.2%85.2%56.2%83.9%
Skew 25d2.5%-4.7%5.9%4.9%-2.0%
Skew 10d9.4%-1.8%19.3%15.4%4.7%
Call IV 25d72.7%59.3%84.7%59.3%84.7%
Put IV 25d75.3%64.2%85.3%64.2%82.8%
Bid-Ask Spread %60.7454.4077.6367.0357.88
Gamma HHI0.760.660.880.800.66
Net GEX-279.9K-518.0K-149.9K-375.0K-168.3K
Net DEX3.3M813.8K7.4M3.7M2.8M
Net VEX-44.5K-53.2K-39.5K-53.2K-41.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.282.261.541.39
Total Volume561.864396922515780
Total OI9,903.0457,65211,69211,3548,382

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$38.03$35.0059.6%17.1%45.3%11.7%56.2%4.9%7.0%-375.0K3.7M-53.2K1.5467.03N/AN/A2033122,2749,080
2015-07-02$37.78$35.0062.8%18.0%45.6%16.3%65.7%5.6%5.3%-380.2K3.8M-52.8K2.2268.02N/AN/A1232732,2789,121
2015-07-06$36.89$35.0070.7%20.3%40.7%27.8%73.1%5.9%-4.7%-418.0K4.9M-51.3K2.2663.63N/AN/A1232782,2889,141
2015-07-07$36.96$35.0069.1%21.0%40.4%25.5%74.0%5.4%-4.5%-431.8K4.7M-50.8K0.5461.83N/AN/A6003222,2889,174
2015-07-08$35.49$35.0076.8%20.6%43.5%36.6%71.9%2.8%-4.5%-456.3K7.4M-50.9K0.2857.58N/AN/A6461812,0979,225
2015-07-09$36.35$35.0071.7%20.8%44.1%29.2%73.3%5.3%-6.6%-491.1K6.0M-49.4K1.6656.22N/AN/A1622692,1649,233
2015-07-10$37.32$35.0074.5%20.6%44.9%33.2%72.9%5.5%-6.7%-415.9K4.5M-49.5K1.6159.33N/AN/A1642642,1679,283
2015-07-13$38.33$35.0078.1%19.8%45.6%38.5%75.7%5.5%-4.4%-371.5K3.7M-47.1K1.3359.38N/AN/A1942582,1669,382
2015-07-14$38.18$35.0077.8%20.0%43.2%38.0%72.9%3.4%-5.9%-379.0K4.0M-44.9K1.6059.23N/AN/A1632612,1839,383
2015-07-15$37.16$35.0073.8%21.2%43.8%32.3%77.5%3.2%-9.6%-518.0K3.1M-43.7K1.3666.05N/AN/A1992712,1999,362
2015-07-16$37.25$35.0071.3%20.5%43.6%28.7%72.2%-3.1%-7.8%-155.8K1.9M-42.1K2.1277.63N/AN/A1623432,2089,401
2015-07-17$38.99$35.0071.8%20.6%37.2%29.3%75.0%3.3%-6.9%-157.4K813.8K-41.0K2.0563.68N/AN/A1493052,2089,484
2015-07-20$39.65$35.0073.3%21.0%37.2%31.6%76.0%-0.5%-6.0%-149.9K1.5M-39.7K1.2557.82N/AN/A2392981,5116,141
2015-07-21$38.82$35.0076.8%22.0%37.5%36.6%76.2%-1.7%-8.4%-153.2K1.8M-40.4K1.2661.40N/AN/A2383001,5686,191
2015-07-22$37.97$35.0077.0%22.1%37.6%36.9%76.0%-1.3%-9.1%-156.6K2.6M-40.4K1.1960.58N/AN/A2422881,6006,211
2015-07-23$38.75$35.0076.2%21.8%37.9%35.7%77.0%3.5%-8.7%-160.7K2.1M-40.0K1.3658.51N/AN/A2132901,6676,221
2015-07-24$39.27$35.0077.0%22.1%38.0%36.8%77.6%3.2%-8.8%-154.8K1.7M-39.5K1.2054.40N/AN/A2272721,6706,241
2015-07-27$37.10$35.0080.4%23.0%42.8%41.7%80.6%-4.7%-13.7%-158.7K3.0M-39.8K1.5457.78N/AN/A2674101,6766,241
2015-07-28$37.84$35.0079.8%22.9%41.8%40.9%80.8%3.5%-13.1%-172.2K2.8M-39.8K1.5755.59N/AN/A2724261,7736,412
2015-07-29$37.81$35.0081.3%23.3%40.8%43.0%84.2%5.6%-14.7%-167.7K2.8M-40.4K1.4455.58N/AN/A2824051,8066,441
2015-07-30$37.19$35.0081.8%23.4%41.1%43.7%85.2%2.6%-13.9%-166.3K3.0M-41.1K1.3157.23N/AN/A2983891,8526,474
2015-07-31$37.33$35.0081.8%23.4%41.1%43.8%83.9%-2.0%-11.5%-168.3K2.8M-41.0K1.3957.88N/AN/A3264541,9076,475