W Options History — August 2015

In August 2015, W traded between $36.52 and $53.23. ATM implied volatility averaged 84.1%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded below realized volatility by 7.9% (HV 20d: 92.0%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2015-08-18: Highest Volume — 13,896 contracts
  • 2015-08-12: Largest IV drop — 39.7% change
  • 2015-08-11: Highest IV Rank — 85.4%
  • 2015-08-31: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.48$36.52$53.23$36.76$37.17
Max Pain$44.05$35.00$50.00$35.00$45.00
ATM IV84.1%64.8%110.7%89.8%97.7%
Expected Move22.6%18.6%28.0%25.7%28.0%
HV 20d92.0%40.6%126.8%40.6%126.8%
HV 60d65.1%44.9%79.1%46.4%79.1%
IV Rank47.1%19.3%85.4%55.3%66.7%
IV Percentile77.4%36.6%98.5%94.8%95.8%
Term Structure-3.6%-23.1%7.4%-16.9%4.4%
VWIV79.0%66.2%96.7%96.7%87.9%
Skew 25d9.4%-1.8%38.8%6.3%14.5%
Skew 10d18.2%-2.5%45.1%16.8%35.7%
Call IV 25d74.4%41.1%90.7%88.7%87.2%
Put IV 25d83.8%70.1%101.6%95.0%101.6%
Bid-Ask Spread %58.4745.5166.1055.4260.10
Gamma HHI0.350.170.670.650.17
Net GEX-155.5K-526.1K35.8K-167.1K-212.9K
Net DEX452.9K-19.2M16.3M3.3M16.3M
Net VEX-76.3K-155.2K-33.7K-40.3K-127.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.463.341.771.19
Total Volume4,705.14322413,89622411,874
Total OI18,529.2868,47332,0628,47332,062

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$36.76$35.0089.8%25.7%40.6%55.3%96.7%6.3%-16.9%-167.1K3.3M-40.3K1.7755.42N/AN/A811431,9566,517
2015-08-04$38.89$35.0091.1%26.1%45.3%57.2%92.8%1.8%-20.5%-156.2K1.6M-40.3K2.2456.61N/AN/A3217181,9926,516
2015-08-05$39.59$35.0092.8%26.6%42.6%59.6%91.5%4.0%-23.1%-164.3K1.2M-40.9K0.7060.40N/AN/A6224372,0586,774
2015-08-06$37.24$40.0092.3%20.5%48.1%58.9%66.2%-1.8%-3.0%-164.4K2.7M-41.7K0.7753.98N/AN/A5544242,3566,803
2015-08-07$36.52$40.0093.0%20.9%47.6%60.0%72.3%3.2%-4.6%-178.3K3.8M-40.7K0.6555.05N/AN/A2,3381,5252,2756,802
2015-08-10$38.17$40.00105.3%21.0%49.4%77.6%73.2%5.4%-6.5%-88.8K401.5K-46.4K0.5956.73N/AN/A1,6429694,0397,851
2015-08-11$38.17$40.00110.7%21.2%49.3%85.4%75.6%3.0%-4.2%-100.9K593.3K-45.1K0.8350.29N/AN/A1,0788983,8687,828
2015-08-12$49.36$40.0066.8%19.1%102.8%22.1%67.0%38.8%0.9%35.8K-15.8M-33.7K0.6945.51N/AN/A3,4912,4264,3238,078
2015-08-13$53.23$45.0069.7%20.0%104.9%26.4%70.8%1.2%1.3%-21.7K-19.2M-37.2K2.2347.15N/AN/A1,9164,2644,6989,012
2015-08-14$49.17$50.0064.8%18.6%109.8%19.3%67.7%2.3%5.1%-161.8K-10.5M-56.7K1.2160.71N/AN/A2,4372,9575,47711,534
2015-08-17$50.22$50.0071.0%20.4%109.9%28.3%73.2%5.8%-4.8%-136.3K-12.4M-73.9K1.9566.10N/AN/A2,7525,3606,97712,992
2015-08-18$45.43$50.0080.5%23.1%116.4%41.9%81.5%10.8%-3.8%-526.1K5.9M-85.1K3.0756.02N/AN/A3,41710,4798,40516,542
2015-08-19$43.89$50.0071.2%20.4%116.9%28.5%71.4%8.3%2.0%-497.5K11.2M-96.3K3.3461.50N/AN/A1,6385,4659,90218,520
2015-08-20$43.22$50.0073.5%21.1%117.1%31.8%74.3%9.6%2.2%-150.5K4.4M-92.4K0.8560.50N/AN/A1,6301,38610,43416,417
2015-08-21$43.94$50.0076.9%22.0%117.1%36.7%77.6%10.8%1.7%-172.2K867.1K-89.6K0.6464.69N/AN/A1,6751,06810,55016,151
2015-08-24$41.40$50.0092.3%26.5%117.3%59.0%87.5%13.4%-3.2%-174.1K6.7M-85.3K0.5765.03N/AN/A1,3147495,9179,451
2015-08-25$42.77$45.0077.9%22.3%117.6%38.2%82.5%10.5%3.5%-143.6K3.6M-89.9K0.4664.57N/AN/A8,7354,0566,7749,493
2015-08-26$42.95$45.0076.1%21.8%117.6%35.6%78.9%11.9%7.4%10.3K-472.6K-145.2K1.4762.16N/AN/A8171,20315,01813,133
2015-08-27$41.83$45.0085.4%24.5%117.9%49.0%86.9%20.3%-3.4%-22.8K2.2M-139.5K1.7764.91N/AN/A1,4512,56714,96713,374
2015-08-28$42.18$45.0087.3%25.0%117.9%51.7%83.1%17.2%-10.5%-72.9K3.0M-155.2K0.9060.39N/AN/A1,01591616,00815,271
2015-08-31$37.17$45.0097.7%28.0%126.8%66.7%87.9%14.5%4.4%-212.9K16.3M-127.0K1.1960.10N/AN/A5,4106,46416,28415,778