W Options History — September 2015

In September 2015, W traded between $32.51 and $37.59. ATM implied volatility averaged 83.5%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded below realized volatility by 0.7% (HV 20d: 84.2%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2015-09-10: Highest Volume — 10,623 contracts
  • 2015-09-02: Largest IV drop — 13.5% change
  • 2015-09-01: Highest IV Rank — 67.7%
  • 2015-09-01: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.91$32.51$37.59$36.42$35.08
Max Pain$38.25$35.00$45.00$45.00$35.00
ATM IV83.5%74.6%98.4%98.4%87.6%
Expected Move23.7%21.4%28.2%28.2%25.1%
HV 20d84.2%54.8%125.2%125.2%54.8%
HV 60d80.3%79.2%81.7%79.2%81.7%
IV Rank46.3%33.3%67.7%67.7%52.2%
IV Percentile79.3%58.6%96.7%96.7%88.4%
Term Structure2.0%-17.0%8.9%-17.0%-3.2%
VWIV81.8%69.2%89.5%86.3%69.2%
Skew 25d14.1%6.9%21.1%21.1%6.9%
Skew 10d26.1%18.2%44.4%37.2%18.2%
Call IV 25d76.3%68.5%85.5%85.5%79.3%
Put IV 25d90.4%81.1%106.5%106.5%86.2%
Bid-Ask Spread %55.7941.0272.4463.9472.44
Gamma HHI0.250.190.320.200.29
Net GEX-68.3K-235.3K149.2K-60.8K-230.9K
Net DEX13.7M3.7M24.9M12.3M10.4M
Net VEX-148.9K-178.1K-128.6K-146.9K-171.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.192.610.950.28
Total Volume4,573.652,24110,6235,3514,687
Total OI42,546.1535,81848,39236,83142,650

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$36.42$45.0098.4%28.2%125.2%67.7%86.3%21.1%-17.0%-60.8K12.3M-146.9K0.9563.94N/AN/A2,7482,60320,78016,051
2015-09-02$36.26$45.0085.1%24.4%125.0%48.5%87.6%17.3%-1.6%-67.0K14.1M-144.9K0.9367.16N/AN/A2,2062,04521,88216,519
2015-09-03$35.01$40.0088.0%24.8%123.8%52.7%82.0%15.4%0.5%-47.9K14.5M-144.6K2.6159.14N/AN/A1,6184,21822,32516,644
2015-09-04$35.30$40.0091.4%24.8%123.7%57.6%85.1%13.4%0.4%-108.1K16.8M-159.8K0.4254.81N/AN/A4,2081,76922,54619,154
2015-09-08$37.59$40.0092.9%22.6%124.7%59.8%80.1%16.0%3.6%124.8K4.2M-175.1K0.4750.36N/AN/A2,6631,25724,92019,169
2015-09-09$36.86$40.0084.9%24.3%124.9%48.2%82.3%14.4%4.7%149.2K3.7M-165.7K0.5144.55N/AN/A2,8431,45925,53219,037
2015-09-10$35.10$40.0082.2%23.6%80.0%44.4%84.6%12.5%1.8%102.8K12.1M-152.6K1.0561.18N/AN/A5,1935,43025,68619,547
2015-09-11$32.96$40.0085.4%24.5%73.6%49.0%89.5%18.6%0.1%5.6K20.3M-139.0K0.9751.48N/AN/A2,4502,37925,77919,990
2015-09-14$32.51$40.0085.8%24.6%70.6%49.5%84.3%10.6%-0.3%-23.9K21.5M-139.2K0.4150.07N/AN/A2,21790325,87420,955
2015-09-15$32.75$40.0081.6%23.4%69.7%43.5%84.4%11.8%8.9%-18.1K21.5M-133.6K0.5852.95N/AN/A1,9581,12726,19021,157
2015-09-16$33.59$40.0079.3%22.7%65.0%40.3%84.1%15.2%6.0%30.4K19.4M-141.2K0.6045.12N/AN/A2,2341,34926,54621,769
2015-09-17$33.83$35.0076.8%22.0%65.0%36.6%84.0%14.1%6.0%58.6K19.9M-139.2K0.6472.02N/AN/A1,8621,18525,78222,350
2015-09-18$34.02$35.0075.1%21.5%65.3%34.1%77.9%12.3%8.7%-185.9K24.9M-134.6K0.3766.30N/AN/A2,11177725,68722,705
2015-09-21$34.02$35.0074.6%21.4%64.6%33.3%77.2%10.8%8.9%-219.6K13.1M-128.6K0.5456.09N/AN/A1,45778418,63217,186
2015-09-23$35.70$35.0077.5%22.2%65.6%37.6%76.6%14.9%6.3%-132.2K7.9M-137.4K0.4353.35N/AN/A2,5011,08119,18917,547
2015-09-24$35.06$35.0075.1%21.5%64.0%34.1%74.7%11.9%6.5%-150.9K9.0M-138.1K0.5743.62N/AN/A2,0891,18919,56317,916
2015-09-25$36.10$35.0075.8%21.7%65.3%35.1%73.5%10.5%3.5%-171.2K7.5M-138.0K0.9341.02N/AN/A3,5753,32819,60118,435
2015-09-28$36.23$35.0083.9%24.1%65.1%46.9%84.4%18.2%0.4%-186.4K7.2M-178.1K0.2156.50N/AN/A3,78177721,70820,961
2015-09-29$33.85$35.0089.5%25.7%68.2%54.9%87.9%16.7%-4.1%-235.3K12.8M-170.4K0.1953.73N/AN/A4,55385921,91521,044
2015-09-30$35.08$35.0087.6%25.1%54.8%52.2%69.2%6.9%-3.2%-230.9K10.4M-171.0K0.2872.44N/AN/A3,6631,02421,67120,979