W Options History — October 2015 In October 2015, W traded between $32.96 and $45.77. ATM implied volatility averaged 84.6%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded above realized volatility by 20.2% (HV 20d: 64.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.70.
Notable Days 2015-10-19 : Highest Volume — 7,441 contracts2015-10-05 : Largest IV drop — 8.9% change2015-10-26 : Highest IV Rank — 59.9%2015-10-26 : Largest Expected Move — 26.7%Monthly Statistics Metric Avg Min Max Open Close Price $40.71 $32.96 $45.77 $32.96 $42.37 Max Pain $36.59 $35.00 $40.00 $35.00 $40.00 ATM IV 84.6% 73.9% 93.0% 84.4% 85.0% Expected Move 24.8% 23.5% 26.7% 24.2% 26.6% HV 20d 64.4% 52.0% 69.8% 58.5% 52.0% HV 60d 85.7% 82.7% 86.9% 82.7% 86.2% IV Rank 47.8% 32.4% 59.9% 47.6% 48.3% IV Percentile 81.4% 51.9% 94.8% 83.3% 82.1% Term Structure -8.3% -17.1% 4.8% 3.1% -11.4% VWIV 84.5% 70.1% 100.8% 78.8% 95.5% Skew 25d 12.3% 6.9% 19.1% 6.9% 11.5% Skew 10d 26.2% 13.5% 36.1% 13.5% 26.4% Call IV 25d 81.3% 75.5% 96.2% 83.3% 81.8% Put IV 25d 93.6% 86.3% 104.3% 90.2% 93.3% Bid-Ask Spread % 60.26 35.24 78.97 78.56 35.24 Gamma HHI 0.21 0.16 0.32 0.32 0.18 Net GEX 57.7K -273.0K 272.1K -273.0K 171.6K Net DEX -11.8M -29.4M 15.5M 15.5M -19.4M Net VEX -179.0K -200.2K -157.0K -163.4K -193.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.22 1.61 0.29 0.54 Total Volume 4,289 1,625 7,441 5,031 3,418 Total OI 46,587.182 40,522 52,782 42,657 52,782
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-10-01 $32.96 $35.00 84.4% 24.2% 58.5% 47.6% 78.8% 6.9% 3.1% -273.0K 15.5M -163.4K 0.29 78.56 N/A N/A 3,910 1,121 21,714 20,943 2015-10-02 $36.03 $35.00 84.4% 24.2% 67.3% 47.5% 73.8% 11.5% 4.8% -178.6K 6.5M -173.3K 0.29 78.97 N/A N/A 3,068 902 22,148 21,097 2015-10-05 $38.10 $40.00 76.9% 23.8% 68.8% 36.7% 84.1% 8.0% -6.0% -57.8K -2.2M -178.8K 1.49 58.00 N/A N/A 652 973 22,352 21,187 2015-10-06 $39.57 $40.00 82.0% 25.0% 69.8% 44.1% 84.3% 12.4% -9.2% -22.5K -7.6M -180.6K 0.45 52.52 N/A N/A 4,902 2,196 22,479 21,490 2015-10-07 $38.28 $35.00 81.0% 24.9% 67.7% 42.6% 85.3% 15.1% -9.1% -86.8K -2.5M -178.9K 0.22 55.26 N/A N/A 4,720 1,038 22,838 22,090 2015-10-08 $39.73 $35.00 73.9% 24.3% 68.4% 32.4% 86.5% 19.1% -9.5% 15.2K -7.9M -174.0K 0.28 55.82 N/A N/A 3,268 920 22,852 22,064 2015-10-09 $39.69 $35.00 77.6% 24.2% 65.6% 37.7% 79.3% 15.8% -7.1% 2.7K -7.4M -175.3K 0.22 58.65 N/A N/A 3,316 730 22,928 22,198 2015-10-12 $38.33 $35.00 82.8% 24.4% 62.3% 45.2% 83.3% 10.8% -9.3% -31.0K -3.2M -167.6K 0.24 49.54 N/A N/A 3,265 795 23,002 22,239 2015-10-13 $38.56 $35.00 84.7% 24.0% 61.8% 48.0% 88.0% 11.9% -9.1% -913 -4.1M -166.0K 0.34 58.29 N/A N/A 3,081 1,045 23,022 22,330 2015-10-14 $39.63 $40.00 83.4% 23.9% 62.2% 46.0% 80.5% 13.9% -8.6% 94.5K -7.8M -159.3K 0.25 58.74 N/A N/A 3,199 799 23,016 22,443 2015-10-15 $40.85 $40.00 83.6% 24.0% 62.4% 46.4% 80.6% 9.9% -9.4% 250.9K -13.7M -157.0K 0.45 61.87 N/A N/A 4,064 1,826 23,141 22,459 2015-10-16 $42.41 $40.00 86.1% 24.7% 63.1% 50.0% 82.6% 15.2% -5.9% 16.3K -20.1M -166.4K 1.14 55.05 N/A N/A 2,766 3,150 23,212 23,448 2015-10-19 $44.87 $40.00 81.8% 23.5% 65.1% 43.8% 70.1% 9.7% -6.3% -29.0K -15.8M -163.1K 0.77 56.59 N/A N/A 4,203 3,238 20,007 20,515 2015-10-20 $45.77 $35.00 82.3% 23.6% 64.9% 44.6% 81.1% 12.8% -4.4% 137.6K -29.2M -169.6K 0.82 60.85 N/A N/A 3,019 2,482 23,042 21,919 2015-10-21 $44.72 $35.00 83.4% 23.9% 65.0% 46.1% 81.7% 14.0% -8.0% 272.1K -29.4M -196.1K 0.71 65.47 N/A N/A 2,380 1,696 25,881 22,362 2015-10-22 $44.04 $35.00 88.4% 25.3% 64.8% 53.3% 86.3% 13.1% -12.9% 271.1K -27.3M -200.2K 1.25 63.03 N/A N/A 1,087 1,358 26,384 22,607 2015-10-23 $41.33 $35.00 92.3% 26.5% 69.6% 59.0% 87.1% 9.7% -15.9% 121.3K -15.3M -197.3K 0.94 65.21 N/A N/A 2,084 1,956 26,456 22,827 2015-10-26 $40.95 $35.00 93.0% 26.7% 69.8% 59.9% 92.9% 9.1% -11.5% 69.8K -11.7M -192.8K 1.61 47.12 N/A N/A 1,045 1,682 26,924 23,713 2015-10-27 $41.63 $35.00 92.7% 26.6% 64.2% 59.5% 84.0% 18.2% -7.3% 129.9K -14.8M -196.1K 1.17 69.13 N/A N/A 994 1,158 26,939 23,761 2015-10-28 $43.22 $35.00 89.8% 25.7% 64.3% 55.3% 91.6% 13.0% -13.3% 205.7K -22.9M -190.2K 1.08 73.15 N/A N/A 1,172 1,264 27,156 23,817 2015-10-29 $42.62 $35.00 92.1% 26.4% 59.1% 58.7% 100.8% 8.2% -17.1% 189.6K -19.9M -198.3K 0.95 68.64 N/A N/A 2,268 2,148 27,255 23,879 2015-10-30 $42.37 $40.00 85.0% 26.6% 52.0% 48.3% 95.5% 11.5% -11.4% 171.6K -19.4M -193.6K 0.54 35.24 N/A N/A 2,213 1,205 28,266 24,516
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