W Options History — November 2015

In November 2015, W traded between $35.66 and $45.84. ATM implied volatility averaged 78.5%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 22.8%. IV traded above realized volatility by 3.6% (HV 20d: 74.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.13.

Notable Days

  • 2015-11-11: Highest Volume — 15,208 contracts
  • 2015-11-09: Largest IV spike — 24.8% change
  • 2015-11-09: Highest IV Rank — 79.0%
  • 2015-11-09: Largest Expected Move — 29.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.54$35.66$45.84$43.50$37.91
Max Pain$43.68$40.00$45.00$40.00$45.00
ATM IV78.5%69.3%106.2%89.0%70.6%
Expected Move22.8%20.0%29.7%28.5%21.0%
HV 20d74.9%46.9%87.3%49.4%85.4%
HV 60d75.1%67.2%85.4%85.4%69.0%
IV Rank39.1%25.8%79.0%54.2%27.7%
IV Percentile58.8%31.7%98.0%88.1%36.5%
Term Structure-1.3%-7.3%3.8%-7.3%0.4%
VWIV78.3%60.6%107.3%98.3%70.4%
Skew 25d9.7%4.1%15.4%10.5%9.0%
Skew 10d15.4%-35.3%41.5%-35.3%30.0%
Call IV 25d75.3%66.4%97.0%80.6%66.7%
Put IV 25d85.1%75.7%102.5%91.1%75.7%
Bid-Ask Spread %56.8644.6073.5444.6064.95
Gamma HHI0.180.090.310.190.17
Net GEX-58.7K-927.0K732.7K360.1K-72.1K
Net DEX3.8M-49.8M37.4M-26.2M12.4M
Net VEX-168.7K-209.1K-136.2K-195.0K-140.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.172.490.632.34
Total Volume6,3471,72915,2084,9341,729
Total OI57,337.36826,29375,19054,26428,793

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$43.50$40.0089.0%28.5%49.4%54.2%98.3%10.5%-7.3%360.1K-26.2M-195.0K0.6344.60N/AN/A3,0311,90329,52424,740
2015-11-04$44.51$40.0085.7%29.4%48.5%49.3%107.3%11.1%-5.7%700.1K-37.8M-209.1K1.1945.75N/AN/A1,3761,63532,67725,367
2015-11-05$43.25$40.0085.0%22.8%48.0%48.4%77.0%5.5%-0.5%677.4K-33.5M-202.5K0.7656.39N/AN/A1,7441,33432,85825,137
2015-11-06$44.12$40.0085.1%22.7%46.9%48.6%84.4%9.3%-5.6%694.7K-35.6M-197.0K0.9257.24N/AN/A1,2601,15533,17025,151
2015-11-09$45.84$40.00106.2%29.7%48.3%79.0%104.1%5.5%3.8%732.7K-49.8M-202.0K0.9452.03N/AN/A7,6517,20433,40125,555
2015-11-10$38.95$45.0083.5%23.0%76.3%46.2%79.0%14.4%0.7%187.8K2.6M-206.2K1.0669.15N/AN/A7,3687,80339,03431,216
2015-11-11$42.00$45.0071.7%21.8%80.8%29.3%75.9%15.4%0.9%210.8K-8.7M-174.3K1.0672.70N/AN/A7,3747,83439,96532,841
2015-11-12$38.65$45.0073.8%20.7%85.9%32.2%73.6%4.1%-1.1%-142.5K13.2M-194.9K0.6354.84N/AN/A3,7802,36441,38133,809
2015-11-13$36.51$45.0077.0%22.2%87.3%36.8%74.1%6.6%2.0%-322.4K30.5M-175.7K1.4165.06N/AN/A4,1695,87341,29133,818
2015-11-16$37.28$45.0080.4%23.4%86.4%41.7%70.1%8.9%-2.7%-389.9K26.4M-165.5K2.4969.24N/AN/A1,6944,22538,18233,263
2015-11-17$35.94$45.0078.6%22.5%83.7%39.1%81.3%7.0%-3.3%-847.5K36.6M-154.6K2.0049.90N/AN/A2,4284,84838,65435,385
2015-11-18$35.78$45.0076.6%22.0%82.9%36.3%60.6%11.9%0.8%-927.0K37.4M-143.6K0.8660.90N/AN/A3,1492,70438,60534,480
2015-11-19$35.66$45.0073.9%21.2%82.9%32.4%84.7%11.7%-0.8%-800.2K31.6M-136.2K1.1573.54N/AN/A3,4784,00439,50234,390
2015-11-20$37.35$45.0074.9%21.8%85.3%33.9%74.2%12.4%-2.1%-290.9K20.1M-136.2K0.7248.24N/AN/A3,3702,42939,96833,745
2015-11-23$39.69$45.0070.2%20.5%86.0%27.0%70.8%10.8%0.9%-296.3K10.3M-143.4K1.7345.09N/AN/A6771,16910,59415,699
2015-11-24$38.12$45.0070.3%20.6%87.1%27.2%67.2%9.6%-0.6%-329.4K15.1M-141.2K0.1753.39N/AN/A2,30540211,05616,511
2015-11-25$37.95$45.0070.1%20.2%86.8%27.0%67.8%11.2%-1.4%-178.1K13.6M-145.6K0.7848.21N/AN/A2,0591,60412,95716,779
2015-11-27$38.16$45.0069.3%20.0%85.4%25.8%66.4%9.9%-2.0%-83.6K13.4M-143.1K0.6549.11N/AN/A2,0951,36613,04716,865
2015-11-30$37.91$45.0070.6%21.0%85.4%27.7%70.4%9.0%0.4%-72.1K12.4M-140.1K2.3464.95N/AN/A5181,21112,74516,048