W Options History — December 2015 In December 2015, W traded between $37.93 and $49.59. ATM implied volatility averaged 68.8%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 1.5% (HV 20d: 67.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2015-12-03 : Highest Volume — 7,983 contracts2015-12-11 : Largest IV spike — 16.4% change2015-12-14 : Highest IV Rank — 32.6%2015-12-11 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $46.08 $37.93 $49.59 $37.93 $47.81 Max Pain $42.27 $40.00 $45.00 $45.00 $45.00 ATM IV 68.8% 63.6% 74.1% 66.3% 66.2% Expected Move 20.6% 19.3% 22.3% 21.2% 20.1% HV 20d 67.3% 44.4% 94.7% 85.4% 44.4% HV 60d 70.0% 65.1% 71.7% 69.0% 65.1% IV Rank 25.0% 17.5% 32.6% 21.5% 21.3% IV Percentile 34.9% 25.4% 49.2% 29.0% 29.4% Term Structure 1.0% -4.3% 6.9% 0.2% -0.8% VWIV 71.4% 64.8% 79.4% 75.4% 65.9% Skew 25d 7.5% 2.7% 12.3% 4.6% 6.3% Skew 10d 23.5% 11.3% 53.4% 38.3% 12.2% Call IV 25d 66.0% 59.5% 73.3% 67.2% 64.0% Put IV 25d 73.6% 67.4% 80.0% 71.9% 70.3% Bid-Ask Spread % 67.73 58.85 74.86 72.18 74.09 Gamma HHI 0.23 0.10 0.46 0.14 0.24 Net GEX 7.8K -786.7K 634.4K -90.6K 429.5K Net DEX -21.2M -41.6M 14.4M 14.4M -27.8M Net VEX -152.3K -174.0K -137.7K -140.1K -139.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.34 1.45 0.66 0.60 Total Volume 4,708.455 603 7,983 603 4,448 Total OI 32,127.682 25,713 36,217 29,783 29,747
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 2015-12-01 $37.93 $45.00 66.3% 21.2% 85.4% 21.5% 75.4% 4.6% 0.2% -90.6K 14.4M -140.1K 0.66 72.18 N/A N/A 363 240 13,063 16,720 2015-12-02 $41.95 $45.00 66.6% 20.0% 92.9% 21.9% 72.2% 5.6% -0.8% -131.3K -2.9M -156.9K 0.96 62.66 N/A N/A 3,442 3,304 13,376 16,896 2015-12-03 $41.06 $40.00 66.6% 20.6% 92.6% 21.9% 74.4% 5.0% -1.0% -160.7K 2.6M -164.2K 1.45 69.99 N/A N/A 3,261 4,722 14,801 18,366 2015-12-04 $42.49 $40.00 66.1% 20.8% 93.1% 21.1% 64.8% 2.7% -0.0% -306.4K -2.6M -174.0K 0.63 74.79 N/A N/A 3,509 2,211 15,919 20,176 2015-12-07 $44.75 $40.00 66.9% 20.8% 94.7% 22.4% 74.0% 4.6% 6.5% -273.4K -13.9M -166.6K 0.66 66.45 N/A N/A 2,054 1,357 14,816 19,218 2015-12-08 $45.88 $40.00 67.6% 20.3% 94.1% 23.3% 66.8% 5.1% 2.9% -180.7K -19.3M -167.9K 0.70 66.30 N/A N/A 2,258 1,576 15,436 18,775 2015-12-09 $45.20 $40.00 72.8% 21.8% 72.3% 30.8% 75.3% 12.3% 3.4% -193.2K -18.3M -171.6K 0.65 62.70 N/A N/A 2,888 1,886 15,552 18,955 2015-12-10 $47.22 $40.00 63.6% 20.1% 69.2% 17.5% 68.0% 8.0% 5.8% -109.9K -27.2M -165.2K 0.74 70.44 N/A N/A 2,424 1,804 16,500 19,429 2015-12-11 $44.64 $40.00 74.0% 22.3% 65.1% 32.6% 79.4% 11.5% 4.5% -374.1K -15.2M -171.6K 0.95 67.66 N/A N/A 2,273 2,160 16,506 19,711 2015-12-14 $46.05 $40.00 74.1% 21.7% 61.0% 32.6% 72.7% 6.7% 2.4% -786.7K -20.0M -149.1K 0.64 68.18 N/A N/A 2,439 1,566 15,462 19,280 2015-12-15 $45.74 $40.00 73.0% 20.9% 61.2% 31.1% 70.2% 7.2% -3.3% -494.4K -21.4M -153.4K 0.74 65.94 N/A N/A 2,154 1,598 15,964 19,305 2015-12-16 $46.75 $40.00 72.6% 20.8% 58.7% 30.5% 69.2% 10.1% -4.3% -604.9K -27.0M -149.5K 0.77 66.53 N/A N/A 3,517 2,723 16,039 19,330 2015-12-17 $46.82 $40.00 70.3% 20.3% 58.5% 27.2% 72.5% 8.8% -3.4% 127.3K -32.4M -145.7K 0.48 70.88 N/A N/A 3,146 1,524 16,409 18,871 2015-12-18 $48.15 $40.00 68.5% 19.3% 58.4% 24.7% 68.6% 9.9% 6.9% 210.2K -41.6M -138.7K 0.45 67.13 N/A N/A 3,924 1,748 16,690 18,833 2015-12-21 $47.96 $45.00 68.0% 20.5% 57.5% 23.9% 72.7% 6.9% 0.1% 282.8K -26.4M -143.3K 0.89 58.85 N/A N/A 2,601 2,303 13,226 12,487 2015-12-22 $48.37 $45.00 68.3% 20.3% 54.6% 24.3% 75.0% 8.5% 0.1% 261.7K -26.4M -146.3K 0.89 58.96 N/A N/A 2,393 2,128 13,640 13,700 2015-12-23 $49.59 $45.00 67.7% 19.9% 51.5% 23.4% 68.3% 8.4% 0.1% 363.3K -32.0M -140.3K 0.44 68.29 N/A N/A 3,736 1,631 13,796 13,826 2015-12-24 $47.92 $45.00 66.3% 20.1% 53.9% 21.4% 68.4% 11.4% 3.3% 486.7K -29.0M -150.1K 0.37 65.60 N/A N/A 4,033 1,505 15,133 14,048 2015-12-28 $48.91 $45.00 69.6% 22.1% 53.9% 26.2% 74.8% 10.0% 2.1% 467.7K -31.5M -137.7K 0.34 74.86 N/A N/A 3,604 1,233 14,746 13,856 2015-12-29 $49.43 $45.00 70.0% 19.8% 53.5% 26.8% 71.4% 6.8% -1.2% 614.6K -34.6M -140.4K 0.46 68.06 N/A N/A 2,626 1,204 15,019 13,971 2015-12-30 $49.15 $45.00 68.4% 19.9% 53.7% 24.5% 70.3% 5.5% -1.8% 634.4K -34.0M -138.8K 0.52 69.41 N/A N/A 2,683 1,387 15,193 14,023 2015-12-31 $47.81 $45.00 66.2% 20.1% 44.4% 21.3% 65.9% 6.3% -0.8% 429.5K -27.8M -139.0K 0.60 74.09 N/A N/A 2,772 1,676 15,529 14,218
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