W Options History — January 2016

In January 2016, W traded between $37.75 and $45.28. ATM implied volatility averaged 77.2%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 19.6% (HV 20d: 57.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2016-01-28: Highest Volume — 12,618 contracts
2016-01-25: Largest IV spike — 22.0% change
2016-01-28: Highest IV Rank — 57.2%
2016-01-07: Largest Expected Move — 21.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.58	$37.75	$45.28	$44.41	$45.20
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	77.2%	69.0%	91.1%	69.0%	87.0%
Expected Move	20.3%	19.1%	21.7%	19.2%	19.3%
HV 20d	57.7%	45.5%	68.0%	52.0%	67.3%
HV 60d	68.6%	66.0%	71.1%	66.6%	70.2%
IV Rank	37.2%	25.3%	57.2%	25.3%	51.3%
IV Percentile	60.8%	35.7%	92.1%	35.7%	86.5%
Term Structure	-1.1%	-23.1%	10.1%	-1.4%	-2.8%
VWIV	70.4%	62.9%	75.7%	62.9%	64.4%
Skew 25d	8.4%	2.1%	14.4%	2.1%	12.3%
Skew 10d	16.4%	-16.5%	41.7%	10.5%	41.7%
Call IV 25d	73.8%	64.8%	89.0%	70.5%	84.2%
Put IV 25d	82.3%	72.6%	98.0%	72.6%	96.5%
Bid-Ask Spread %	62.54	46.27	72.24	64.43	65.19
Gamma HHI	0.13	0.07	0.21	0.20	0.21
Net GEX	21.5K	-207.3K	257.8K	211.9K	257.8K
Net DEX	-7.6M	-18.7M	13.4M	-14.4M	-18.7M
Net VEX	-131.3K	-163.7K	-114.5K	-139.9K	-154.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.51	1.00	0.90	0.56
Total Volume	4,499	1,234	12,618	3,140	1,234
Total OI	28,826.789	22,284	34,791	29,049	34,791

Daily Data (19 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
2016-01-04	$44.41	$40.00	69.0%	19.2%	52.0%	25.3%	62.9%	2.1%	-1.4%	211.9K	-14.4M	-139.9K	0.90	64.43	N/A	N/A	1,650	1,490	14,867	14,182
2016-01-05	$43.48	$40.00	69.7%	19.4%	51.4%	26.3%	67.6%	5.8%	-1.2%	146.0K	-10.7M	-136.0K	1.00	68.55	N/A	N/A	2,062	2,053	14,905	14,177
2016-01-06	$43.01	$40.00	74.3%	20.4%	47.9%	32.9%	71.1%	6.6%	-2.0%	64.1K	-7.7M	-137.1K	0.83	67.05	N/A	N/A	2,116	1,756	15,454	15,142
2016-01-07	$41.47	$40.00	73.0%	21.7%	48.3%	31.1%	73.7%	6.0%	3.8%	-22.2K	-2.4M	-140.6K	0.59	72.24	N/A	N/A	3,613	2,116	15,643	15,584
2016-01-08	$42.09	$40.00	72.4%	20.4%	48.7%	30.3%	75.7%	5.2%	-1.5%	-16.9K	-5.6M	-144.9K	0.81	70.03	N/A	N/A	2,563	2,075	16,029	15,972
2016-01-11	$41.44	$40.00	74.0%	21.4%	45.5%	32.5%	69.1%	6.1%	-1.5%	-55.0K	-2.1M	-136.8K	0.52	68.32	N/A	N/A	2,010	1,042	15,711	16,364
2016-01-12	$44.15	$40.00	69.1%	19.7%	47.9%	25.5%	66.7%	8.2%	0.6%	128.1K	-13.7M	-130.5K	0.59	72.08	N/A	N/A	2,122	1,254	15,790	16,553
2016-01-13	$41.02	$40.00	76.0%	21.3%	52.9%	35.5%	75.1%	10.2%	1.7%	-52.2K	-3.1M	-135.9K	0.51	68.71	N/A	N/A	3,047	1,551	16,101	16,764
2016-01-14	$40.17	$40.00	77.1%	21.2%	53.1%	37.0%	72.7%	9.4%	-1.1%	-207.3K	4.8M	-124.4K	0.62	70.27	N/A	N/A	2,003	1,243	15,213	16,734
2016-01-15	$37.75	$40.00	84.7%	21.1%	55.5%	48.0%	73.9%	7.4%	-23.1%	-118.3K	13.4M	-119.1K	0.54	69.95	N/A	N/A	2,443	1,307	15,406	16,506
2016-01-19	$38.44	$40.00	69.5%	19.8%	56.3%	26.1%	69.0%	8.9%	10.1%	-151.8K	3.5M	-114.5K	0.56	50.35	N/A	N/A	1,740	981	10,033	12,251
2016-01-20	$42.19	$40.00	71.8%	20.6%	66.0%	29.4%	72.9%	11.8%	4.4%	-49.2K	-5.6M	-118.9K	0.66	54.96	N/A	N/A	2,243	1,470	10,561	12,268
2016-01-21	$41.94	$40.00	72.1%	20.3%	66.0%	29.8%	72.8%	10.8%	5.1%	-36.4K	-7.0M	-124.3K	0.60	46.27	N/A	N/A	2,291	1,380	11,150	12,699
2016-01-22	$43.39	$40.00	70.5%	19.1%	67.4%	27.6%	69.8%	9.0%	4.7%	-85.1K	-11.3M	-117.6K	0.71	47.76	N/A	N/A	2,246	1,602	11,099	12,789
2016-01-25	$44.92	$40.00	86.1%	20.4%	68.0%	49.9%	69.6%	14.4%	-4.6%	31.4K	-15.4M	-118.8K	0.72	59.36	N/A	N/A	1,691	1,214	10,976	12,437
2016-01-26	$45.28	$40.00	89.4%	20.1%	67.3%	54.8%	70.2%	9.5%	-4.0%	112.4K	-17.2M	-120.1K	0.87	54.42	N/A	N/A	1,479	1,282	11,642	12,783
2016-01-27	$44.27	$40.00	90.8%	20.2%	67.0%	56.8%	69.2%	6.4%	-4.2%	103.6K	-15.1M	-116.2K	0.94	58.56	N/A	N/A	6,451	6,043	11,727	12,820
2016-01-28	$44.43	$40.00	91.1%	20.1%	66.9%	57.2%	70.5%	10.5%	-4.2%	146.7K	-15.9M	-163.7K	0.90	59.80	N/A	N/A	6,627	5,991	16,668	17,918
2016-01-29	$45.20	$40.00	87.0%	19.3%	67.3%	51.3%	64.4%	12.3%	-2.8%	257.8K	-18.7M	-154.9K	0.56	65.19	N/A	N/A	791	443	16,814	17,977