W Options History — February 2016

In February 2016, W traded between $31.69 and $44.79. ATM implied volatility averaged 93.4%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded above realized volatility by 5.8% (HV 20d: 87.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2016-02-05: Highest Volume — 18,835 contracts
  • 2016-02-25: Largest IV drop — 19.7% change
  • 2016-02-08: Highest IV Rank — 77.9%
  • 2016-02-24: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.97$31.69$44.79$43.88$38.98
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV93.4%72.6%105.4%92.3%77.8%
Expected Move25.9%20.1%30.1%20.1%22.1%
HV 20d87.6%66.9%102.7%67.4%102.7%
HV 60d72.6%70.2%77.4%70.2%77.4%
IV Rank60.5%30.5%77.9%58.9%38.1%
IV Percentile87.2%43.3%98.0%92.9%61.1%
Term Structure-2.4%-11.6%9.1%-3.6%-1.7%
VWIV89.0%71.4%106.1%71.4%81.6%
Skew 25d12.7%4.8%20.5%8.9%10.3%
Skew 10d29.0%8.1%52.1%16.6%8.1%
Call IV 25d88.3%71.8%99.2%88.4%73.1%
Put IV 25d101.0%78.4%115.8%97.3%83.4%
Bid-Ask Spread %57.0239.9769.7561.9858.13
Gamma HHI0.200.120.280.250.13
Net GEX-48.7K-401.7K1.0M41.4K274.7K
Net DEX-2.0M-58.1M38.2M-13.1M-12.9M
Net VEX-155.8K-196.4K-130.7K-155.1K-169.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.353.430.661.09
Total Volume7,948.62,75918,8352,7717,308
Total OI41,773.3533,33950,31633,33945,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$43.88$40.0092.3%20.1%67.4%58.9%71.4%8.9%-3.6%41.4K-13.1M-155.1K0.6661.98N/AN/A1,6731,09815,85317,486
2016-02-02$40.88$40.0090.7%23.2%67.0%56.6%78.2%4.8%-3.5%-152.1K-1.8M-151.7K0.7669.75N/AN/A1,5701,18915,91017,732
2016-02-03$40.29$40.0090.8%23.0%66.9%56.8%73.2%8.9%-1.7%-212.1K1.8M-142.1K1.1069.08N/AN/A1,4981,65315,96017,852
2016-02-04$42.31$40.0089.1%24.3%69.3%54.3%87.5%8.2%-4.4%-128.9K-5.6M-141.1K0.7339.97N/AN/A1,6261,18216,09917,971
2016-02-05$39.64$40.0099.9%28.4%72.0%69.8%101.1%9.7%-4.6%-197.1K3.6M-144.9K3.4357.31N/AN/A4,24714,58816,30218,106
2016-02-08$33.81$40.00105.4%28.9%90.6%77.9%98.8%12.6%-2.1%-387.3K25.1M-148.4K1.3357.84N/AN/A4,8786,47718,37122,862
2016-02-09$31.69$40.00104.7%28.7%92.6%76.8%106.1%12.1%-7.4%-401.7K38.2M-130.7K1.8363.18N/AN/A3,8307,00219,65723,906
2016-02-10$34.48$40.00102.5%26.5%95.2%73.7%94.1%17.3%-11.6%-357.9K24.9M-141.6K0.3555.48N/AN/A2,8571,00220,26922,388
2016-02-11$34.32$40.00105.0%27.6%92.4%77.2%88.3%16.7%-11.5%-232.7K20.2M-147.3K0.6842.57N/AN/A3,8482,62422,51422,597
2016-02-12$35.92$40.00100.2%28.5%94.2%70.3%89.5%14.4%-1.5%-253.7K13.8M-150.8K0.6860.01N/AN/A4,0072,73222,76922,846
2016-02-16$38.71$40.0099.7%28.2%95.9%69.5%80.9%20.5%4.4%-119.8K-1.1M-153.1K0.9263.34N/AN/A3,7023,41622,30922,234
2016-02-17$39.21$40.0091.0%26.1%95.8%57.0%90.6%18.6%6.1%-132.3K-3.4M-161.0K1.0158.21N/AN/A4,7644,82522,65523,899
2016-02-18$37.99$40.0094.2%26.6%89.9%61.7%90.9%16.8%9.1%-180.7K3.0M-161.6K1.1757.39N/AN/A3,3183,86724,02325,126
2016-02-19$39.53$40.0090.6%25.7%91.3%56.5%89.4%13.9%0.8%142.8K-2.2M-161.8K0.9161.13N/AN/A3,8263,46724,12325,362
2016-02-22$40.25$40.0091.8%27.4%90.6%58.2%88.3%10.6%-1.2%-48.2K-11.5M-157.4K1.2946.32N/AN/A2,2792,93619,31016,971
2016-02-23$40.90$40.0091.6%27.1%89.8%58.0%95.6%13.7%-4.6%-101.7K-13.2M-157.3K1.1746.57N/AN/A2,6013,04519,80718,080
2016-02-24$40.48$40.0098.5%30.1%89.7%67.8%105.4%11.8%-4.3%-58.8K-12.8M-159.6K0.3650.30N/AN/A12,8894,66620,07518,362
2016-02-25$44.79$40.0079.1%23.4%97.1%39.9%91.4%18.1%-4.5%1.0M-58.1M-196.4K0.9158.77N/AN/A6,3865,82229,52520,791
2016-02-26$41.37$40.0072.6%21.4%101.1%30.5%78.2%6.6%-0.3%531.5K-34.9M-184.6K0.8363.12N/AN/A5,6194,65529,58920,475
2016-02-29$38.98$40.0077.8%22.1%102.7%38.1%81.6%10.3%-1.7%274.7K-12.9M-169.3K1.0958.13N/AN/A3,4963,81226,35418,947