W Options History — March 2016

In March 2016, W traded between $38.72 and $45.44. ATM implied volatility averaged 66.1%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 14.2% (HV 20d: 80.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.25.

Notable Days

2016-03-03: Highest Volume — 12,495 contracts
2016-03-17: Largest IV drop — 9.4% change
2016-03-01: Highest IV Rank — 30.6%
2016-03-01: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.53	$38.72	$45.44	$40.28	$43.22
Max Pain	$43.02	$40.00	$45.00	$40.00	$40.00
ATM IV	66.1%	59.8%	72.6%	72.6%	62.4%
Expected Move	18.9%	16.9%	21.5%	21.5%	18.4%
HV 20d	80.4%	66.3%	104.8%	103.3%	66.3%
HV 60d	77.0%	74.4%	80.4%	74.8%	79.9%
IV Rank	21.2%	12.1%	30.6%	30.6%	15.7%
IV Percentile	27.9%	16.7%	43.7%	43.7%	19.0%
Term Structure	-0.9%	-5.1%	2.1%	2.1%	-0.6%
VWIV	67.8%	59.4%	81.6%	81.6%	63.7%
Skew 25d	9.7%	5.7%	13.0%	8.7%	8.5%
Skew 10d	24.7%	-4.0%	46.6%	24.6%	32.8%
Call IV 25d	62.5%	56.7%	71.3%	71.3%	57.5%
Put IV 25d	72.2%	65.9%	80.0%	80.0%	65.9%
Bid-Ask Spread %	59.58	39.30	82.90	58.73	68.59
Gamma HHI	0.17	0.10	0.93	0.13	0.20
Net GEX	-262.0K	-10.1M	621.9K	305.8K	265.9K
Net DEX	-25.4M	-53.4M	53.9K	-18.6M	-15.0M
Net VEX	-134.0K	-179.5K	-99.3K	-161.0K	-135.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.66	2.16	1.29	1.15
Total Volume	6,253.818	3,316	12,495	6,708	4,097
Total OI	39,348.318	20,051	53,218	45,145	22,644

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
2016-03-01	$40.28	$40.00	72.6%	21.5%	103.3%	30.6%	81.6%	8.7%	2.1%	305.8K	-18.6M	-161.0K	1.29	58.73	N/A	N/A	2,934	3,774	26,119	19,026
2016-03-02	$43.58	$40.00	71.0%	20.7%	104.1%	28.3%	76.6%	13.0%	1.4%	540.7K	-40.7M	-159.4K	2.00	61.58	N/A	N/A	2,920	5,849	26,960	18,924
2016-03-03	$45.44	$45.00	70.2%	19.7%	104.8%	27.0%	68.9%	9.7%	1.4%	621.9K	-53.4M	-166.1K	1.99	47.59	N/A	N/A	4,174	8,321	27,407	21,150
2016-03-04	$44.95	$45.00	68.8%	20.0%	103.7%	25.0%	70.2%	9.2%	0.9%	590.8K	-48.7M	-179.5K	1.71	47.28	N/A	N/A	3,121	5,338	28,676	24,542
2016-03-07	$43.82	$45.00	69.1%	19.3%	101.1%	25.4%	67.7%	7.8%	-2.6%	203.9K	-37.3M	-163.5K	1.57	50.81	N/A	N/A	3,178	5,005	27,075	23,275
2016-03-08	$43.70	$45.00	69.7%	19.7%	80.6%	26.3%	68.5%	9.9%	-2.1%	272.5K	-36.3M	-165.3K	1.51	60.47	N/A	N/A	3,230	4,892	27,012	23,477
2016-03-09	$43.44	$45.00	68.8%	18.9%	75.7%	25.1%	68.1%	10.7%	-2.7%	172.8K	-32.7M	-157.6K	1.53	60.09	N/A	N/A	3,243	4,948	27,026	23,615
2016-03-10	$43.70	$45.00	67.7%	19.0%	71.2%	23.5%	67.0%	9.1%	-2.5%	173.7K	-35.2M	-152.2K	1.44	58.78	N/A	N/A	3,372	4,870	26,978	23,616
2016-03-11	$45.25	$45.00	65.6%	18.7%	71.4%	20.4%	74.4%	10.8%	0.1%	292.9K	-47.9M	-141.7K	2.16	52.43	N/A	N/A	3,141	6,789	27,166	23,787
2016-03-14	$42.26	$45.00	70.8%	20.3%	76.0%	28.0%	73.1%	11.3%	-3.9%	15.8K	-20.3M	-137.5K	0.71	39.30	N/A	N/A	2,630	1,871	25,585	23,437
2016-03-15	$42.47	$45.00	70.8%	20.3%	71.8%	27.9%	73.4%	12.4%	-5.1%	141.1K	-23.1M	-128.7K	0.66	61.45	N/A	N/A	2,686	1,770	25,635	23,640
2016-03-16	$44.24	$45.00	66.1%	18.9%	72.9%	21.1%	68.7%	10.8%	-0.9%	135.3K	-39.9M	-117.7K	0.79	76.15	N/A	N/A	2,838	2,249	25,692	23,702
2016-03-17	$44.85	$45.00	59.8%	17.2%	71.6%	12.1%	66.1%	9.9%	-1.4%	434.8K	-46.4M	-110.7K	0.72	47.35	N/A	N/A	2,923	2,102	25,902	24,164
2016-03-18	$41.57	$45.00	61.3%	17.7%	76.4%	14.3%	60.4%	7.9%	-1.6%	-10.1M	-26.1M	-108.2K	0.92	61.56	N/A	N/A	3,300	3,040	25,992	24,194
2016-03-21	$38.72	$45.00	61.4%	18.1%	80.5%	14.3%	64.7%	8.0%	-0.4%	-89.0K	53.9K	-101.9K	1.48	59.51	N/A	N/A	1,541	2,279	10,628	9,736
2016-03-22	$39.71	$41.50	64.4%	16.9%	80.8%	18.6%	59.4%	11.8%	0.5%	-163.2K	-1.4M	-99.3K	1.12	82.90	N/A	N/A	2,161	2,426	10,812	10,707
2016-03-23	$39.31	$40.00	64.1%	17.5%	80.8%	18.2%	62.5%	5.7%	-1.2%	-176.4K	-1.5M	-108.4K	0.97	62.96	N/A	N/A	2,190	2,133	11,548	10,681
2016-03-24	$40.34	$40.00	63.7%	17.8%	72.1%	17.7%	62.5%	11.6%	-0.4%	63.8K	-5.5M	-108.8K	0.87	62.52	N/A	N/A	2,275	1,986	11,684	10,704
2016-03-28	$40.55	$40.00	63.9%	18.4%	66.6%	17.9%	64.1%	7.4%	-0.3%	95.5K	-6.2M	-105.5K	0.71	63.50	N/A	N/A	1,939	1,377	10,784	9,267
2016-03-29	$43.27	$40.00	61.6%	18.0%	66.7%	14.7%	63.0%	12.0%	-0.4%	221.5K	-13.1M	-103.8K	0.96	63.88	N/A	N/A	2,348	2,244	10,937	9,263
2016-03-30	$40.88	$40.00	61.3%	18.5%	69.3%	14.3%	67.4%	7.8%	-0.2%	197.0K	-10.6M	-135.1K	1.17	63.30	N/A	N/A	1,876	2,204	12,183	10,311
2016-03-31	$43.22	$40.00	62.4%	18.4%	66.3%	15.7%	63.7%	8.5%	-0.6%	265.9K	-15.0M	-135.5K	1.15	68.59	N/A	N/A	1,907	2,190	12,238	10,406