W Options History — April 2016

In April 2016, W traded between $37.80 and $43.98. ATM implied volatility averaged 76.2%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 18.9% (HV 20d: 57.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2016-04-01: Highest Volume — 5,139 contracts
  • 2016-04-11: Largest IV spike — 9.1% change
  • 2016-04-26: Highest IV Rank — 47.0%
  • 2016-04-29: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.80$37.80$43.98$43.98$38.00
Max Pain$35.24$35.00$40.00$40.00$35.00
ATM IV76.2%62.1%84.0%62.1%82.8%
Expected Move23.1%18.3%25.9%18.3%25.9%
HV 20d57.3%39.6%67.5%64.8%39.6%
HV 60d76.7%74.0%80.1%79.8%74.0%
IV Rank35.7%15.3%47.0%15.3%45.2%
IV Percentile53.6%17.1%73.4%17.5%69.8%
Term Structure1.5%-4.8%13.7%-0.8%-3.6%
VWIV77.4%60.0%89.7%60.0%89.7%
Skew 25d9.1%3.3%14.7%7.6%8.4%
Skew 10d17.7%6.0%28.3%28.3%18.3%
Call IV 25d71.6%58.5%80.8%58.7%80.1%
Put IV 25d80.8%66.4%89.1%66.4%88.5%
Bid-Ask Spread %53.0734.1975.7775.7751.74
Gamma HHI0.140.080.280.280.11
Net GEX210.3K84.8K332.9K330.6K106.1K
Net DEX-9.1M-18.0M-518.9K-18.0M-518.9K
Net VEX-128.3K-142.1K-116.4K-135.5K-137.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.831.650.851.54
Total Volume3,583.9052,6555,1395,1393,838
Total OI21,343.47619,03122,96522,96522,648

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$43.98$40.0062.1%18.3%64.8%15.3%60.0%7.6%-0.8%330.6K-18.0M-135.5K0.8575.77N/AN/A2,7832,35612,54710,418
2016-04-04$42.50$35.0063.1%21.8%65.8%16.9%74.8%9.0%13.2%332.9K-15.1M-137.0K0.8358.43N/AN/A2,3431,95512,7668,634
2016-04-05$41.71$35.0065.3%22.0%65.5%20.1%72.7%7.7%11.1%303.5K-12.1M-134.8K1.1251.91N/AN/A1,8022,01712,8458,875
2016-04-06$42.15$35.0062.2%21.9%65.7%15.6%69.3%10.8%13.6%307.2K-12.2M-131.6K1.5457.86N/AN/A1,3002,00212,8659,033
2016-04-07$42.12$35.0065.6%22.3%65.6%20.4%70.3%8.4%13.7%312.1K-12.2M-131.1K1.5855.64N/AN/A1,3312,10212,8809,101
2016-04-08$40.20$35.0068.3%22.4%67.5%24.4%74.7%7.2%10.3%220.2K-6.1M-127.0K1.1062.33N/AN/A1,5091,66012,9269,129
2016-04-11$39.90$35.0074.5%22.3%65.9%33.3%74.0%3.3%0.8%187.9K-7.1M-124.6K1.0460.80N/AN/A1,3901,44712,7208,698
2016-04-12$41.01$35.0076.5%22.9%62.6%36.2%72.7%12.1%1.5%261.8K-9.2M-123.0K0.9963.68N/AN/A1,3341,32112,7828,867
2016-04-13$41.97$35.0078.3%23.0%63.2%38.7%73.0%14.7%4.4%326.1K-11.7M-125.2K0.9765.18N/AN/A1,4211,38012,8498,989
2016-04-14$41.30$35.0080.5%22.6%61.4%42.0%76.0%10.7%-2.6%140.4K-10.0M-122.5K0.8864.39N/AN/A1,5841,40112,9669,080
2016-04-15$42.31$35.0080.3%22.6%61.9%41.7%74.4%9.1%0.2%199.4K-12.7M-121.6K0.8367.26N/AN/A1,6591,37013,0389,124
2016-04-18$40.76$35.0083.7%23.6%57.2%46.5%78.7%10.4%-4.6%203.4K-9.9M-120.4K0.9138.25N/AN/A1,4461,31611,1197,912
2016-04-19$41.22$35.0079.3%22.5%51.0%40.2%78.0%11.3%0.2%196.1K-10.2M-119.6K1.0734.19N/AN/A1,4171,51611,2428,070
2016-04-20$42.30$35.0081.4%23.3%51.0%43.2%77.8%10.5%-2.5%211.8K-12.5M-119.9K1.3238.69N/AN/A1,2071,59711,3488,323
2016-04-21$40.45$35.0082.1%23.7%53.6%44.2%81.6%8.5%-2.8%182.1K-9.8M-122.7K1.3542.29N/AN/A1,2251,65811,4178,476
2016-04-22$40.51$35.0081.3%23.6%52.9%43.1%81.9%8.7%-3.0%142.1K-8.5M-119.5K1.5840.65N/AN/A1,3192,08411,4838,578
2016-04-25$39.13$35.0083.8%25.2%54.2%46.7%85.9%7.4%-3.6%143.2K-5.4M-116.4K1.4542.57N/AN/A2,0272,93811,0648,693
2016-04-26$38.43$35.0084.0%25.2%48.4%47.0%86.4%6.9%-4.6%118.1K-3.0M-142.1K1.3245.65N/AN/A2,0652,72512,2229,833
2016-04-27$38.99$35.0082.5%25.2%44.9%44.8%85.5%10.4%-4.2%106.4K-3.2M-141.8K1.2048.14N/AN/A2,2082,65112,28210,016
2016-04-28$37.80$35.0082.6%25.6%40.4%44.9%88.8%8.3%-4.8%84.8K-2.4M-139.7K1.6548.96N/AN/A1,7212,83712,30710,048
2016-04-29$38.00$35.0082.8%25.9%39.6%45.2%89.7%8.4%-3.6%106.1K-518.9K-137.6K1.5451.74N/AN/A1,5092,32912,37410,274