W Options History — May 2016

In May 2016, W traded between $35.60 and $41.25. ATM implied volatility averaged 64.2%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 16.9% (HV 20d: 47.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2016-05-05: Highest Volume — 15,782 contracts
  • 2016-05-09: Largest IV drop — 15.2% change
  • 2016-05-03: Highest IV Rank — 51.9%
  • 2016-05-02: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.80$35.60$41.25$35.94$41.25
Max Pain$39.29$35.00$40.00$35.00$40.00
ATM IV64.2%54.9%87.5%86.9%56.2%
Expected Move18.3%14.3%28.5%28.5%14.9%
HV 20d47.3%39.6%53.9%42.2%39.9%
HV 60d60.6%50.8%74.1%74.1%50.8%
IV Rank19.4%5.9%51.9%51.2%8.0%
IV Percentile25.0%4.4%81.0%79.8%6.7%
Term Structure-0.7%-6.4%5.7%-6.4%-0.5%
VWIV64.2%51.7%97.2%96.6%57.3%
Skew 25d8.1%5.9%12.2%6.6%8.7%
Skew 10d17.8%8.9%31.7%26.8%17.0%
Call IV 25d60.0%50.0%83.9%83.9%52.5%
Put IV 25d68.1%58.5%90.5%90.5%61.2%
Bid-Ask Spread %59.4433.0676.2751.8072.31
Gamma HHI0.170.090.330.110.17
Net GEX-39.0K-649.2K349.4K75.8K309.1K
Net DEX-742.5K-9.3M13.6M2.3M-4.6M
Net VEX-133.5K-148.8K-125.7K-128.5K-128.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.847.131.621.03
Total Volume5,601.4292,82115,7823,9562,853
Total OI27,969.61919,56437,62521,67120,563

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$35.94$35.0086.9%28.5%42.2%51.2%96.6%6.6%-6.4%75.8K2.3M-128.5K1.6251.80N/AN/A1,5082,44811,8429,829
2016-05-03$35.90$35.0087.5%28.3%42.1%51.9%97.2%12.2%-4.2%50.5K3.3M-126.0K5.8756.67N/AN/A1,6629,76412,00410,104
2016-05-04$35.60$35.0085.1%27.3%41.6%48.5%90.6%10.5%-4.3%-362.6K9.6M-138.0K4.4163.01N/AN/A2,2289,82712,29517,639
2016-05-05$36.05$40.0079.5%21.8%42.2%40.5%75.4%9.1%-3.7%-336.5K7.4M-137.5K7.1363.24N/AN/A1,94213,84012,18817,699
2016-05-06$35.95$40.0074.9%21.7%39.6%33.8%74.3%8.8%2.1%-649.2K13.6M-148.8K1.3563.01N/AN/A2,2553,04212,37521,869
2016-05-09$39.63$40.0063.5%17.2%53.9%17.4%59.5%7.3%-3.6%-85.9K-4.6M-141.1K0.8462.72N/AN/A3,9103,27812,67121,889
2016-05-10$38.79$40.0061.7%16.1%53.3%14.8%61.9%8.0%-6.0%-177.3K-887.3K-143.0K0.8667.39N/AN/A3,0292,60614,04222,819
2016-05-11$38.28$40.0060.8%16.9%52.5%13.8%59.7%9.2%-2.7%-186.2K79.1K-139.7K0.8938.77N/AN/A3,0862,75914,26222,846
2016-05-12$37.74$40.0059.9%16.6%52.5%14.3%59.9%6.2%-1.9%-349.9K3.3M-138.5K0.9046.74N/AN/A2,9762,67914,12423,140
2016-05-13$38.71$40.0058.2%16.3%52.6%11.5%58.5%7.4%-2.2%-32.5K-122.0K-133.9K0.9175.60N/AN/A2,9162,66614,34423,281
2016-05-16$38.72$40.0059.2%16.8%51.1%13.2%59.6%6.8%3.5%1.2K-2.3M-129.6K0.9476.27N/AN/A2,4442,30813,14514,344
2016-05-17$39.25$40.0057.0%16.2%51.2%9.4%58.3%7.9%4.6%715-4.6M-129.6K0.8936.01N/AN/A2,4382,17213,23114,446
2016-05-18$40.02$40.0058.6%16.8%50.8%12.1%61.5%9.3%2.6%64.7K-7.6M-127.3K1.7163.58N/AN/A1,3552,32313,50114,693
2016-05-19$40.05$40.0057.7%16.4%48.3%10.6%55.3%7.5%1.8%53.9K-7.7M-127.5K1.6533.06N/AN/A1,3792,27913,53114,856
2016-05-20$40.50$40.0056.7%15.7%48.5%8.9%54.2%9.2%5.7%349.4K-9.3M-125.7K1.0969.65N/AN/A2,2242,43313,49814,871
2016-05-23$40.93$40.0058.7%15.4%46.8%12.3%56.1%6.9%1.3%108.1K-3.3M-129.6K1.1352.38N/AN/A1,3261,4958,65710,907
2016-05-24$40.08$40.0057.8%15.6%47.0%10.7%54.4%6.5%-0.1%91.3K-1.6M-131.2K1.5652.99N/AN/A1,2321,9249,32711,335
2016-05-25$40.43$40.0057.1%15.7%46.9%9.6%53.0%8.2%-0.6%43.3K-2.1M-133.6K1.1666.34N/AN/A1,3481,5649,51711,936
2016-05-26$40.15$40.0057.2%15.0%45.4%9.7%51.7%5.9%0.5%36.7K-1.7M-135.4K1.2364.10N/AN/A1,3321,6339,69012,078
2016-05-27$40.74$40.0054.9%14.3%45.6%5.9%52.6%8.2%-0.1%176.0K-4.7M-129.7K0.9872.57N/AN/A1,5901,5579,80612,168
2016-05-31$41.25$40.0056.2%14.9%39.9%8.0%57.3%8.7%-0.5%309.1K-4.6M-128.7K1.0372.31N/AN/A1,4041,4499,23511,328