W Options History — June 2016

In June 2016, W traded between $37.10 and $43.00. ATM implied volatility averaged 54.0%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 13.0% (HV 20d: 41.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.52.

Notable Days

  • 2016-06-09: Highest Volume — 14,186 contracts
  • 2016-06-28: Largest IV drop — 14.4% change
  • 2016-06-27: Highest IV Rank — 21.8%
  • 2016-06-24: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.04$37.10$43.00$40.64$38.98
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV54.0%50.1%63.3%58.2%53.3%
Expected Move15.1%13.7%16.4%15.0%13.7%
HV 20d41.0%24.9%49.7%40.6%48.9%
HV 60d47.9%44.3%51.3%50.6%44.4%
IV Rank6.0%0.0%21.8%11.5%5.3%
IV Percentile4.3%0.0%18.7%10.7%4.0%
Term Structure1.0%-2.3%4.9%-2.1%3.6%
VWIV53.7%47.0%58.5%56.3%47.0%
Skew 25d8.2%4.3%12.0%8.4%6.5%
Skew 10d16.8%2.8%34.1%16.4%10.6%
Call IV 25d50.0%46.9%54.3%52.9%50.4%
Put IV 25d58.2%53.4%63.8%61.4%56.9%
Bid-Ask Spread %73.8468.0284.2969.3384.29
Gamma HHI0.190.140.300.140.16
Net GEX361.4K60.1K756.9K250.2K431.1K
Net DEX-3.4M-21.5M7.9M-4.0M-1.6M
Net VEX-179.3K-217.6K-131.8K-131.8K-197.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.443.321.110.44
Total Volume4,995.2272,56914,1863,4425,308
Total OI32,241.27321,37838,68021,37838,500

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$40.64$40.0058.2%15.0%40.6%11.5%56.3%8.4%-2.1%250.2K-4.0M-131.8K1.1169.33N/AN/A1,6311,8119,81311,565
2016-06-02$41.48$40.0055.6%15.8%40.5%7.0%53.5%9.2%-1.4%424.9K-6.1M-135.5K1.1469.91N/AN/A1,5711,79810,39111,992
2016-06-03$41.90$40.0053.3%15.2%40.4%3.2%52.3%7.5%-1.0%368.2K-7.5M-138.3K1.3472.43N/AN/A1,1261,50610,76212,437
2016-06-06$40.95$40.0053.3%15.1%41.7%3.1%51.9%7.5%-0.3%328.2K-4.3M-135.2K1.6070.78N/AN/A1,0681,70610,52012,239
2016-06-07$42.05$40.0051.6%14.8%25.8%0.2%53.1%6.8%0.0%389.1K-7.4M-139.1K1.5873.81N/AN/A9971,57210,82512,742
2016-06-08$43.00$40.0050.1%13.8%24.9%0.0%51.5%6.2%-1.9%455.2K-9.8M-139.0K1.4676.94N/AN/A1,1091,61510,97012,951
2016-06-09$40.23$40.0051.0%15.1%35.2%1.5%53.2%8.3%2.5%209.1K-1.4M-135.2K0.6468.04N/AN/A8,6705,51611,09913,064
2016-06-10$38.17$40.0054.6%15.3%40.0%7.4%52.2%7.3%-1.2%295.6K2.7M-177.1K2.4468.53N/AN/A1,3593,31618,80517,286
2016-06-13$37.68$40.0055.2%15.5%39.1%8.4%54.9%8.0%4.9%189.5K3.3M-178.6K3.2178.81N/AN/A9843,15518,47514,056
2016-06-14$37.10$40.0057.0%16.3%39.4%11.4%56.4%4.3%1.6%60.1K7.9M-184.8K1.3881.59N/AN/A1,7652,43918,73416,010
2016-06-15$38.25$40.0054.6%15.6%40.7%7.4%53.9%12.0%4.5%209.5K6.0M-194.2K0.6283.56N/AN/A2,7911,73518,76717,336
2016-06-16$38.60$40.0054.9%15.6%40.2%7.9%58.5%9.3%3.1%385.9K3.6M-196.1K0.9272.40N/AN/A2,3472,15319,73217,456
2016-06-17$39.12$40.0054.1%15.2%40.6%6.6%50.2%10.9%2.8%173.9K264.5K-202.2K1.0774.60N/AN/A2,0472,18420,70317,977
2016-06-20$40.18$40.0052.8%15.0%41.6%4.5%55.5%7.3%-0.5%364.4K-3.8M-207.8K1.8268.42N/AN/A1,3212,40918,38117,003
2016-06-21$41.17$40.0051.1%14.5%42.3%1.7%57.1%7.8%0.3%483.3K-8.9M-212.2K1.0368.64N/AN/A2,2752,34018,95216,955
2016-06-22$41.55$40.0051.2%14.7%41.7%1.7%55.9%9.5%-0.8%659.0K-14.1M-217.6K1.0372.21N/AN/A2,4032,46920,09817,007
2016-06-23$42.86$40.0050.8%14.6%42.9%1.1%52.7%8.3%0.2%756.9K-21.5M-216.5K2.6176.01N/AN/A2,3346,08720,28117,210
2016-06-24$40.49$40.0055.4%16.4%47.8%8.8%56.5%8.3%-2.3%523.5K-9.6M-212.5K3.2675.30N/AN/A2,0106,55420,43016,925
2016-06-27$38.85$40.0063.3%16.3%49.7%21.8%56.8%9.0%1.6%314.5K-85.6K-198.2K3.3268.02N/AN/A1,7825,91319,64016,752
2016-06-28$38.51$40.0054.2%15.2%49.4%6.8%53.2%8.1%4.6%311.7K2.2M-197.7K0.9375.25N/AN/A2,1061,96819,70117,112
2016-06-29$39.09$40.0052.9%13.9%49.6%4.6%47.9%9.6%4.9%367.7K-285.0K-197.0K0.4675.72N/AN/A3,1771,46820,05017,604
2016-06-30$38.98$40.0053.3%13.7%48.9%5.3%47.0%6.5%3.6%431.1K-1.6M-197.3K0.4484.29N/AN/A3,6961,61220,85917,641