W Options History — July 2016

In July 2016, W traded between $38.12 and $43.46. ATM implied volatility averaged 65.5%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 24.7% (HV 20d: 40.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2016-07-28: Highest Volume — 8,979 contracts
  • 2016-07-05: Largest IV spike — 9.9% change
  • 2016-07-27: Highest IV Rank — 35.3%
  • 2016-07-28: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.20$38.12$43.46$38.12$43.46
Max Pain$35.58$35.00$40.00$40.00$37.00
ATM IV65.5%52.1%71.5%52.1%67.5%
Expected Move18.9%13.5%21.5%13.5%21.0%
HV 20d40.8%32.0%49.4%49.1%37.8%
HV 60d43.1%40.9%44.6%44.6%42.6%
IV Rank25.4%3.2%35.3%3.2%28.8%
IV Percentile27.1%2.4%45.2%2.4%30.6%
Term Structure0.2%-5.5%10.7%6.8%-3.2%
VWIV61.9%46.8%72.8%46.8%72.2%
Skew 25d7.5%3.9%10.8%5.6%8.2%
Skew 10d17.1%-3.9%43.9%-3.9%13.3%
Call IV 25d60.8%48.2%68.1%48.2%64.2%
Put IV 25d68.3%53.8%75.4%53.8%72.4%
Bid-Ask Spread %61.3146.5084.5484.5452.07
Gamma HHI0.180.150.320.180.28
Net GEX543.6K-443.9K1.5M294.5K-443.9K
Net DEX-6.2M-25.7M3.9M3.0M-25.7M
Net VEX-169.9K-192.8K-151.5K-192.8K-157.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.221.620.980.48
Total Volume4,052.32,7368,9793,7104,448
Total OI37,560.7535,27139,37038,82338,425

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$38.12$40.0052.1%13.5%49.1%3.2%46.8%5.6%6.8%294.5K3.0M-192.8K0.9884.54N/AN/A1,8741,83621,13217,691
2016-07-05$38.94$35.0057.2%17.8%49.4%11.7%56.9%10.7%7.8%275.7K634.6K-184.9K1.3876.25N/AN/A1,2681,75120,11617,617
2016-07-06$39.96$35.0059.0%18.4%49.4%14.6%65.7%7.8%9.2%453.2K-4.8M-188.2K1.5469.85N/AN/A1,3112,01620,38517,818
2016-07-07$40.25$35.0059.3%18.0%48.7%15.2%55.2%6.6%10.7%492.7K-6.6M-188.8K1.4469.55N/AN/A1,2531,81020,37218,141
2016-07-08$40.48$35.0062.5%18.0%42.6%20.5%50.7%10.7%7.0%755.0K-8.2M-183.9K1.6263.59N/AN/A1,2171,97720,44718,249
2016-07-11$40.44$35.0064.5%18.5%37.8%23.7%58.6%9.6%-3.4%573.5K-7.9M-181.3K1.2171.78N/AN/A1,2361,50020,24317,720
2016-07-12$41.53$35.0065.2%18.2%38.2%24.9%59.4%7.8%-2.7%813.9K-14.0M-181.7K0.7074.86N/AN/A2,0331,43320,54017,801
2016-07-13$40.55$35.0070.2%18.7%38.9%33.2%61.2%10.8%-4.3%745.1K-10.1M-180.6K0.9075.30N/AN/A1,5861,42921,42517,876
2016-07-14$39.15$35.0068.6%19.0%40.0%30.5%64.1%6.7%-1.7%470.6K306.5K-173.6K0.4671.40N/AN/A3,1641,46021,46117,909
2016-07-15$38.80$35.0068.5%18.7%40.0%30.4%62.7%9.7%-3.9%307.5K3.9M-165.9K0.7471.13N/AN/A2,7071,99921,42917,930
2016-07-18$40.22$35.0067.1%18.9%41.8%28.1%54.4%5.8%-0.7%527.0K-5.0M-162.9K0.4548.36N/AN/A2,9101,32018,92216,349
2016-07-19$39.40$35.0066.8%19.1%41.3%27.6%58.4%3.9%-2.1%460.6K-3.0M-163.6K0.4448.61N/AN/A2,7771,23019,59616,592
2016-07-20$40.31$35.0065.7%18.8%41.2%25.7%63.3%6.1%0.0%531.4K-4.9M-159.1K0.3849.95N/AN/A3,3901,30119,61116,746
2016-07-21$39.41$35.0066.8%19.2%41.7%27.6%59.2%7.0%-0.6%544.3K-2.5M-160.2K0.3949.95N/AN/A3,4441,33020,06116,779
2016-07-22$39.95$35.0066.6%19.0%40.3%27.3%59.6%6.4%1.9%1.5M-2.8M-153.9K0.3949.67N/AN/A3,2941,29520,14616,893
2016-07-25$39.64$35.0070.7%20.2%35.1%33.9%70.4%5.5%-5.5%435.7K-2.9M-151.8K0.7847.94N/AN/A1,8801,46919,38816,411
2016-07-26$40.32$35.5069.9%20.4%32.2%32.7%72.6%7.9%-3.3%597.4K-6.3M-151.7K0.8546.50N/AN/A1,9831,68819,86616,299
2016-07-27$40.29$37.0071.5%20.6%32.0%35.3%72.8%6.3%-4.9%648.8K-6.9M-151.5K0.9353.87N/AN/A1,7881,66020,06916,230
2016-07-28$42.74$37.0069.8%21.5%37.6%32.6%72.8%7.3%-2.8%923.0K-20.2M-163.5K0.2251.01N/AN/A7,3431,63620,15416,376
2016-07-29$43.46$37.0067.5%21.0%37.8%28.8%72.2%8.2%-3.2%-443.9K-25.7M-157.5K0.4852.07N/AN/A3,0131,43521,77716,648