W Options History — August 2016

In August 2016, W traded between $37.39 and $48.33. ATM implied volatility averaged 54.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 17.6% (HV 20d: 72.3%). Max pain ranged from $37.50 to $45.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.74.

Notable Days

2016-08-08: Highest Volume — 23,445 contracts
2016-08-09: Largest IV drop — 21.2% change
2016-08-04: Highest IV Rank — 38.5%
2016-08-03: Largest Expected Move — 25.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.58	$37.39	$48.33	$44.32	$38.67
Max Pain	$40.43	$37.50	$45.00	$37.50	$40.00
ATM IV	54.6%	45.8%	73.5%	69.0%	45.8%
Expected Move	15.6%	12.5%	25.1%	22.8%	12.9%
HV 20d	72.3%	36.6%	86.8%	36.6%	78.6%
HV 60d	53.9%	38.6%	59.0%	42.7%	58.5%
IV Rank	10.2%	0.0%	38.5%	31.2%	0.0%
IV Percentile	12.3%	0.0%	51.6%	35.7%	0.0%
Term Structure	-0.8%	-6.0%	3.7%	-3.2%	1.6%
VWIV	54.0%	38.6%	89.7%	79.2%	43.4%
Skew 25d	3.8%	0.6%	9.2%	6.5%	1.5%
Skew 10d	11.7%	1.0%	37.3%	15.6%	4.7%
Call IV 25d	53.2%	45.7%	70.6%	64.8%	46.9%
Put IV 25d	57.0%	48.4%	77.1%	71.2%	48.4%
Bid-Ask Spread %	47.33	23.53	81.64	53.27	59.46
Gamma HHI	0.12	0.09	0.20	0.19	0.11
Net GEX	393.5K	-790.3K	1.8M	1.1M	124.9K
Net DEX	-5.5M	-61.3M	30.0M	-28.2M	4.8M
Net VEX	-131.9K	-181.2K	-111.9K	-160.7K	-112.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.31	2.40	0.31	0.67
Total Volume	8,008.957	1,257	23,445	6,149	4,781
Total OI	39,980.87	22,704	58,794	37,014	23,851

Daily Data (23 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
2016-08-01	$44.32	$37.50	69.0%	22.8%	36.6%	31.2%	79.2%	6.5%	-3.2%	1.1M	-28.2M	-160.7K	0.31	53.27	N/A	N/A	4,677	1,472	20,870	16,144
2016-08-02	$46.42	$37.50	70.9%	24.4%	38.8%	34.4%	85.2%	9.2%	-6.0%	1.5M	-45.5M	-168.2K	0.52	56.49	N/A	N/A	4,649	2,396	23,313	16,460
2016-08-03	$47.58	$40.00	72.8%	25.1%	38.8%	37.4%	89.7%	7.5%	-3.8%	1.5M	-58.4M	-181.2K	0.72	55.91	N/A	N/A	4,799	3,451	25,163	17,186
2016-08-04	$47.72	$40.00	73.5%	18.9%	38.8%	38.5%	67.1%	6.5%	-4.8%	1.5M	-58.0M	-175.0K	0.35	52.66	N/A	N/A	6,431	2,257	25,772	17,262
2016-08-05	$48.08	$45.00	72.2%	18.8%	38.8%	36.4%	66.6%	6.3%	-4.0%	1.6M	-61.3M	-175.4K	1.72	58.50	N/A	N/A	3,743	6,430	25,772	17,490
2016-08-08	$48.33	$45.00	68.9%	18.2%	38.7%	31.0%	66.8%	4.6%	-3.8%	1.8M	-59.3M	-166.2K	0.48	57.46	N/A	N/A	15,855	7,590	25,201	15,496
2016-08-09	$39.26	$45.00	54.3%	14.9%	85.6%	6.9%	52.3%	5.2%	-1.3%	-249.3K	19.1M	-120.1K	1.00	53.96	N/A	N/A	9,314	9,276	29,999	21,436
2016-08-10	$37.43	$40.00	53.1%	15.0%	86.8%	4.9%	52.3%	2.8%	-1.3%	-790.3K	30.0M	-119.2K	0.67	27.06	N/A	N/A	8,203	5,482	30,842	23,700
2016-08-11	$38.19	$40.00	50.0%	14.0%	86.3%	0.0%	49.3%	2.9%	-0.7%	-405.1K	23.0M	-125.3K	0.60	56.68	N/A	N/A	7,063	4,203	32,157	24,194
2016-08-12	$39.00	$40.00	49.5%	14.0%	86.6%	0.0%	46.6%	4.8%	-1.9%	174.6K	15.3M	-127.6K	0.59	48.29	N/A	N/A	6,658	3,905	34,289	24,505
2016-08-15	$38.98	$40.00	50.1%	14.3%	85.6%	1.1%	47.7%	0.8%	-0.0%	301.0K	4.3M	-125.0K	0.63	33.18	N/A	N/A	4,883	3,054	29,997	20,298
2016-08-16	$38.06	$40.00	48.7%	13.9%	85.7%	0.0%	38.6%	3.0%	2.4%	140.2K	8.6M	-122.7K	0.77	28.03	N/A	N/A	3,967	3,046	30,544	20,830
2016-08-17	$37.39	$40.00	49.8%	14.3%	85.4%	2.0%	48.6%	1.5%	-0.7%	-260.2K	15.1M	-117.5K	0.62	29.53	N/A	N/A	1,570	977	30,891	21,190
2016-08-18	$37.88	$40.00	47.0%	13.3%	85.3%	0.0%	45.3%	3.4%	3.3%	102.1K	11.8M	-117.8K	2.40	23.53	N/A	N/A	370	887	31,558	21,729
2016-08-19	$38.23	$40.00	47.7%	13.4%	85.2%	1.3%	47.3%	3.0%	3.7%	-85.0K	8.6M	-116.8K	0.73	28.09	N/A	N/A	4,811	3,526	31,527	21,859
2016-08-22	$37.84	$40.00	48.8%	13.7%	85.2%	3.0%	48.5%	1.3%	-0.1%	-79.0K	8.2M	-114.8K	0.68	43.93	N/A	N/A	3,190	2,154	12,461	10,504
2016-08-23	$38.08	$40.00	48.6%	13.4%	85.0%	2.8%	44.3%	2.7%	-0.2%	41.1K	6.5M	-116.8K	0.65	43.58	N/A	N/A	3,158	2,056	13,075	10,758
2016-08-24	$38.12	$40.00	47.9%	12.9%	85.0%	1.6%	45.9%	0.6%	0.8%	44.6K	6.9M	-115.6K	0.54	52.89	N/A	N/A	944	512	13,368	10,973
2016-08-25	$38.01	$40.00	47.3%	12.9%	81.8%	0.5%	44.5%	1.3%	0.2%	151.3K	6.8M	-115.4K	0.56	48.33	N/A	N/A	3,598	2,013	14,016	11,087
2016-08-26	$39.00	$40.00	46.4%	12.6%	82.2%	0.0%	44.1%	4.5%	0.6%	609.5K	2.9M	-115.5K	0.50	81.64	N/A	N/A	4,221	2,123	14,229	11,369
2016-08-29	$38.31	$40.00	46.9%	12.9%	81.7%	0.9%	45.2%	3.6%	0.9%	91.7K	5.9M	-112.7K	0.64	45.85	N/A	N/A	3,238	2,081	12,495	10,209
2016-08-30	$38.35	$40.00	47.4%	12.5%	79.4%	1.6%	44.2%	4.1%	0.4%	49.6K	6.0M	-111.9K	0.79	50.38	N/A	N/A	2,907	2,285	12,743	10,748
2016-08-31	$38.67	$40.00	45.8%	12.9%	78.6%	0.0%	43.4%	1.5%	1.6%	124.9K	4.8M	-112.4K	0.67	59.46	N/A	N/A	2,857	1,924	12,969	10,882