W Options History — September 2016

In September 2016, W traded between $37.64 and $42.82. ATM implied volatility averaged 45.4%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 0.1% (HV 20d: 45.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2016-09-16: Highest Volume — 8,152 contracts
  • 2016-09-09: Largest IV spike — 7.5% change
  • 2016-09-13: Highest IV Rank — 5.7%
  • 2016-09-16: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.50$37.64$42.82$39.17$39.47
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV45.4%43.3%47.5%46.1%44.6%
Expected Move12.9%12.1%13.7%12.3%12.3%
HV 20d45.5%25.8%80.7%78.9%43.9%
HV 60d57.5%56.3%59.2%58.3%57.1%
IV Rank2.2%0.0%5.7%0.5%2.2%
IV Percentile1.9%0.0%6.7%0.4%2.4%
Term Structure1.1%-0.6%5.2%0.3%1.8%
VWIV44.6%37.0%50.3%43.9%42.8%
Skew 25d3.9%0.6%6.3%4.3%4.5%
Skew 10d7.4%-22.4%22.1%9.7%4.2%
Call IV 25d45.2%42.2%51.0%44.6%43.5%
Put IV 25d49.1%45.9%52.7%48.9%47.9%
Bid-Ask Spread %49.1526.1676.6755.5455.33
Gamma HHI0.160.080.650.130.12
Net GEX140.5K-2.3M811.3K329.1K35.8K
Net DEX-2.8M-17.9M9.4M2.6M5.9M
Net VEX-118.6K-130.3K-104.0K-111.9K-118.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.522.590.732.59
Total Volume5,429.4763,9588,1524,9734,318
Total OI23,727.71420,58625,97024,02924,823

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$39.17$40.0046.1%12.3%78.9%0.5%43.9%4.3%0.3%329.1K2.6M-111.9K0.7355.54N/AN/A2,8802,09313,07610,953
2016-09-02$38.82$40.0046.0%12.1%78.7%0.3%42.6%1.1%0.3%570.7K4.0M-112.1K0.7064.14N/AN/A3,1022,18013,18011,068
2016-09-06$40.46$40.0045.5%13.3%80.7%0.0%45.7%6.3%0.2%5.5K-584.1K-110.4K0.5258.15N/AN/A5,0012,58211,98410,314
2016-09-07$40.52$40.0045.0%13.2%31.3%0.0%45.1%3.7%1.1%250.9K-2.5M-114.7K0.7126.16N/AN/A3,0392,15313,31111,166
2016-09-08$41.30$40.0044.0%13.1%25.8%0.0%44.3%4.2%0.6%257.1K-6.5M-114.2K0.7542.31N/AN/A3,3972,55313,59811,541
2016-09-09$38.48$40.0047.3%13.3%36.6%5.3%46.6%0.6%2.6%-2.3M9.4M-109.5K0.9935.20N/AN/A4,0003,94314,08111,889
2016-09-12$38.68$40.0046.0%13.3%35.9%3.2%46.9%5.1%0.1%158.7K4.4M-106.6K1.5776.67N/AN/A1,6552,59911,3919,953
2016-09-13$37.64$40.0047.5%13.5%37.1%5.7%50.3%4.1%-0.6%52.2K6.9M-104.0K2.2836.97N/AN/A1,5933,62511,69910,019
2016-09-14$39.58$40.0046.5%13.4%40.4%4.1%48.2%5.3%0.2%329.4K-524.1K-113.0K1.2540.68N/AN/A2,8583,57512,13010,659
2016-09-15$40.35$40.0045.1%13.2%40.2%1.8%47.2%6.3%-0.1%811.3K-8.6M-115.4K2.2637.52N/AN/A1,6463,72713,54710,900
2016-09-16$42.03$40.0047.1%13.7%42.2%5.0%46.0%4.3%1.4%531.3K-17.9M-119.8K1.3041.57N/AN/A3,5454,60713,69910,900
2016-09-19$41.67$40.0046.9%13.4%42.4%4.7%45.5%3.6%1.2%353.6K-7.5M-121.6K0.8546.28N/AN/A3,2332,74711,5579,029
2016-09-20$42.28$40.0044.8%12.8%42.2%1.3%43.7%4.4%1.0%365.1K-9.6M-128.6K1.0239.64N/AN/A2,6932,74012,72910,402
2016-09-21$42.76$40.0043.9%12.6%42.2%0.0%45.7%4.5%2.0%496.5K-12.3M-130.3K1.2068.06N/AN/A2,2372,69112,94410,300
2016-09-22$42.82$40.0043.3%12.3%42.2%0.0%44.4%3.7%1.7%407.6K-13.3M-127.5K1.4556.58N/AN/A1,6162,34213,17410,617
2016-09-23$42.01$40.0044.0%12.4%43.1%1.2%42.4%4.0%2.3%-330.1K-8.1M-127.2K1.1050.67N/AN/A2,5872,85113,08010,794
2016-09-26$41.28$40.0045.1%12.6%43.0%2.9%47.6%2.5%0.8%323.2K-3.9M-129.1K1.3853.85N/AN/A1,9082,62912,81010,776
2016-09-27$41.24$40.0044.4%12.8%42.4%1.8%38.5%3.7%1.1%152.2K-2.7M-129.0K1.3444.15N/AN/A1,9182,56713,14911,491
2016-09-28$40.53$40.0044.3%12.6%43.0%1.6%37.0%2.6%0.7%96.4K-160.3K-125.4K1.2647.99N/AN/A1,7902,26013,16211,557
2016-09-29$39.51$40.0046.7%13.0%44.1%5.5%42.9%3.1%5.2%44.6K3.2M-122.1K1.3154.75N/AN/A1,9662,57313,20511,625
2016-09-30$39.47$40.0044.6%12.3%43.9%2.2%42.8%4.5%1.8%35.8K5.9M-118.0K2.5955.33N/AN/A1,2043,11413,23111,592