W Options History — October 2016

In October 2016, W traded between $33.31 and $39.12. ATM implied volatility averaged 66.4%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 35.0% (HV 20d: 31.3%). Max pain ranged from $35.50 to $40.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2016-10-28: Highest Volume — 10,219 contracts
  • 2016-10-10: Largest IV spike — 17.3% change
  • 2016-10-27: Highest IV Rank — 47.0%
  • 2016-10-31: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.38$33.31$39.12$38.44$33.31
Max Pain$39.79$35.50$40.00$40.00$35.50
ATM IV66.4%47.7%72.8%47.7%71.3%
Expected Move19.4%13.1%24.5%13.1%24.5%
HV 20d31.3%25.4%44.8%44.8%26.9%
HV 60d56.1%54.0%57.3%57.3%54.0%
IV Rank36.7%7.0%47.0%7.0%44.6%
IV Percentile50.5%10.7%71.8%10.7%67.1%
Term Structure-0.3%-6.8%16.5%14.3%-3.3%
VWIV66.6%47.2%85.0%48.3%85.0%
Skew 25d3.9%-1.3%10.8%2.3%2.6%
Skew 10d5.5%-18.0%12.6%5.8%9.6%
Call IV 25d64.0%48.0%71.5%49.6%68.3%
Put IV 25d67.9%51.3%78.1%51.9%71.0%
Bid-Ask Spread %57.5940.8679.3955.5342.86
Gamma HHI0.180.100.250.130.10
Net GEX-71.9K-335.1K162.6K-101.0K60.7K
Net DEX10.2M1.8M15.7M7.1M11.1M
Net VEX-106.6K-123.0K-92.7K-113.7K-96.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.492.041.400.64
Total Volume5,610.9053,14210,2193,1425,515
Total OI28,337.57123,68432,51223,68430,109

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$38.44$40.0047.7%13.1%44.8%7.0%48.3%2.3%14.3%-101.0K7.1M-113.7K1.4055.53N/AN/A1,3101,83212,50111,183
2016-10-04$38.51$40.0053.3%13.6%42.0%15.9%47.3%5.6%6.2%-113.4K7.1M-112.7K0.4964.18N/AN/A3,7171,82912,89011,361
2016-10-05$39.12$40.0058.2%13.2%42.5%23.7%47.2%5.2%8.5%64.1K3.5M-121.4K0.6679.39N/AN/A3,0712,02014,84511,424
2016-10-06$39.11$40.0051.7%17.8%41.8%13.3%61.2%3.3%14.7%153.1K1.8M-123.0K1.1463.76N/AN/A2,0572,34815,53411,553
2016-10-07$37.94$40.0056.5%18.1%35.0%21.0%65.0%-0.4%16.5%40.8K7.6M-114.4K1.2666.08N/AN/A2,1362,69215,55911,875
2016-10-10$37.53$40.0066.3%18.1%35.1%36.6%63.7%-0.0%-5.4%-57.7K8.2M-110.0K1.1463.31N/AN/A1,9892,26415,21811,413
2016-10-11$36.16$40.0069.5%19.1%36.2%41.7%67.0%-1.3%-4.5%-139.5K13.4M-101.4K1.5564.28N/AN/A2,1943,40315,88811,713
2016-10-12$36.64$40.0072.7%18.9%31.2%46.8%68.4%5.0%-6.8%-116.5K11.7M-106.6K1.8465.46N/AN/A1,7253,17516,21512,468
2016-10-13$36.52$40.0072.2%19.7%30.0%45.9%67.3%10.8%-3.4%-146.4K13.1M-101.3K1.2066.21N/AN/A2,0712,48716,33712,481
2016-10-14$35.59$40.0070.5%19.7%25.4%43.3%65.8%4.4%-2.6%-269.5K15.0M-99.0K1.5658.06N/AN/A1,9313,02216,65112,663
2016-10-17$35.80$40.0070.4%19.7%25.9%43.1%64.8%3.1%-3.9%-335.1K14.2M-92.7K1.2162.79N/AN/A1,7662,13915,59311,993
2016-10-18$36.47$40.0070.2%19.9%26.4%42.7%68.3%4.4%-2.6%-193.9K10.4M-97.0K1.7667.06N/AN/A1,7563,09616,18812,016
2016-10-19$36.67$40.0069.9%20.0%26.0%42.2%66.0%5.4%-4.2%-203.9K10.7M-107.9K2.0461.88N/AN/A1,5923,24116,40613,097
2016-10-20$36.21$40.0070.9%20.6%25.8%43.9%62.9%4.1%-5.7%-183.4K11.9M-104.9K0.7859.17N/AN/A4,1883,25816,45113,247
2016-10-21$36.27$40.0069.4%20.3%25.7%41.5%68.3%5.3%-5.1%47.0K9.4M-111.2K1.1853.42N/AN/A3,2613,85718,86813,370
2016-10-24$36.55$40.0070.4%21.4%25.9%43.1%72.8%2.0%-2.4%25.0K6.6M-111.2K1.3944.45N/AN/A2,3723,30114,65912,168
2016-10-25$35.24$40.0069.1%21.6%28.0%41.1%73.3%2.8%-3.9%-57.3K10.1M-106.9K0.6342.16N/AN/A3,7952,37315,62012,390
2016-10-26$34.47$40.0070.5%21.9%28.2%43.2%74.7%4.5%-4.4%-71.6K11.8M-104.5K0.6643.61N/AN/A3,9582,60117,44712,664
2016-10-27$33.94$40.0072.8%22.9%27.6%47.0%78.0%8.9%-5.3%-74.7K14.6M-100.9K0.6340.86N/AN/A5,0853,18317,68312,836
2016-10-28$33.40$40.0069.9%22.7%27.7%42.3%82.4%2.9%-2.6%162.6K15.7M-100.8K1.4644.93N/AN/A4,1596,06018,84113,671
2016-10-31$33.31$35.5071.3%24.5%26.9%44.6%85.0%2.6%-3.3%60.7K11.1M-96.3K0.6442.86N/AN/A3,3532,16217,96712,142