W Options History — November 2016

In November 2016, W traded between $32.00 and $36.86. ATM implied volatility averaged 53.9%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 14.3% (HV 20d: 39.7%). Max pain ranged from $35.50 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2016-11-07: Highest Volume — 19,013 contracts
2016-11-08: Largest IV drop — 31.9% change
2016-11-07: Highest IV Rank — 57.4%
2016-11-02: Largest Expected Move — 25.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.44	$32.00	$36.86	$32.39	$36.51
Max Pain	$39.57	$35.50	$40.00	$35.50	$40.00
ATM IV	53.9%	44.4%	79.4%	72.3%	45.8%
Expected Move	15.7%	12.8%	25.1%	25.0%	13.9%
HV 20d	39.7%	26.1%	49.3%	27.6%	49.3%
HV 60d	38.4%	32.9%	54.2%	54.2%	41.1%
IV Rank	16.9%	1.9%	57.4%	46.2%	4.1%
IV Percentile	25.2%	2.4%	83.3%	69.8%	6.0%
Term Structure	-1.0%	-5.7%	0.6%	-2.0%	0.1%
VWIV	53.9%	45.1%	87.4%	86.3%	48.8%
Skew 25d	4.4%	0.2%	11.6%	3.4%	5.1%
Skew 10d	6.1%	-26.6%	28.5%	5.1%	28.5%
Call IV 25d	52.5%	44.3%	77.2%	67.8%	44.6%
Put IV 25d	56.9%	47.8%	78.8%	71.2%	49.7%
Bid-Ask Spread %	66.01	45.60	82.76	45.60	78.27
Gamma HHI	0.18	0.08	0.66	0.09	0.11
Net GEX	586.0K	-410.4K	2.5M	18.1K	15.0K
Net DEX	991.9K	-23.3M	15.6M	13.6M	-4.3M
Net VEX	-87.6K	-101.9K	-71.1K	-91.0K	-83.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.50	1.35	0.57	1.00
Total Volume	7,903.286	3,980	19,013	5,568	4,790
Total OI	34,814.81	17,486	55,496	30,883	24,240

Daily Data (21 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
2016-11-01	$32.39	$35.50	72.3%	25.0%	27.6%	46.2%	86.3%	3.4%	-2.0%	18.1K	13.6M	-91.0K	0.57	45.60	N/A	N/A	3,555	2,013	18,297	12,586
2016-11-02	$32.00	$35.50	71.2%	25.1%	26.1%	44.3%	87.4%	5.8%	-4.7%	-17.8K	15.6M	-86.2K	0.92	65.32	N/A	N/A	3,588	3,303	18,529	12,891
2016-11-03	$32.30	$40.00	71.5%	20.1%	26.8%	44.9%	55.8%	8.5%	-1.6%	51.1K	13.7M	-87.6K	0.90	69.23	N/A	N/A	3,423	3,075	18,693	13,129
2016-11-04	$32.53	$40.00	78.4%	19.2%	26.2%	55.8%	69.1%	1.6%	-2.1%	40.6K	11.8M	-88.5K	0.54	62.09	N/A	N/A	10,477	5,610	18,753	13,219
2016-11-07	$33.93	$40.00	79.4%	21.0%	31.6%	57.4%	71.3%	11.6%	-5.7%	364.0K	1.4M	-101.9K	0.78	65.77	N/A	N/A	10,705	8,308	21,417	14,668
2016-11-08	$32.42	$40.00	54.1%	15.8%	32.8%	17.2%	52.7%	0.2%	0.5%	376.3K	15.3M	-88.5K	1.11	51.67	N/A	N/A	6,294	6,996	29,737	21,067
2016-11-09	$33.81	$40.00	49.4%	14.0%	36.4%	9.9%	45.1%	8.6%	-0.2%	1.4M	1.5M	-96.5K	0.60	82.76	N/A	N/A	6,871	4,106	32,134	21,251
2016-11-10	$35.59	$40.00	48.4%	13.8%	41.4%	8.2%	48.1%	4.3%	0.0%	2.5M	-23.3M	-101.7K	0.60	75.15	N/A	N/A	7,874	4,731	32,888	21,623
2016-11-11	$35.71	$40.00	47.4%	13.6%	40.4%	6.7%	45.9%	5.7%	-0.5%	1.2M	-21.8M	-98.4K	0.78	53.16	N/A	N/A	5,495	4,308	33,289	22,207
2016-11-14	$36.07	$40.00	48.1%	13.8%	40.5%	7.9%	47.9%	3.1%	0.1%	1.3M	-10.4M	-98.9K	1.05	67.57	N/A	N/A	2,809	2,949	24,376	17,928
2016-11-15	$36.86	$40.00	48.4%	13.9%	40.7%	8.2%	49.0%	4.4%	-2.4%	1.4M	-16.8M	-96.5K	0.74	61.76	N/A	N/A	3,123	2,308	24,604	18,185
2016-11-16	$36.74	$40.00	46.7%	13.4%	40.6%	5.5%	45.1%	4.2%	-0.7%	1.5M	-15.9M	-95.2K	0.80	59.08	N/A	N/A	2,832	2,257	24,848	18,388
2016-11-17	$35.63	$40.00	46.1%	13.2%	41.9%	4.5%	47.6%	2.4%	-0.6%	1.5M	-7.2M	-90.3K	0.50	74.57	N/A	N/A	4,456	2,229	24,884	18,506
2016-11-18	$33.53	$40.00	48.1%	13.9%	46.9%	7.7%	49.8%	0.8%	-2.0%	1.1M	13.2M	-80.2K	0.66	48.38	N/A	N/A	4,804	3,156	24,644	18,544
2016-11-21	$33.54	$40.00	46.8%	13.3%	46.8%	5.6%	46.0%	4.3%	0.2%	-113.6K	8.6M	-71.1K	0.81	64.51	N/A	N/A	2,272	1,842	8,621	8,865
2016-11-22	$34.95	$40.00	45.2%	12.9%	47.8%	3.1%	45.9%	5.7%	0.6%	65.7K	5.0M	-74.6K	0.99	69.64	N/A	N/A	2,055	2,041	9,316	9,075
2016-11-23	$35.01	$40.00	44.4%	12.8%	47.1%	1.9%	45.9%	2.2%	0.1%	112.0K	3.9M	-75.8K	1.04	68.40	N/A	N/A	1,953	2,027	9,584	9,491
2016-11-25	$35.02	$40.00	45.5%	13.2%	46.7%	3.5%	46.9%	2.9%	0.0%	-410.4K	4.3M	-76.2K	0.80	70.01	N/A	N/A	2,522	2,021	9,648	10,029
2016-11-28	$34.10	$40.00	47.7%	14.1%	47.4%	7.2%	49.2%	2.2%	-0.4%	-82.4K	7.8M	-75.6K	0.93	77.83	N/A	N/A	4,536	4,236	8,656	9,102
2016-11-29	$34.69	$40.00	47.0%	14.0%	47.7%	6.1%	48.7%	5.1%	-0.1%	33.6K	4.7M	-81.2K	1.35	75.39	N/A	N/A	1,707	2,312	11,531	11,668
2016-11-30	$36.51	$40.00	45.8%	13.9%	49.3%	4.1%	48.8%	5.1%	0.1%	15.0K	-4.3M	-83.2K	1.00	78.27	N/A	N/A	2,397	2,393	11,691	12,549