W Options History — December 2016

In December 2016, W traded between $35.01 and $38.62. ATM implied volatility averaged 44.8%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 6.7% (HV 20d: 38.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2016-12-16: Highest Volume — 8,257 contracts
  • 2016-12-14: Largest IV spike — 6.3% change
  • 2016-12-27: Highest IV Rank — 5.9%
  • 2016-12-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.13$35.01$38.62$36.21$35.01
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV44.8%43.2%46.9%45.6%46.1%
Expected Move13.0%12.3%14.0%14.0%13.5%
HV 20d38.1%27.3%49.8%49.2%27.6%
HV 60d37.4%36.2%41.2%41.1%36.8%
IV Rank2.6%0.0%5.9%3.7%4.6%
IV Percentile6.3%0.0%17.5%6.0%15.5%
Term Structure0.4%-4.5%2.3%1.3%1.8%
VWIV45.9%42.4%50.0%50.0%45.5%
Skew 25d3.1%-1.1%6.1%3.6%3.0%
Skew 10d6.2%-7.7%28.1%19.0%12.9%
Call IV 25d45.2%43.0%50.7%45.2%45.6%
Put IV 25d48.3%45.1%56.0%48.8%48.6%
Bid-Ask Spread %69.3632.5592.2880.2848.30
Gamma HHI0.230.090.450.100.45
Net GEX274.8K-337.3K964.3K40.6K509.7K
Net DEX-865.5K-11.3M6.7M-6.4M6.5M
Net VEX-74.3K-83.0K-65.5K-83.0K-65.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.281.361.360.92
Total Volume4,277.8573,2838,2574,4144,205
Total OI18,570.1913,15725,83125,54215,073

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$36.21$40.0045.6%14.0%49.2%3.7%50.0%3.6%1.3%40.6K-6.4M-83.0K1.3680.28N/AN/A1,8722,54212,25013,292
2016-12-02$37.04$40.0045.0%13.1%49.5%2.7%44.7%2.5%0.1%305.5K-11.3M-81.1K0.7876.36N/AN/A3,5752,79812,31113,520
2016-12-05$36.74$35.0044.4%13.7%49.8%1.7%43.7%1.7%0.5%288.6K487.1K-81.3K1.2479.59N/AN/A1,5281,89910,3968,937
2016-12-06$37.05$35.0044.7%13.8%48.0%2.3%45.8%2.6%2.3%299.8K-458.0K-81.5K1.1679.66N/AN/A1,7802,05710,5089,186
2016-12-07$37.35$35.0044.2%13.6%44.2%1.5%46.0%3.1%1.1%349.9K-992.9K-79.9K1.0177.78N/AN/A2,1812,20410,6859,401
2016-12-08$38.55$35.0043.5%12.9%43.2%0.4%47.1%3.8%1.9%526.2K-6.5M-79.0K1.2381.72N/AN/A2,2602,77111,0109,778
2016-12-09$37.94$35.0044.8%12.9%40.5%2.4%46.6%0.9%1.1%559.5K-3.6M-78.6K1.0980.14N/AN/A2,2562,45211,1809,905
2016-12-12$38.45$35.0044.6%12.5%40.7%2.2%45.6%4.6%-0.9%546.2K-4.0M-74.5K0.9886.63N/AN/A2,0482,00310,4879,318
2016-12-13$38.62$35.0043.2%12.6%40.6%0.0%45.6%2.9%-0.0%743.3K-5.4M-76.8K1.0932.55N/AN/A1,8792,05711,1419,751
2016-12-14$38.39$35.0046.0%12.3%40.1%4.4%49.4%5.1%-4.5%842.2K-4.2M-76.9K1.0292.28N/AN/A1,7281,76311,4479,930
2016-12-15$38.34$35.0043.3%12.4%40.1%0.1%46.8%4.3%-0.7%964.3K-3.2M-73.7K1.0184.08N/AN/A1,8311,85411,49510,027
2016-12-16$37.59$35.0045.5%12.5%39.1%3.6%42.8%-1.1%0.0%-47.0K611.1K-72.3K0.2888.56N/AN/A6,4521,80511,56610,121
2016-12-19$38.04$35.0044.5%12.6%31.2%2.0%43.2%2.9%2.3%195.0K-1.5M-69.0K0.6664.34N/AN/A1,9951,3196,5406,617
2016-12-20$37.56$35.0043.8%12.5%31.8%0.9%42.7%2.8%0.6%214.3K-1.0M-71.3K0.7855.21N/AN/A1,8461,4377,4406,810
2016-12-21$37.22$35.0043.2%12.4%29.3%0.0%42.4%1.9%0.5%102.7K298.2K-71.6K0.8460.58N/AN/A1,8501,5617,5837,110
2016-12-22$36.51$35.0044.4%12.7%30.4%1.9%46.7%3.2%0.8%-105.9K3.4M-69.9K0.8958.46N/AN/A2,0611,8337,7247,297
2016-12-23$35.31$35.0045.7%13.1%32.9%3.9%46.8%2.4%0.2%-337.3K6.7M-69.7K1.1977.78N/AN/A2,1422,5488,4377,792
2016-12-27$36.35$35.0046.9%13.2%32.7%5.9%47.1%4.3%-0.4%-57.8K3.3M-69.2K1.0347.91N/AN/A2,0682,1276,9057,332
2016-12-28$35.94$35.0046.8%13.5%32.7%5.7%47.8%3.8%-0.2%-65.8K3.7M-68.9K0.8255.09N/AN/A2,0951,7107,2587,488
2016-12-29$35.47$35.0045.8%13.3%27.3%4.1%47.6%6.1%1.5%-102.9K5.4M-66.6K0.7349.30N/AN/A1,9921,4517,4037,523
2016-12-30$35.01$35.0046.1%13.5%27.6%4.6%45.5%3.0%1.8%509.7K6.5M-65.5K0.9248.30N/AN/A2,1902,0157,4547,619