W Options History — January 2017

In January 2017, W traded between $35.10 and $42.37. ATM implied volatility averaged 48.8%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 13.0% (HV 20d: 35.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-01-10: Highest Volume — 6,535 contracts
  • 2017-01-25: Largest IV spike — 15.7% change
  • 2017-01-30: Highest IV Rank — 34.5%
  • 2017-01-03: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.89$35.10$42.37$35.10$41.75
Max Pain$35.50$35.00$40.00$35.00$40.00
ATM IV48.8%40.8%63.1%48.3%63.1%
Expected Move12.0%10.6%14.3%14.3%11.6%
HV 20d35.8%26.1%40.3%26.1%34.6%
HV 60d38.6%36.6%39.7%36.8%38.2%
IV Rank11.0%0.0%34.5%8.2%34.5%
IV Percentile21.3%0.0%58.3%25.0%58.3%
Term Structure2.2%-4.9%13.3%-0.5%-4.9%
VWIV41.5%36.9%48.4%48.4%40.4%
Skew 25d4.3%2.2%9.3%2.2%6.1%
Skew 10d12.1%0.8%36.9%7.5%10.9%
Call IV 25d47.5%39.7%61.1%48.0%60.0%
Put IV 25d51.8%43.4%66.1%50.1%66.1%
Bid-Ask Spread %41.1722.6060.2145.7353.44
Gamma HHI0.170.090.670.170.10
Net GEX313.9K-187.4K794.7K-187.4K254.7K
Net DEX-8.2M-19.3M5.6M5.6M-8.4M
Net VEX-69.7K-79.3K-63.1K-63.1K-79.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.440.980.730.56
Total Volume4,334.452,6106,5353,7053,178
Total OI15,118.110,18519,82513,64613,162

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$35.10$35.0048.3%14.3%26.1%8.2%48.4%2.2%-0.5%-187.4K5.6M-63.1K0.7345.73N/AN/A2,1381,5676,3867,260
2017-01-04$36.55$35.0047.0%13.4%30.1%6.0%46.0%2.6%-0.2%-27.0K1.4M-66.5K0.5256.42N/AN/A3,3141,7186,7957,582
2017-01-05$37.11$35.0046.8%13.5%30.5%5.7%44.8%9.3%-0.2%330.8K-3.3M-69.6K0.7533.12N/AN/A3,1652,3638,3947,679
2017-01-06$37.28$35.0045.1%13.4%30.4%3.0%45.5%5.4%-0.5%422.4K-5.6M-72.8K0.8034.16N/AN/A3,0712,4669,4138,322
2017-01-09$38.12$35.0044.0%12.3%29.3%1.3%45.0%6.4%-1.9%452.0K-7.2M-70.1K0.9431.41N/AN/A1,8241,7149,0067,777
2017-01-10$41.00$35.0043.8%12.7%38.6%1.0%43.0%3.0%0.3%465.4K-19.3M-66.0K0.6052.62N/AN/A4,0952,4409,1608,112
2017-01-11$40.76$35.0042.9%12.3%38.5%0.0%41.8%2.3%0.1%643.0K-18.9M-71.3K0.9822.60N/AN/A2,8082,74610,6018,712
2017-01-12$40.35$35.0042.1%12.4%38.8%0.0%43.1%3.1%1.2%543.7K-16.4M-72.8K0.7760.21N/AN/A3,5052,68810,4929,273
2017-01-13$39.65$35.0041.1%11.8%39.3%0.0%41.8%3.7%-0.0%322.6K-12.9M-70.8K0.7938.87N/AN/A3,1772,49410,1829,643
2017-01-17$40.72$35.0041.7%12.0%40.3%1.0%41.7%5.3%11.9%317.2K-10.1M-68.7K0.5538.41N/AN/A3,1361,7308,0977,575
2017-01-18$40.23$35.0040.8%11.7%39.8%0.0%41.1%4.2%11.5%317.4K-9.0M-66.1K0.5833.76N/AN/A2,5931,5088,2597,630
2017-01-19$40.25$35.0042.0%11.5%39.7%1.9%39.8%2.9%9.3%284.1K-9.2M-65.0K0.6333.56N/AN/A2,1781,3798,3417,696
2017-01-20$40.15$35.0044.1%11.3%39.3%5.2%38.8%3.3%13.3%794.7K-8.9M-63.7K0.6028.99N/AN/A2,4011,4458,3987,715
2017-01-23$39.96$35.0050.7%11.7%39.2%15.4%39.1%4.9%3.3%114.1K-2.7M-66.0K0.7140.60N/AN/A1,5301,0805,0595,126
2017-01-24$41.00$35.0049.7%11.0%39.0%13.7%37.8%3.2%6.8%154.4K-4.6M-67.4K0.6649.22N/AN/A1,6041,0525,5655,474
2017-01-25$41.41$35.0057.5%10.8%36.1%25.8%37.0%4.7%1.0%255.2K-7.1M-71.3K0.6238.34N/AN/A1,9411,2016,3035,632
2017-01-26$42.37$35.0060.8%10.9%35.7%31.0%37.4%6.8%-1.5%311.3K-9.4M-72.2K0.4640.87N/AN/A2,6961,2456,5065,826
2017-01-27$42.35$35.0060.7%10.6%35.1%30.9%36.9%3.9%-1.4%263.4K-11.2M-74.9K0.5438.92N/AN/A2,6831,4527,1765,922
2017-01-30$41.70$40.0063.1%11.7%35.3%34.5%40.7%3.4%-4.0%245.8K-7.4M-76.7K0.4452.10N/AN/A2,3351,0296,6485,463
2017-01-31$41.75$40.0063.1%11.6%34.6%34.5%40.4%6.1%-4.9%254.7K-8.4M-79.3K0.5653.44N/AN/A2,0401,1387,4135,749