W Options History — February 2017

In February 2017, W traded between $37.87 and $42.80. ATM implied volatility averaged 57.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 30.0% (HV 20d: 27.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2017-02-23: Highest Volume — 8,709 contracts
  • 2017-02-23: Largest IV drop — 41.2% change
  • 2017-02-21: Highest IV Rank — 43.6%
  • 2017-02-22: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.00$37.87$42.80$41.50$37.87
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV57.1%37.9%65.9%62.8%37.9%
Expected Move15.6%10.9%20.2%11.5%11.2%
HV 20d27.1%19.2%35.3%34.9%35.3%
HV 60d34.2%30.8%38.3%38.2%33.5%
IV Rank27.5%0.0%43.6%34.0%0.0%
IV Percentile46.1%0.0%69.4%58.3%0.0%
Term Structure-3.0%-9.0%2.0%-4.1%0.4%
VWIV54.1%38.4%70.8%39.9%38.4%
Skew 25d3.9%2.3%6.5%3.3%3.5%
Skew 10d6.4%-6.8%20.2%8.7%-6.8%
Call IV 25d55.3%36.9%62.9%60.8%37.4%
Put IV 25d59.2%39.9%67.6%64.1%40.9%
Bid-Ask Spread %54.1530.9386.8049.7641.87
Gamma HHI0.100.080.200.090.13
Net GEX289.9K-15.3K518.1K263.9K-15.3K
Net DEX-6.0M-11.9M4.7M-8.2M3.7M
Net VEX-77.1K-82.6K-67.1K-80.0K-67.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.421.110.501.11
Total Volume4,210.7892,7208,7093,3854,030
Total OI15,61112,56720,80113,69213,102

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$41.50$40.0062.8%11.5%34.9%34.0%39.9%3.3%-4.1%263.9K-8.2M-80.0K0.5049.76N/AN/A2,2611,1247,6886,004
2017-02-02$42.01$40.0062.2%16.0%32.8%33.2%54.0%4.4%-4.5%332.0K-10.3M-81.7K0.4456.50N/AN/A2,1929597,9976,091
2017-02-03$42.13$40.0061.1%15.8%32.7%31.4%53.1%3.1%-0.9%233.0K-10.4M-79.9K0.4265.07N/AN/A2,1389018,1266,157
2017-02-06$42.57$40.0061.5%15.5%32.7%32.0%54.0%4.5%-6.1%379.8K-11.1M-78.7K0.5357.81N/AN/A2,1781,1487,8915,874
2017-02-07$42.73$40.0061.2%15.9%32.2%31.6%55.3%4.3%-5.8%462.0K-11.9M-80.7K0.4654.16N/AN/A2,4771,1428,2966,240
2017-02-08$42.31$40.0061.2%16.6%20.7%30.8%56.1%5.8%-3.2%462.8K-10.5M-81.0K0.5833.03N/AN/A2,3121,3508,7366,590
2017-02-09$42.29$40.0062.5%16.5%20.5%33.8%56.4%2.9%-5.7%518.1K-11.1M-82.6K0.5962.63N/AN/A2,2261,3239,0096,984
2017-02-10$42.80$40.0060.9%15.7%20.3%31.4%58.8%3.6%-9.0%342.2K-11.9M-81.2K0.7755.48N/AN/A1,9621,5069,1187,057
2017-02-13$41.96$40.0061.5%17.2%20.6%34.8%60.2%2.5%-2.0%359.4K-9.4M-79.1K0.6946.47N/AN/A1,6121,1088,6006,956
2017-02-14$41.24$40.0061.1%17.3%19.8%34.5%59.3%2.4%-2.8%287.4K-7.0M-78.6K0.6643.17N/AN/A1,7921,1838,6527,148
2017-02-15$41.47$40.0060.8%17.4%19.2%34.8%58.6%5.4%-2.3%234.5K-6.8M-77.5K0.5646.66N/AN/A2,0661,1568,7397,397
2017-02-16$40.03$40.0060.6%17.5%23.3%34.3%60.9%3.1%-2.9%326.7K-2.6M-76.4K0.5347.85N/AN/A2,3201,2359,1327,447
2017-02-17$40.09$40.0064.2%18.7%23.3%40.7%64.8%4.2%-3.2%468.6K-1.7M-75.7K0.4430.93N/AN/A4,9002,1429,2477,909
2017-02-21$40.30$40.0065.9%19.9%23.3%43.6%68.1%5.6%-4.3%267.0K-4.9M-76.7K0.4953.33N/AN/A2,6961,3318,5116,117
2017-02-22$41.04$40.0064.6%20.2%22.3%41.3%70.8%6.5%-3.3%324.8K-7.1M-78.3K0.6855.43N/AN/A4,3742,9579,2636,775
2017-02-23$38.21$40.0038.0%10.9%33.5%0.0%39.6%3.0%2.0%115.6K4.7M-70.6K0.9859.80N/AN/A4,3964,31311,8598,529
2017-02-24$39.25$40.0038.4%11.0%33.9%0.8%39.1%3.8%0.7%61.4K2.1M-69.4K0.6882.03N/AN/A3,4792,38112,4238,378
2017-02-27$39.17$40.0038.0%11.1%33.9%0.1%40.4%2.3%0.0%83.4K606.5K-68.9K0.7286.80N/AN/A1,9361,3996,5246,043
2017-02-28$37.87$40.0037.9%11.2%35.3%0.0%38.4%3.5%0.4%-15.3K3.7M-67.1K1.1141.87N/AN/A1,9072,1236,8496,253