W Options History — March 2017

In March 2017, W traded between $35.71 and $40.66. ATM implied volatility averaged 37.5%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 3.3% (HV 20d: 34.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.39.

Notable Days

2017-03-03: Highest Volume — 9,476 contracts
2017-03-31: Largest IV spike — 5.3% change
2017-03-06: Highest IV Rank — 6.5%
2017-03-14: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.98	$35.71	$40.66	$37.85	$40.66
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	37.5%	35.8%	39.8%	37.2%	39.0%
Expected Move	10.7%	9.6%	11.4%	10.7%	9.6%
HV 20d	34.2%	26.0%	39.8%	35.3%	26.2%
HV 60d	33.5%	32.6%	34.5%	33.4%	32.6%
IV Rank	2.4%	0.0%	6.5%	0.0%	6.1%
IV Percentile	2.1%	0.0%	9.9%	0.0%	9.9%
Term Structure	1.5%	-2.5%	9.6%	0.1%	8.0%
VWIV	37.5%	34.9%	41.0%	38.3%	34.9%
Skew 25d	2.4%	-2.7%	5.4%	5.4%	-0.4%
Skew 10d	6.7%	-32.8%	25.5%	14.7%	16.2%
Call IV 25d	37.1%	34.2%	42.4%	37.0%	37.9%
Put IV 25d	39.6%	37.4%	42.4%	42.4%	37.4%
Bid-Ask Spread %	43.69	18.25	90.56	47.34	48.07
Gamma HHI	0.23	0.10	0.46	0.12	0.28
Net GEX	-377.6K	-720.4K	-41.4K	-178.8K	-645.0K
Net DEX	8.1M	-6.7M	23.8M	5.5M	-6.7M
Net VEX	-100.3K	-129.8K	-69.5K	-70.1K	-97.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.65	4.40	1.16	0.85
Total Volume	3,771.043	2,412	9,476	3,592	2,993
Total OI	20,585.348	14,674	24,728	14,674	24,081

Daily Data (23 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
2017-03-01	$37.85	$40.00	37.2%	10.7%	35.3%	0.0%	38.3%	5.4%	0.1%	-178.8K	5.5M	-70.1K	1.16	47.34	N/A	N/A	1,660	1,932	7,369	7,305
2017-03-02	$37.44	$40.00	36.5%	10.8%	35.3%	0.0%	36.1%	1.3%	0.4%	-128.3K	6.2M	-70.4K	1.15	30.29	N/A	N/A	1,846	2,126	7,690	7,366
2017-03-03	$36.67	$40.00	38.0%	10.9%	35.1%	3.1%	37.3%	0.1%	0.2%	-82.0K	9.0M	-69.5K	4.40	40.00	N/A	N/A	1,754	7,722	8,164	7,778
2017-03-06	$35.71	$40.00	39.8%	11.3%	35.6%	6.5%	39.2%	3.8%	-0.2%	-442.4K	16.2M	-96.5K	1.19	30.89	N/A	N/A	1,450	1,719	6,986	11,937
2017-03-07	$35.72	$40.00	38.6%	10.9%	35.1%	4.1%	36.5%	3.8%	0.2%	-720.4K	23.8M	-129.8K	0.98	24.33	N/A	N/A	1,437	1,403	7,460	17,268
2017-03-08	$35.95	$40.00	38.2%	10.8%	35.2%	3.4%	37.3%	3.0%	-0.5%	-315.3K	15.2M	-98.8K	1.16	19.51	N/A	N/A	1,506	1,743	7,649	12,303
2017-03-09	$36.09	$40.00	38.4%	11.2%	35.5%	3.8%	38.7%	2.8%	-0.8%	-393.4K	15.9M	-100.3K	1.17	18.25	N/A	N/A	1,492	1,742	7,874	12,793
2017-03-10	$36.14	$40.00	37.6%	10.8%	35.5%	2.2%	37.5%	2.7%	0.4%	-203.5K	14.8M	-100.2K	1.22	35.58	N/A	N/A	1,505	1,838	7,974	12,788
2017-03-13	$37.45	$40.00	38.6%	11.4%	38.2%	4.2%	38.1%	3.3%	1.5%	-307.3K	10.5M	-100.6K	1.10	26.69	N/A	N/A	1,504	1,655	7,170	12,169
2017-03-14	$37.08	$40.00	38.6%	11.4%	37.9%	4.2%	38.5%	1.2%	1.2%	-295.8K	11.2M	-102.6K	1.57	34.29	N/A	N/A	940	1,472	7,701	12,516
2017-03-15	$37.77	$40.00	38.3%	11.1%	38.6%	3.6%	41.0%	-2.2%	-2.2%	-259.1K	9.2M	-102.2K	1.48	90.56	N/A	N/A	1,029	1,521	7,789	12,775
2017-03-16	$38.67	$40.00	37.2%	10.3%	39.7%	1.4%	39.8%	3.4%	-2.5%	-41.4K	4.5M	-100.9K	1.83	58.00	N/A	N/A	1,085	1,989	7,948	12,821
2017-03-17	$38.79	$40.00	36.3%	10.2%	38.0%	0.0%	36.1%	2.5%	-0.4%	-369.2K	3.1M	-100.7K	2.03	42.81	N/A	N/A	1,488	3,015	8,125	13,013
2017-03-20	$39.63	$40.00	36.9%	10.6%	38.8%	1.2%	35.8%	4.1%	-2.0%	-448.1K	4.4M	-105.0K	0.65	51.56	N/A	N/A	1,947	1,269	5,676	12,403
2017-03-21	$38.61	$40.00	37.4%	10.7%	39.8%	2.1%	37.1%	2.9%	0.7%	-370.8K	6.7M	-108.1K	1.01	46.90	N/A	N/A	1,819	1,840	6,986	12,895
2017-03-22	$38.60	$40.00	37.0%	10.6%	39.1%	1.5%	37.5%	3.7%	0.4%	-592.7K	8.5M	-106.8K	0.94	46.44	N/A	N/A	2,860	2,676	6,984	13,560
2017-03-23	$38.32	$40.00	37.0%	10.5%	29.7%	1.4%	37.3%	3.6%	2.2%	-524.8K	9.0M	-112.3K	1.12	49.25	N/A	N/A	2,437	2,720	8,100	14,764
2017-03-24	$38.45	$40.00	35.8%	10.3%	28.0%	0.0%	36.3%	3.8%	0.1%	-576.5K	9.3M	-109.6K	1.21	51.98	N/A	N/A	2,462	2,981	8,088	14,845
2017-03-27	$39.13	$40.00	36.8%	10.5%	28.8%	1.8%	37.6%	3.2%	6.8%	-502.1K	5.8M	-106.5K	1.12	53.18	N/A	N/A	1,859	2,088	7,605	14,074
2017-03-28	$38.87	$40.00	36.8%	10.4%	26.0%	2.0%	37.2%	4.9%	7.4%	-623.0K	7.5M	-108.0K	1.92	51.45	N/A	N/A	1,109	2,124	8,150	15,093
2017-03-29	$39.99	$40.00	36.3%	10.1%	27.7%	0.8%	36.7%	-2.7%	3.5%	-322.8K	-1.4M	-104.2K	1.39	51.75	N/A	N/A	1,040	1,443	8,278	15,243
2017-03-30	$39.96	$40.00	37.0%	10.1%	27.3%	2.3%	36.6%	2.1%	9.6%	-341.9K	-1.3M	-105.1K	1.35	55.74	N/A	N/A	1,060	1,434	8,403	15,504
2017-03-31	$40.66	$40.00	39.0%	9.6%	26.2%	6.1%	34.9%	-0.4%	8.0%	-645.0K	-6.7M	-97.9K	0.85	48.07	N/A	N/A	1,618	1,375	8,499	15,582