W Options History — April 2017

In April 2017, W traded between $40.49 and $45.92. ATM implied volatility averaged 56.6%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 28.4% (HV 20d: 28.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2017-04-24: Highest Volume — 7,499 contracts
  • 2017-04-13: Largest IV spike — 23.7% change
  • 2017-04-13: Highest IV Rank — 69.7%
  • 2017-04-25: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.74$40.49$45.92$41.44$45.73
Max Pain$41.84$40.00$45.00$40.00$45.00
ATM IV56.6%42.6%71.8%42.6%60.4%
Expected Move16.0%9.8%19.6%9.8%19.3%
HV 20d28.2%23.7%33.9%23.7%33.5%
HV 60d31.2%29.5%32.7%32.6%32.7%
IV Rank40.3%13.2%69.7%13.2%47.6%
IV Percentile58.3%12.7%89.7%12.7%68.3%
Term Structure-2.1%-19.0%6.5%4.3%-4.8%
VWIV56.3%35.5%71.4%36.0%69.6%
Skew 25d7.1%-1.0%40.6%1.2%3.5%
Skew 10d14.1%-7.3%58.5%1.1%7.4%
Call IV 25d55.3%45.3%61.6%47.3%61.6%
Put IV 25d62.4%48.5%94.3%48.5%65.1%
Bid-Ask Spread %55.2027.6179.1349.5056.20
Gamma HHI0.250.180.350.240.31
Net GEX398.7K-497.8K1.2M-476.2K524.3K
Net DEX-16.7M-32.8M95.4K-1.2M-24.1M
Net VEX-114.7K-133.1K-93.7K-95.0K-123.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.352.361.121.21
Total Volume4,554.2632,1227,4992,1224,770
Total OI25,240.26319,62629,76519,62629,765

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$41.44$40.0042.6%9.8%23.7%13.2%36.0%1.2%4.3%-476.2K-1.2M-95.0K1.1249.50N/AN/A1,0011,1216,03613,590
2017-04-04$41.31$40.0045.8%10.2%23.9%19.3%35.5%4.4%0.1%-413.0K-1.6M-95.2K0.4951.73N/AN/A2,3371,1516,28313,814
2017-04-05$40.49$40.0045.0%9.8%25.8%17.8%36.2%4.9%4.2%-497.8K95.4K-101.3K0.5154.65N/AN/A2,2801,1647,43014,079
2017-04-06$41.48$40.0045.5%14.3%26.6%18.8%48.5%-1.0%5.4%-148.9K-3.9M-93.7K0.4670.39N/AN/A2,6101,2077,50814,199
2017-04-07$42.65$40.0048.9%14.4%27.5%25.3%50.5%1.6%6.5%5.5K-9.4M-96.1K0.3558.87N/AN/A4,9511,7167,91814,241
2017-04-10$44.05$40.0053.5%15.3%27.1%34.3%52.6%8.0%-5.8%490.8K-18.5M-109.5K0.6127.61N/AN/A2,4771,50110,75712,846
2017-04-11$44.05$40.0056.1%15.6%26.4%39.2%54.5%7.9%-3.1%530.2K-19.2M-112.9K0.4249.21N/AN/A3,4571,45611,29313,141
2017-04-12$44.51$40.0058.1%15.9%26.2%43.1%56.4%5.8%-3.9%909.3K-24.5M-113.8K0.7379.13N/AN/A1,9301,41412,66813,268
2017-04-13$43.56$40.0071.8%16.0%27.5%69.7%56.9%40.6%-19.0%932.8K-18.6M-117.0K0.4478.14N/AN/A2,9421,30712,69213,292
2017-04-17$43.73$40.0058.8%16.1%27.5%44.5%56.2%6.0%3.2%808.1K-20.6M-120.0K0.3641.92N/AN/A3,0521,09113,11812,008
2017-04-18$43.88$40.0059.6%16.6%26.9%46.0%55.3%4.6%-1.5%897.5K-21.5M-122.2K0.4347.81N/AN/A2,5081,07513,34712,343
2017-04-19$45.50$40.0058.7%16.8%26.4%44.2%58.8%5.8%-1.8%955.7K-30.0M-117.1K0.8831.64N/AN/A2,4052,12813,30612,386
2017-04-20$45.60$45.0062.7%18.2%26.3%52.0%63.5%7.7%-6.2%962.0K-30.6M-125.9K1.4468.65N/AN/A1,8322,63414,19413,485
2017-04-21$45.92$45.0061.2%17.5%25.7%49.2%63.5%6.8%0.7%1.2M-32.8M-121.5K0.9973.28N/AN/A1,6341,61514,38614,373
2017-04-24$43.53$45.0063.1%19.3%33.9%52.8%71.4%6.1%-6.2%420.7K-14.6M-123.2K2.3660.92N/AN/A2,2295,27012,57812,439
2017-04-25$44.17$45.0061.3%19.6%33.8%49.2%70.6%8.7%-2.9%117.7K-12.6M-129.9K1.5549.72N/AN/A2,6824,16613,18514,669
2017-04-26$44.12$45.0061.3%19.3%33.6%49.4%66.6%4.7%-3.2%210.7K-13.6M-133.1K1.4748.39N/AN/A2,2423,29713,91515,534
2017-04-27$45.40$45.0061.5%19.6%33.6%49.7%67.8%7.1%-5.4%192.3K-21.0M-129.6K1.2251.05N/AN/A2,6483,23113,93515,544
2017-04-28$45.73$45.0060.4%19.3%33.5%47.6%69.6%3.5%-4.8%524.3K-24.1M-123.1K1.2156.20N/AN/A2,1602,61014,17415,591