W Options History — May 2017 In May 2017, W traded between $47.12 and $65.09. ATM implied volatility averaged 47.4%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 21.8% (HV 20d: 69.2%). Max pain ranged from $45.00 to $65.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.93.
Notable Days 2017-05-09 : Highest Volume — 32,910 contracts2017-05-09 : Largest IV drop — 22.9% change2017-05-08 : Highest IV Rank — 56.3%2017-05-03 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $59.12 $47.12 $65.09 $47.12 $63.14 Max Pain $57.73 $45.00 $65.00 $45.00 $60.00 ATM IV 47.4% 40.0% 60.8% 60.1% 41.7% Expected Move 13.9% 11.1% 22.3% 21.2% 11.8% HV 20d 69.2% 34.3% 84.2% 34.3% 82.1% HV 60d 48.8% 33.1% 56.1% 33.1% 52.8% IV Rank 25.1% 9.6% 56.3% 47.0% 13.4% IV Percentile 30.1% 10.7% 70.6% 68.3% 13.9% Term Structure -0.9% -5.6% 2.6% -2.4% -1.5% VWIV 49.0% 37.4% 79.2% 75.5% 41.4% Skew 25d 4.8% 2.9% 8.2% 2.9% 4.2% Skew 10d 11.0% 6.1% 17.3% 14.5% 6.1% Call IV 25d 46.0% 38.2% 61.3% 59.3% 40.4% Put IV 25d 50.8% 43.4% 66.0% 62.3% 44.6% Bid-Ask Spread % 34.53 15.96 60.73 57.51 26.23 Gamma HHI 0.25 0.12 0.80 0.29 0.27 Net GEX 913.5K -715.1K 7.5M 597.2K 504.4K Net DEX -60.8M -152.3M -23.5M -30.4M -23.5M Net VEX -157.9K -200.0K -114.3K -124.6K -153.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.43 2.05 1.07 0.88 Total Volume 9,370.591 4,129 32,910 4,129 4,593 Total OI 39,276.636 24,293 62,647 27,692 24,928
Daily Data (22 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 2017-05-01 $47.12 $45.00 60.1% 21.2% 34.3% 47.0% 75.5% 2.9% -2.4% 597.2K -30.4M -124.6K 1.07 57.51 N/A N/A 1,999 2,130 13,472 14,220 2017-05-02 $49.22 $45.00 60.4% 21.9% 36.5% 47.6% 79.2% 8.2% -3.3% 490.5K -38.5M -124.7K 2.05 60.73 N/A N/A 1,891 3,878 13,879 14,742 2017-05-03 $48.22 $45.00 60.5% 22.3% 37.7% 47.7% 77.8% 3.4% -4.5% 505.2K -33.1M -136.4K 0.85 49.60 N/A N/A 3,043 2,573 15,106 16,597 2017-05-04 $48.40 $50.00 60.8% 15.6% 36.3% 50.7% 57.5% 6.2% -5.6% 509.9K -33.5M -135.8K 0.89 38.00 N/A N/A 2,924 2,614 15,094 16,692 2017-05-05 $48.51 $50.00 60.4% 16.0% 35.9% 56.2% 57.2% 3.4% -3.6% 425.6K -31.9M -137.5K 0.73 60.23 N/A N/A 3,136 2,283 15,183 17,400 2017-05-08 $50.48 $50.00 60.4% 16.1% 37.1% 56.3% 56.1% 6.3% -2.7% 440.8K -40.2M -124.1K 0.43 42.16 N/A N/A 12,477 5,414 14,589 16,664 2017-05-09 $62.10 $50.00 46.6% 12.8% 79.6% 24.7% 45.5% 4.2% -1.3% 1.8M -134.0M -114.3K 0.74 31.68 N/A N/A 18,880 14,030 25,384 20,908 2017-05-10 $63.84 $60.00 43.6% 12.7% 79.4% 17.9% 46.7% 5.4% 0.8% 2.1M -152.3M -169.6K 1.33 25.07 N/A N/A 8,708 11,586 32,194 28,623 2017-05-11 $64.43 $65.00 43.5% 12.4% 79.4% 17.6% 46.1% 3.9% -0.2% 1.2M -113.7M -183.7K 1.08 53.81 N/A N/A 7,296 7,853 26,581 33,344 2017-05-12 $60.73 $65.00 45.2% 13.1% 83.0% 21.4% 45.6% 4.5% 1.7% -715.1K -69.7M -200.0K 1.45 35.71 N/A N/A 6,848 9,935 27,455 35,192 2017-05-15 $60.97 $65.00 44.0% 12.5% 83.0% 18.8% 42.3% 5.7% 1.2% 436.7K -66.3M -196.4K 0.97 30.38 N/A N/A 3,249 3,162 21,920 27,953 2017-05-16 $61.17 $65.00 44.0% 12.6% 83.0% 18.7% 40.4% 5.7% 0.4% 360.3K -66.3M -190.2K 0.95 31.23 N/A N/A 3,471 3,285 22,171 28,530 2017-05-17 $61.80 $65.00 43.2% 12.4% 82.7% 17.0% 40.7% 4.9% 0.3% 383.8K -70.3M -190.0K 0.54 31.81 N/A N/A 5,917 3,173 21,927 28,777 2017-05-18 $63.73 $65.00 41.1% 11.7% 82.7% 12.2% 41.4% 5.4% 2.6% 521.3K -90.6M -185.5K 0.84 15.96 N/A N/A 4,564 3,855 22,648 28,747 2017-05-19 $61.97 $65.00 42.4% 12.1% 84.2% 15.2% 40.4% 4.8% -0.1% 1.2M -71.3M -166.9K 0.91 18.77 N/A N/A 4,541 4,136 21,080 29,566 2017-05-22 $63.90 $60.00 42.0% 11.3% 80.3% 14.1% 40.9% 5.3% -1.2% 50.0K -44.2M -160.7K 0.83 23.88 N/A N/A 2,924 2,416 13,152 14,739 2017-05-23 $63.66 $60.00 40.9% 11.5% 80.7% 11.6% 41.0% 3.6% -0.0% 125.8K -45.5M -159.9K 0.75 24.68 N/A N/A 3,036 2,265 13,882 15,079 2017-05-24 $64.77 $60.00 41.0% 11.4% 80.4% 11.9% 41.1% 3.9% -1.0% 601.4K -54.0M -156.8K 0.81 28.39 N/A N/A 3,073 2,495 14,553 15,457 2017-05-25 $63.52 $60.00 40.3% 11.3% 81.4% 10.3% 40.2% 4.6% -0.1% 454.1K -43.4M -160.1K 1.06 23.76 N/A N/A 2,554 2,697 14,836 15,702 2017-05-26 $65.09 $60.00 40.0% 11.1% 81.4% 9.6% 37.4% 5.1% 0.1% 7.5M -57.4M -151.2K 0.59 22.78 N/A N/A 3,942 2,335 14,878 15,949 2017-05-30 $63.85 $60.00 41.6% 11.9% 82.3% 13.3% 43.3% 4.5% -0.0% 625.3K -27.3M -153.2K 0.61 27.35 N/A N/A 3,079 1,893 11,001 13,292 2017-05-31 $63.14 $60.00 41.7% 11.8% 82.1% 13.4% 41.4% 4.2% -1.5% 504.4K -23.5M -153.3K 0.88 26.23 N/A N/A 2,442 2,151 11,303 13,625
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