W Options History — June 2017

In June 2017, W traded between $66.56 and $77.39. ATM implied volatility averaged 44.1%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 5.7% (HV 20d: 49.8%). Max pain ranged from $60.00 to $71.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.29.

Notable Days

2017-06-16: Highest Volume — 15,202 contracts
2017-06-09: Largest IV spike — 9.9% change
2017-06-19: Highest IV Rank — 28.9%
2017-06-19: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.86	$66.56	$77.39	$66.56	$77.03
Max Pain	$67.32	$60.00	$71.00	$60.00	$71.00
ATM IV	44.1%	39.6%	48.4%	41.1%	44.6%
Expected Move	12.5%	11.5%	13.8%	12.0%	11.8%
HV 20d	49.8%	39.2%	82.3%	82.3%	40.5%
HV 60d	55.3%	53.4%	56.5%	53.5%	56.4%
IV Rank	18.9%	8.6%	28.9%	12.0%	20.0%
IV Percentile	29.9%	10.3%	54.4%	12.7%	29.8%
Term Structure	0.7%	-3.0%	5.0%	-2.3%	5.0%
VWIV	44.7%	39.1%	49.5%	42.6%	42.3%
Skew 25d	4.4%	2.3%	6.5%	4.5%	4.3%
Skew 10d	8.7%	2.7%	15.7%	11.5%	7.0%
Call IV 25d	42.8%	38.2%	45.9%	39.7%	42.3%
Put IV 25d	47.2%	41.8%	51.8%	44.2%	46.6%
Bid-Ask Spread %	26.27	13.22	51.75	41.64	21.44
Gamma HHI	0.14	0.09	0.38	0.38	0.11
Net GEX	530.4K	-159.1K	1.4M	1.3M	460.1K
Net DEX	-54.3M	-82.4M	-37.5M	-44.3M	-63.7M
Net VEX	-362.1K	-569.2K	-144.8K	-145.8K	-486.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.29	0.48	1.86	0.65	1.17
Total Volume	7,909.636	4,067	15,202	8,401	5,839
Total OI	38,083.091	24,800	48,428	25,337	45,278

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
2017-06-01	$66.56	$60.00	41.1%	12.0%	82.3%	12.0%	42.6%	4.5%	-2.3%	1.3M	-44.3M	-145.8K	0.65	41.64	N/A	N/A	5,100	3,301	11,432	13,905
2017-06-02	$68.15	$65.00	40.5%	11.8%	82.2%	10.6%	40.3%	5.3%	-0.9%	691.0K	-58.6M	-149.8K	0.88	51.75	N/A	N/A	4,471	3,953	13,660	15,026
2017-06-05	$68.74	$65.00	40.0%	11.5%	82.1%	9.5%	39.1%	3.6%	0.4%	863.4K	-42.4M	-144.8K	1.40	22.47	N/A	N/A	1,695	2,372	11,250	13,550
2017-06-06	$69.39	$65.00	39.6%	11.5%	81.7%	8.6%	41.3%	2.5%	1.9%	953.3K	-45.4M	-148.1K	1.02	26.87	N/A	N/A	3,992	4,074	11,430	13,985
2017-06-07	$68.71	$65.00	40.2%	11.5%	39.9%	10.0%	42.2%	4.3%	1.0%	448.4K	-37.5M	-185.5K	1.49	26.38	N/A	N/A	5,802	8,645	12,010	15,799
2017-06-08	$73.37	$65.00	40.1%	11.8%	44.8%	9.9%	41.7%	4.0%	0.7%	628.6K	-66.2M	-327.8K	1.69	23.07	N/A	N/A	3,473	5,869	16,233	20,479
2017-06-09	$70.14	$65.00	44.1%	12.6%	48.4%	19.0%	47.4%	2.3%	-2.2%	759.2K	-45.5M	-346.9K	1.54	38.15	N/A	N/A	3,031	4,683	17,607	22,399
2017-06-12	$70.43	$65.00	45.9%	13.1%	42.2%	23.1%	47.0%	5.3%	0.3%	-159.1K	-41.0M	-349.8K	1.82	26.25	N/A	N/A	2,506	4,573	16,067	21,361
2017-06-13	$70.54	$65.00	44.7%	12.9%	42.3%	20.3%	45.6%	4.5%	0.3%	36.9K	-44.7M	-347.6K	1.20	24.64	N/A	N/A	3,126	3,760	16,657	21,741
2017-06-14	$71.75	$65.00	43.5%	12.6%	42.4%	17.6%	44.3%	4.2%	0.1%	122.0K	-53.3M	-379.4K	1.16	34.44	N/A	N/A	3,471	4,019	17,820	23,099
2017-06-15	$73.95	$65.00	45.3%	12.4%	43.1%	21.7%	44.1%	4.4%	-3.0%	517.0K	-69.7M	-375.2K	0.84	23.36	N/A	N/A	5,190	4,378	18,395	23,819
2017-06-16	$76.13	$70.00	46.5%	13.3%	43.0%	24.4%	49.5%	6.5%	-1.5%	970.9K	-82.4M	-409.2K	1.54	47.59	N/A	N/A	5,989	9,213	20,373	24,854
2017-06-19	$73.42	$70.00	48.4%	13.8%	44.0%	28.9%	49.0%	5.8%	0.8%	140.3K	-45.0M	-445.7K	1.28	21.77	N/A	N/A	3,149	4,031	19,200	19,814
2017-06-20	$74.48	$70.00	46.8%	13.3%	43.3%	25.1%	46.9%	4.0%	1.1%	207.5K	-50.9M	-452.6K	1.27	14.31	N/A	N/A	2,797	3,539	19,322	21,390
2017-06-21	$75.47	$70.00	46.0%	13.2%	43.1%	23.3%	45.4%	5.4%	-0.1%	397.0K	-57.7M	-444.5K	0.96	13.22	N/A	N/A	3,293	3,150	19,893	21,731
2017-06-22	$76.34	$70.00	45.4%	13.0%	43.0%	22.0%	45.4%	4.2%	-0.1%	989.2K	-65.6M	-450.9K	1.17	22.81	N/A	N/A	2,788	3,265	20,620	22,149
2017-06-23	$77.39	$70.00	44.6%	12.7%	41.8%	20.2%	46.6%	2.9%	0.4%	1.4M	-70.5M	-449.5K	1.60	22.06	N/A	N/A	2,875	4,586	20,560	22,373
2017-06-26	$75.77	$70.00	45.1%	12.8%	42.8%	21.3%	46.4%	5.5%	3.2%	314.0K	-52.1M	-441.6K	1.74	16.80	N/A	N/A	1,936	3,375	18,983	20,919
2017-06-27	$75.35	$70.00	45.6%	12.7%	41.9%	22.5%	46.6%	4.7%	4.7%	173.2K	-48.2M	-447.4K	1.86	18.48	N/A	N/A	2,371	4,403	19,188	21,756
2017-06-28	$75.75	$70.00	46.5%	12.8%	41.3%	24.5%	45.0%	3.8%	1.0%	89.1K	-51.9M	-468.5K	0.48	16.43	N/A	N/A	7,035	3,381	20,237	23,036
2017-06-29	$74.14	$70.00	45.5%	12.7%	39.2%	22.1%	45.0%	5.3%	4.0%	341.3K	-56.8M	-569.2K	1.65	23.90	N/A	N/A	2,077	3,436	25,045	23,383
2017-06-30	$77.03	$71.00	44.6%	11.8%	40.5%	20.0%	42.3%	4.3%	5.0%	460.1K	-63.7M	-486.7K	1.17	21.44	N/A	N/A	2,693	3,146	21,250	24,028