W Options History — July 2017

In July 2017, W traded between $74.05 and $79.34. ATM implied volatility averaged 60.3%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 27.1% (HV 20d: 33.2%). Max pain ranged from $50.00 to $75.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2017-07-18: Highest Volume — 8,360 contracts
  • 2017-07-10: Largest IV spike — 13.3% change
  • 2017-07-18: Highest IV Rank — 68.5%
  • 2017-07-31: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.08$74.05$79.34$74.46$76.49
Max Pain$58.50$50.00$75.00$75.00$60.00
ATM IV60.3%46.4%65.7%46.5%63.7%
Expected Move18.2%12.7%21.7%12.7%21.7%
HV 20d33.2%27.7%43.3%42.9%31.7%
HV 60d56.4%55.6%57.1%57.1%56.2%
IV Rank56.1%24.2%68.5%24.5%63.8%
IV Percentile75.8%45.2%86.5%46.4%84.1%
Term Structure0.1%-4.8%13.7%10.0%-3.7%
VWIV62.9%44.1%74.6%44.1%74.6%
Skew 25d6.7%3.5%8.1%5.5%7.9%
Skew 10d14.1%4.5%19.2%13.6%18.0%
Call IV 25d57.5%44.4%62.9%44.9%59.2%
Put IV 25d64.2%49.5%69.6%50.3%67.1%
Bid-Ask Spread %22.5313.4038.6327.6713.40
Gamma HHI0.110.090.160.130.11
Net GEX721.9K-276.6K1.6M255.6K1.1M
Net DEX-63.7M-91.4M-44.3M-47.6M-70.7M
Net VEX-513.0K-552.6K-477.0K-502.3K-544.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.372.231.611.81
Total Volume5,659.153,7598,3605,0244,329
Total OI47,506.3543,00653,90243,00649,906

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$74.46$75.0046.5%12.7%42.9%24.5%44.1%5.5%10.0%255.6K-47.6M-502.3K1.6127.67N/AN/A1,9233,10120,25522,751
2017-07-05$75.38$75.0046.4%12.8%42.9%24.2%45.2%3.5%13.1%175.7K-51.1M-501.2K1.6538.56N/AN/A1,9663,25020,41623,538
2017-07-06$74.10$50.0049.1%17.2%43.3%30.4%62.6%5.4%13.7%-67.8K-44.3M-493.7K1.5020.06N/AN/A2,0653,10620,75223,777
2017-07-07$74.27$55.0050.7%17.4%36.6%34.1%60.9%5.1%12.2%-276.6K-45.1M-497.4K1.4423.46N/AN/A2,1503,08621,15324,046
2017-07-10$74.05$55.0057.4%17.7%32.5%49.6%62.1%7.0%1.2%201.7K-45.8M-487.3K1.1938.63N/AN/A1,9402,30620,68423,476
2017-07-11$75.24$55.0060.2%17.7%32.8%56.0%62.8%7.4%-1.2%361.5K-53.4M-485.1K1.3118.77N/AN/A1,9912,61420,79223,870
2017-07-12$75.73$55.0064.0%17.8%32.9%64.5%60.0%7.2%-2.5%467.5K-55.6M-482.6K1.2924.62N/AN/A2,0322,61721,08824,381
2017-07-13$77.90$55.0063.2%17.8%33.7%62.8%62.9%5.8%-1.5%1.1M-72.7M-481.4K1.0015.16N/AN/A3,3743,37021,40024,582
2017-07-14$76.72$55.0064.5%18.0%32.9%65.8%60.6%6.7%-3.0%707.3K-62.5M-486.3K0.8321.58N/AN/A2,9622,46122,41425,360
2017-07-17$75.03$55.0064.7%18.2%32.3%66.2%62.4%8.1%-2.9%322.4K-49.1M-477.0K0.6823.96N/AN/A4,5243,07121,11024,159
2017-07-18$75.87$55.0065.7%18.7%29.7%68.5%63.0%7.6%-4.3%545.4K-61.7M-499.4K0.3717.81N/AN/A6,1212,23923,82925,229
2017-07-19$76.03$55.0065.1%18.7%29.3%67.2%63.6%7.6%-4.1%855.9K-70.3M-533.5K0.4023.31N/AN/A4,9852,00325,79625,382
2017-07-20$76.83$55.0064.1%18.6%29.1%64.9%63.6%7.1%-3.5%1.1M-76.6M-530.1K0.5824.56N/AN/A5,0892,95525,90825,590
2017-07-21$76.11$60.0063.7%18.6%29.1%63.8%63.0%6.6%-3.4%1.2M-72.8M-538.4K0.6120.91N/AN/A4,6272,84227,36826,534
2017-07-24$76.26$60.0064.2%19.5%28.6%65.2%67.3%6.0%-4.8%1.1M-72.6M-534.5K0.9919.42N/AN/A2,1892,17224,81222,233
2017-07-25$76.68$60.0063.1%19.5%27.7%62.5%67.4%7.3%-1.7%1.2M-74.7M-540.5K0.9716.45N/AN/A1,9101,84925,29822,709
2017-07-26$79.34$60.0061.9%19.4%30.0%59.9%68.3%7.2%-3.7%1.5M-91.4M-542.9K1.2722.06N/AN/A2,0232,56625,51222,914
2017-07-27$76.54$60.0064.7%20.6%32.9%66.3%71.6%6.9%-4.2%1.1M-72.1M-549.9K2.2325.74N/AN/A1,6533,69226,10123,988
2017-07-28$78.50$60.0062.8%20.5%33.0%61.8%72.0%8.1%-3.3%1.6M-83.9M-552.6K1.4914.40N/AN/A2,4193,61126,23824,776
2017-07-31$76.49$60.0063.7%21.7%31.7%63.8%74.6%7.9%-3.7%1.1M-70.7M-544.1K1.8113.40N/AN/A1,5402,78926,14823,758