W Options History — August 2017 In August 2017, W traded between $66.05 and $80.95. ATM implied volatility averaged 49.2%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 4.8% (HV 20d: 44.4%). Max pain ranged from $60.00 to $80.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.68.
Notable Days 2017-08-08 : Highest Volume — 17,081 contracts2017-08-08 : Largest IV drop — 28.6% change2017-08-07 : Highest IV Rank — 73.1%2017-08-02 : Largest Expected Move — 23.1%Monthly Statistics Metric Avg Min Max Open Close Price $71.11 $66.05 $80.95 $75.78 $71.02 Max Pain $72.28 $60.00 $80.00 $60.00 $70.00 ATM IV 49.2% 42.1% 67.7% 64.1% 42.1% Expected Move 14.2% 11.5% 23.1% 22.3% 11.5% HV 20d 44.4% 29.3% 50.6% 29.3% 45.5% HV 60d 42.1% 38.3% 56.3% 56.3% 40.5% IV Rank 30.7% 14.5% 73.1% 65.0% 14.5% IV Percentile 44.7% 17.9% 90.9% 85.3% 17.9% Term Structure -0.1% -5.8% 1.9% -3.5% 0.9% VWIV 49.8% 40.1% 79.4% 77.2% 40.1% Skew 25d 5.4% 4.2% 7.9% 7.3% 4.3% Skew 10d 11.4% 8.1% 16.1% 15.3% 8.8% Call IV 25d 47.2% 40.1% 64.4% 59.9% 40.1% Put IV 25d 52.6% 44.3% 71.4% 67.3% 44.3% Bid-Ask Spread % 17.29 13.70 27.18 14.58 14.72 Gamma HHI 0.10 0.08 0.17 0.09 0.09 Net GEX 1.0M -1.2M 3.8M 737.8K 1.8M Net DEX -28.7M -98.0M 13.0M -65.8M -34.7M Net VEX -521.8K -572.0K -482.9K -544.5K -503.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.22 1.76 0.68 0.80 Total Volume 8,650.565 3,460 17,081 8,693 5,129 Total OI 59,001.913 47,593 73,565 50,804 49,339
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 2017-08-01 $75.78 $60.00 64.1% 22.3% 29.3% 65.0% 77.2% 7.3% -3.5% 737.8K -65.8M -544.5K 0.68 14.58 N/A N/A 5,168 3,525 26,346 24,458 2017-08-02 $73.96 $60.00 65.1% 23.1% 30.3% 67.2% 79.4% 7.0% -2.4% 581.6K -52.4M -543.9K 0.80 15.70 N/A N/A 4,283 3,440 27,163 25,236 2017-08-03 $76.87 $75.00 65.0% 17.0% 32.7% 66.9% 61.4% 6.4% -3.5% 1.1M -76.0M -557.1K 0.86 27.18 N/A N/A 4,857 4,172 27,548 25,982 2017-08-04 $79.97 $75.00 66.3% 17.5% 35.3% 69.9% 61.4% 7.0% -5.8% 2.0M -96.7M -569.2K 1.07 21.51 N/A N/A 3,149 3,381 27,795 27,555 2017-08-07 $80.95 $75.00 67.7% 18.7% 35.4% 73.1% 66.4% 7.9% -0.2% 1.5M -98.0M -558.5K 0.72 25.22 N/A N/A 7,832 5,665 27,235 26,430 2017-08-08 $75.23 $80.00 48.3% 13.7% 44.5% 28.7% 48.8% 4.6% -0.1% 906.4K -48.8M -572.0K 0.67 18.30 N/A N/A 10,232 6,849 33,931 30,498 2017-08-09 $72.58 $77.50 47.1% 13.4% 46.2% 25.7% 47.5% 4.2% -0.5% 273.2K -20.6M -563.5K 1.76 15.15 N/A N/A 2,775 4,883 39,133 32,444 2017-08-10 $69.22 $77.50 48.4% 13.6% 47.4% 28.8% 54.3% 4.8% -1.2% -770.2K 12.8M -527.4K 1.02 21.21 N/A N/A 4,396 4,477 39,350 33,048 2017-08-11 $69.59 $75.00 47.6% 13.6% 47.4% 27.0% 48.0% 5.4% -0.2% -1.2M 13.0M -518.5K 1.15 16.97 N/A N/A 3,098 3,572 39,497 34,068 2017-08-14 $70.71 $75.00 43.4% 12.3% 47.5% 17.3% 42.7% 4.5% 1.9% 564.1K -18.1M -513.0K 0.30 15.06 N/A N/A 8,333 2,459 32,894 28,776 2017-08-15 $70.75 $75.00 43.9% 12.6% 47.2% 18.6% 43.1% 6.3% 1.3% 2.7M -32.5M -532.7K 0.39 16.32 N/A N/A 6,309 2,446 39,670 28,928 2017-08-16 $70.70 $75.00 43.4% 12.4% 47.2% 17.4% 42.3% 4.9% 1.5% 3.8M -38.3M -539.6K 0.42 15.89 N/A N/A 6,415 2,689 43,211 29,132 2017-08-17 $67.17 $75.00 44.2% 12.6% 49.8% 19.1% 43.1% 5.1% 1.4% 973.6K -596.0K -486.8K 0.22 20.28 N/A N/A 11,627 2,502 40,752 29,575 2017-08-18 $66.87 $72.50 42.6% 12.0% 49.8% 15.5% 42.0% 4.4% 1.3% 663.9K 3.3M -482.9K 0.31 19.88 N/A N/A 7,400 2,269 41,344 30,293 2017-08-21 $66.05 $72.50 45.2% 12.9% 49.7% 21.5% 45.7% 6.0% 1.1% 678.3K -1.3M -484.8K 0.25 14.23 N/A N/A 6,674 1,693 30,165 21,988 2017-08-22 $67.50 $72.50 44.5% 12.5% 50.6% 20.0% 42.5% 4.6% 0.5% 1.4M -12.8M -512.8K 0.35 14.71 N/A N/A 6,396 2,243 32,186 22,165 2017-08-23 $67.46 $70.00 43.4% 12.2% 48.3% 17.4% 41.6% 5.2% 1.0% 1.1M -8.8M -500.0K 0.35 16.45 N/A N/A 6,316 2,204 31,680 22,778 2017-08-24 $67.16 $70.00 44.5% 12.4% 47.2% 19.8% 42.6% 4.8% 0.1% 796.8K -7.1M -496.4K 0.42 17.69 N/A N/A 6,342 2,680 31,834 22,918 2017-08-25 $69.29 $70.00 43.2% 12.2% 47.8% 17.0% 43.6% 5.0% 0.8% 1.7M -22.6M -508.7K 0.50 14.43 N/A N/A 6,294 3,123 31,979 23,166 2017-08-28 $68.57 $70.00 44.4% 12.6% 47.3% 19.6% 44.1% 4.8% 0.5% 759.6K -15.5M -493.5K 0.92 13.70 N/A N/A 1,805 1,655 25,214 22,379 2017-08-29 $68.51 $70.00 44.1% 12.6% 47.3% 19.1% 44.7% 4.5% 1.8% 758.6K -14.6M -489.1K 0.73 13.86 N/A N/A 2,351 1,706 25,423 22,571 2017-08-30 $69.53 $70.00 43.4% 12.2% 47.2% 17.4% 42.9% 4.8% 0.4% 1.2M -23.2M -502.9K 0.95 14.64 N/A N/A 2,124 2,025 26,161 22,806 2017-08-31 $71.02 $70.00 42.1% 11.5% 45.5% 14.5% 40.1% 4.3% 0.9% 1.8M -34.7M -503.4K 0.80 14.72 N/A N/A 2,849 2,280 26,344 22,995
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