W Options History — September 2017

In September 2017, W traded between $67.33 and $83.79. ATM implied volatility averaged 43.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 1.8% (HV 20d: 41.8%). Max pain ranged from $67.50 to $80.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-09-12: Highest Volume — 11,255 contracts
  • 2017-09-25: Largest IV spike — 8.2% change
  • 2017-09-29: Highest IV Rank — 29.1%
  • 2017-09-26: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.95$67.33$83.79$72.48$67.33
Max Pain$75.83$67.50$80.00$70.00$75.00
ATM IV43.6%40.4%48.5%41.4%48.5%
Expected Move12.5%11.4%14.1%11.4%13.7%
HV 20d41.8%32.0%58.4%43.6%58.4%
HV 60d40.7%37.4%46.1%38.4%46.1%
IV Rank17.7%10.4%29.1%12.7%29.1%
IV Percentile29.7%13.1%63.1%15.9%63.1%
Term Structure0.9%-0.5%4.0%0.2%2.7%
VWIV44.0%39.7%48.9%39.7%46.6%
Skew 25d5.2%3.5%7.7%4.5%6.3%
Skew 10d11.1%7.7%15.1%9.1%11.3%
Call IV 25d41.5%38.5%46.3%39.2%45.8%
Put IV 25d46.8%43.5%53.3%43.7%52.0%
Bid-Ask Spread %18.9512.7330.4816.7724.12
Gamma HHI0.100.070.130.110.09
Net GEX1.2M-323.3K2.3M2.0M-323.3K
Net DEX-55.6M-111.7M23.9M-47.6M23.9M
Net VEX-506.5K-548.7K-447.8K-512.7K-447.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.761.540.771.32
Total Volume6,154.83,44811,2555,5597,837
Total OI51,893.8548,10957,35350,16056,906

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$72.48$70.0041.4%11.4%43.6%12.7%39.7%4.5%0.2%2.0M-47.6M-512.7K0.7716.77N/AN/A3,1372,42226,86123,299
2017-09-05$73.61$67.5043.5%12.7%43.7%17.6%43.4%4.4%0.3%2.0M-50.8M-508.1K0.8915.79N/AN/A2,8032,49026,06122,483
2017-09-06$73.00$67.5043.5%12.3%35.6%17.5%43.4%4.5%-0.5%2.1M-48.9M-501.0K0.9715.97N/AN/A2,5992,52526,41623,303
2017-09-07$73.81$67.5042.5%12.2%33.4%15.2%44.2%4.5%0.8%2.3M-53.7M-498.2K1.2914.83N/AN/A2,1302,73826,62523,660
2017-09-08$77.33$70.0041.5%12.3%32.0%12.9%43.9%4.5%-0.0%2.0M-84.1M-503.5K0.9916.66N/AN/A3,0032,96026,79623,997
2017-09-11$77.24$75.0042.7%12.6%32.1%15.7%44.5%6.0%1.1%2.1M-77.0M-496.9K1.0618.32N/AN/A2,7152,87125,34522,764
2017-09-12$82.20$75.0043.0%12.4%37.8%16.5%43.9%4.3%0.2%1.7M-111.7M-494.1K0.7630.48N/AN/A6,3794,87625,81523,853
2017-09-13$80.78$80.0042.3%12.3%38.8%14.9%45.2%3.5%0.4%1.9M-106.4M-548.7K1.3123.59N/AN/A3,7144,86329,63326,303
2017-09-14$80.20$80.0041.2%12.0%39.0%12.4%42.7%4.5%0.9%1.1M-98.5M-542.7K1.4921.83N/AN/A2,0983,12929,85627,079
2017-09-15$79.70$80.0040.4%11.7%33.1%10.4%42.3%5.0%0.5%1.3M-89.3M-534.5K1.2218.65N/AN/A2,6153,20129,91027,443
2017-09-18$80.32$80.0041.6%11.9%32.7%13.1%42.7%4.9%0.2%1.4M-74.2M-527.7K1.4115.56N/AN/A1,7862,52625,27423,007
2017-09-19$79.85$80.0041.3%11.9%32.2%12.7%41.8%5.5%0.6%1.0M-69.6M-525.5K1.0412.78N/AN/A1,6941,75425,52623,885
2017-09-20$83.79$80.0040.9%11.7%34.8%11.6%41.7%4.9%0.3%1.7M-98.3M-519.0K0.9015.08N/AN/A2,3642,12525,62224,094
2017-09-21$81.76$80.0041.4%11.8%36.8%12.8%41.3%5.1%0.8%1.6M-86.4M-526.4K0.8312.73N/AN/A2,3091,90726,40424,404
2017-09-22$74.75$80.0043.8%12.5%50.9%18.4%42.6%5.1%-0.1%624.8K-28.8M-505.0K1.5425.66N/AN/A3,8325,90526,60624,684
2017-09-25$71.22$80.0047.4%13.7%53.3%26.6%48.3%7.7%4.0%95.2K-8.5M-487.0K1.1019.25N/AN/A3,3323,65225,77625,473
2017-09-26$68.43$79.0048.5%14.1%55.2%29.0%48.9%7.0%1.1%-229.0K11.0M-466.9K1.0522.82N/AN/A3,1433,31626,33026,628
2017-09-27$70.32$75.0048.1%13.9%56.0%28.2%48.0%6.2%2.5%38.0K-4.6M-490.9K1.3116.58N/AN/A2,5663,35227,02527,202
2017-09-28$70.97$75.0047.8%13.4%55.9%27.3%45.4%5.9%2.1%91.8K-8.7M-493.9K1.2621.51N/AN/A2,8473,58127,64327,886
2017-09-29$67.33$75.0048.5%13.7%58.4%29.1%46.6%6.3%2.7%-323.3K23.9M-447.8K1.3224.12N/AN/A3,3804,45728,32528,581