W Options History — October 2017

In October 2017, W traded between $63.92 and $73.00. ATM implied volatility averaged 67.1%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 12.5% (HV 20d: 54.6%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.31.

Notable Days

2017-10-30: Highest Volume — 21,697 contracts
2017-10-06: Largest IV spike — 27.6% change
2017-10-31: Highest IV Rank — 100.0%
2017-10-31: Largest Expected Move — 28.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.38	$63.92	$73.00	$68.48	$69.95
Max Pain	$70.68	$70.00	$75.00	$75.00	$70.00
ATM IV	67.1%	49.9%	80.0%	50.0%	80.0%
Expected Move	19.9%	13.9%	28.6%	13.9%	28.6%
HV 20d	54.6%	41.2%	62.6%	58.3%	41.2%
HV 60d	48.8%	46.3%	50.1%	46.3%	49.2%
IV Rank	71.7%	32.3%	100.0%	32.5%	100.0%
IV Percentile	88.7%	64.3%	100.0%	64.7%	100.0%
Term Structure	-0.4%	-5.6%	15.1%	12.3%	-4.1%
VWIV	70.2%	48.1%	97.2%	48.1%	97.2%
Skew 25d	7.8%	4.0%	11.0%	5.3%	11.0%
Skew 10d	17.6%	12.7%	22.4%	13.6%	21.6%
Call IV 25d	63.9%	48.2%	73.8%	49.8%	73.8%
Put IV 25d	71.7%	54.3%	84.8%	55.1%	84.8%
Bid-Ask Spread %	16.71	11.95	34.75	16.36	13.50
Gamma HHI	0.10	0.07	0.65	0.08	0.09
Net GEX	-830.3K	-12.1M	1.2M	-404.9K	245.9K
Net DEX	-323.2K	-42.3M	34.1M	8.3M	-25.5M
Net VEX	-458.0K	-540.1K	-414.4K	-459.7K	-540.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.57	2.36	1.15	2.31
Total Volume	8,925.273	4,334	21,697	6,176	18,543
Total OI	64,862.5	56,264	83,445	56,264	83,445

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
2017-10-02	$68.48	$75.00	50.0%	13.9%	58.3%	32.5%	48.1%	5.3%	12.3%	-404.9K	8.3M	-459.7K	1.15	16.36	N/A	N/A	2,878	3,298	28,090	28,174
2017-10-03	$72.78	$75.00	49.9%	14.1%	62.2%	32.3%	51.6%	6.6%	13.8%	367.5K	-27.0M	-499.1K	1.81	17.81	N/A	N/A	3,030	5,484	28,859	29,051
2017-10-04	$73.00	$75.00	50.4%	14.1%	62.2%	33.4%	50.9%	5.7%	12.8%	256.6K	-27.0M	-509.1K	2.36	13.39	N/A	N/A	2,190	5,174	29,612	31,620
2017-10-05	$71.21	$70.00	53.8%	18.6%	62.6%	41.2%	67.6%	4.0%	15.1%	-60.1K	-10.4M	-498.8K	1.80	34.75	N/A	N/A	2,415	4,338	29,802	31,841
2017-10-06	$68.91	$70.00	68.7%	18.4%	60.8%	75.3%	65.7%	6.7%	-2.7%	-713.3K	13.7M	-464.5K	1.57	17.38	N/A	N/A	2,306	3,632	30,336	32,738
2017-10-09	$68.23	$70.00	70.2%	18.7%	60.8%	78.8%	66.2%	8.3%	-4.2%	-1.0M	15.9M	-452.6K	1.24	16.92	N/A	N/A	1,933	2,401	29,297	31,871
2017-10-10	$65.96	$70.00	69.8%	19.3%	55.8%	78.0%	69.0%	8.1%	-2.5%	-1.3M	34.1M	-420.3K	1.30	15.99	N/A	N/A	2,985	3,873	29,665	31,887
2017-10-11	$66.24	$70.00	69.5%	19.1%	56.0%	77.3%	67.1%	7.8%	-2.8%	-1.2M	28.9M	-427.3K	1.03	16.86	N/A	N/A	2,751	2,836	30,454	31,966
2017-10-12	$69.22	$70.00	68.9%	18.8%	59.2%	75.9%	71.0%	7.9%	-3.6%	-697.3K	2.7M	-458.1K	1.08	13.95	N/A	N/A	2,328	2,525	30,867	32,643
2017-10-13	$71.38	$70.00	68.4%	19.0%	60.7%	74.7%	66.1%	7.0%	-2.4%	-173.5K	-20.7M	-472.0K	1.00	19.13	N/A	N/A	2,582	2,586	31,314	32,900
2017-10-16	$69.78	$70.00	69.9%	19.7%	60.8%	78.1%	67.3%	7.2%	-3.8%	-566.4K	-1.1M	-444.4K	0.99	18.81	N/A	N/A	3,154	3,138	30,670	31,728
2017-10-17	$67.73	$70.00	69.3%	19.7%	61.4%	76.9%	72.4%	7.6%	-3.9%	-967.9K	16.7M	-428.4K	0.64	18.79	N/A	N/A	4,153	2,656	30,997	32,895
2017-10-18	$67.13	$70.00	71.0%	20.3%	57.6%	80.6%	72.7%	7.5%	-4.6%	-826.2K	19.4M	-423.8K	0.94	20.07	N/A	N/A	4,232	3,973	32,961	33,380
2017-10-19	$67.10	$70.00	70.1%	20.3%	57.5%	78.6%	67.7%	8.2%	-5.6%	-1.2M	23.2M	-436.9K	0.57	17.48	N/A	N/A	7,025	3,983	33,858	34,998
2017-10-20	$68.15	$70.00	67.7%	19.7%	49.8%	73.2%	70.9%	8.5%	-3.2%	683.7K	3.9M	-455.6K	1.03	15.67	N/A	N/A	3,910	4,008	36,849	35,174
2017-10-23	$67.04	$70.00	68.9%	20.8%	47.3%	75.9%	71.1%	8.9%	-2.9%	415.8K	-8.7M	-434.5K	0.73	12.47	N/A	N/A	5,428	3,958	31,621	28,599
2017-10-24	$66.42	$70.00	69.4%	21.2%	45.3%	76.9%	74.1%	9.2%	-3.0%	566.7K	-9.4M	-438.1K	1.18	11.95	N/A	N/A	3,907	4,601	34,403	29,428
2017-10-25	$64.49	$70.00	69.4%	21.4%	45.0%	77.0%	75.5%	8.7%	-2.3%	-287.0K	10.1M	-422.7K	1.34	13.22	N/A	N/A	3,876	5,186	35,036	30,676
2017-10-26	$63.92	$70.00	70.0%	22.1%	44.7%	78.3%	75.5%	8.5%	-3.5%	-487.7K	16.1M	-414.4K	0.78	14.63	N/A	N/A	7,589	5,908	35,599	31,305
2017-10-27	$67.55	$70.00	72.1%	23.6%	45.9%	83.2%	83.2%	8.8%	-4.0%	-12.1M	-28.1M	-459.1K	2.08	13.39	N/A	N/A	4,507	9,379	37,435	33,616
2017-10-30	$69.66	$70.00	78.9%	27.1%	46.9%	98.8%	93.2%	9.4%	-3.5%	1.2M	-42.3M	-516.1K	1.81	15.19	N/A	N/A	7,721	13,976	35,932	33,383
2017-10-31	$69.95	$70.00	80.0%	28.6%	41.2%	100.0%	97.2%	11.0%	-4.1%	245.9K	-25.5M	-540.1K	2.31	13.50	N/A	N/A	5,596	12,947	37,866	45,579