W Options History — November 2017

In November 2017, W traded between $57.83 and $73.98. ATM implied volatility averaged 52.8%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 32.1% (HV 20d: 84.9%). Max pain ranged from $62.50 to $70.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2017-11-01: Highest Volume — 36,461 contracts
  • 2017-11-02: Largest IV drop — 34.5% change
  • 2017-11-01: Highest IV Rank — 100.0%
  • 2017-11-01: Largest Expected Move — 28.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.59$57.83$73.98$73.98$69.99
Max Pain$65.71$62.50$70.00$70.00$67.50
ATM IV52.8%45.9%81.7%81.7%49.7%
Expected Move15.7%13.4%28.9%28.9%15.9%
HV 20d84.9%46.1%89.9%46.1%85.5%
HV 60d63.4%48.4%65.5%48.4%65.5%
IV Rank36.9%22.0%100.0%100.0%30.2%
IV Percentile64.8%48.8%100.0%100.0%60.7%
Term Structure-0.8%-10.2%1.9%-10.2%0.5%
VWIV55.4%46.9%100.0%100.0%57.3%
Skew 25d9.1%7.1%11.2%9.0%7.7%
Skew 10d19.4%13.6%23.0%21.3%17.3%
Call IV 25d49.1%42.5%79.3%79.3%47.2%
Put IV 25d58.2%50.6%88.3%88.3%54.9%
Bid-Ask Spread %20.1711.4636.2326.9723.81
Gamma HHI0.130.070.350.070.08
Net GEX-690.2K-4.7M1.3M123.1K-308.1K
Net DEX8.5M-57.1M94.2M-57.1M-33.9M
Net VEX-356.6K-561.8K-324.4K-561.8K-345.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.462.740.960.52
Total Volume12,216.2866,22236,46136,4617,848
Total OI68,224.90541,798109,52493,70359,966

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$73.98$70.0081.7%28.9%46.1%100.0%100.0%9.0%-10.2%123.1K-57.1M-561.8K0.9626.97N/AN/A18,57217,88938,54555,158
2017-11-02$62.18$67.5053.5%15.2%77.0%38.5%53.8%7.3%-1.2%-4.4M94.2M-394.4K0.8820.21N/AN/A12,38910,94546,52660,729
2017-11-03$67.45$65.0045.9%13.8%82.3%22.0%47.3%7.1%1.9%-4.7M67.2M-417.3K1.0036.23N/AN/A6,2816,28948,23661,288
2017-11-06$64.16$65.0049.5%14.1%84.1%29.7%49.4%9.7%0.1%-1.2M31.9M-386.9K0.7119.41N/AN/A4,3893,10436,07636,957
2017-11-07$60.30$65.0054.3%15.9%86.1%40.2%56.6%9.1%1.9%-1.4M63.2M-358.6K0.7328.70N/AN/A7,5225,45736,39137,391
2017-11-08$57.83$65.0058.5%16.3%87.0%49.4%62.4%11.2%-1.5%-1.4M75.3M-338.3K1.6612.55N/AN/A6,75111,23837,43237,766
2017-11-09$57.99$65.0056.5%15.8%85.0%45.1%57.5%9.9%-2.1%-935.8K66.7M-343.5K1.2413.76N/AN/A5,3416,60838,97938,114
2017-11-10$61.61$65.0052.1%15.1%87.5%35.5%54.3%9.3%1.0%-570.9K30.8M-332.9K0.8419.99N/AN/A4,9254,14639,30834,952
2017-11-13$62.52$65.0054.8%15.8%87.6%41.2%52.9%10.7%-0.4%-448.1K28.3M-334.5K0.8418.46N/AN/A3,6153,03336,80133,073
2017-11-14$64.89$65.0052.9%15.2%88.4%37.2%52.5%10.4%-1.1%-487.8K5.9M-339.1K0.4631.83N/AN/A7,1033,28237,31233,521
2017-11-15$63.42$65.0054.3%15.6%88.6%40.2%55.4%10.1%-0.0%-206.7K20.8M-329.8K0.7219.20N/AN/A4,3113,10338,04733,880
2017-11-16$65.96$62.5050.9%14.7%89.9%32.8%47.6%9.3%-2.4%-548.2K-12.9M-337.1K0.6116.87N/AN/A5,0953,10038,53233,097
2017-11-17$66.27$62.5048.6%13.8%89.7%27.9%48.5%8.7%1.4%601.6K-21.4M-333.8K0.8911.46N/AN/A3,2952,92738,91333,620
2017-11-20$66.65$62.5050.1%14.4%89.6%31.0%52.1%7.5%-0.5%688.6K-18.6M-324.4K1.3813.40N/AN/A2,8553,92921,59620,202
2017-11-21$68.11$65.0050.1%14.5%89.8%31.0%49.8%9.6%-2.5%857.9K-29.3M-332.5K0.5316.38N/AN/A5,9013,13222,34521,265
2017-11-22$68.36$67.5047.6%13.5%89.1%25.7%46.9%10.1%-1.0%1.3M-30.6M-332.4K1.4816.85N/AN/A5,9358,79222,98521,795
2017-11-24$69.05$67.5046.1%13.4%89.0%22.4%50.2%8.2%-1.6%-1.7M-34.0M-327.4K2.1819.50N/AN/A2,7846,07423,19527,423
2017-11-27$68.73$67.5049.5%15.5%86.9%29.7%56.1%8.8%1.1%1.1M-30.7M-328.2K2.7415.17N/AN/A3,5609,75322,98220,829
2017-11-28$70.02$67.5050.7%15.7%86.5%32.5%56.2%9.1%-0.0%-474.7K-26.3M-345.3K0.7024.51N/AN/A6,1684,33523,64528,004
2017-11-29$67.85$67.5051.1%16.3%87.2%33.3%56.3%8.5%-0.0%-374.0K-10.9M-344.3K2.3118.25N/AN/A4,46410,30227,31028,537
2017-11-30$69.99$67.5049.7%15.9%85.5%30.2%57.3%7.7%0.5%-308.1K-33.9M-345.7K0.5223.81N/AN/A5,1722,67628,25131,715