W Options History — December 2017

In December 2017, W traded between $70.27 and $83.07. ATM implied volatility averaged 46.9%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 10.1% (HV 20d: 36.8%). Max pain ranged from $60.00 to $67.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2017-12-21: Highest Volume — 10,084 contracts
  • 2017-12-18: Largest IV spike — 14.0% change
  • 2017-12-27: Highest IV Rank — 33.1%
  • 2017-12-01: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.21$70.27$83.07$70.27$80.36
Max Pain$62.73$60.00$67.50$67.50$67.00
ATM IV46.9%42.7%51.0%48.8%49.2%
Expected Move13.6%12.3%15.4%15.4%14.6%
HV 20d36.8%28.6%56.8%56.8%34.6%
HV 60d62.6%58.8%65.4%65.4%58.8%
IV Rank24.0%14.9%33.1%28.2%29.1%
IV Percentile48.4%23.8%64.3%58.3%58.3%
Term Structure0.6%-2.3%4.9%-2.3%0.5%
VWIV49.1%44.5%56.2%56.2%51.4%
Skew 25d6.5%5.2%7.8%6.7%6.4%
Skew 10d14.6%10.2%19.9%15.7%13.7%
Call IV 25d44.1%39.6%48.2%46.3%46.2%
Put IV 25d50.6%46.1%56.1%53.0%52.6%
Bid-Ask Spread %19.2912.9729.0124.2929.01
Gamma HHI0.120.090.170.090.13
Net GEX2.6M1.6M3.6M1.6M2.5M
Net DEX-72.9M-111.2M-49.8M-49.8M-81.2M
Net VEX-305.9K-326.9K-289.4K-326.9K-302.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.511.550.800.98
Total Volume7,013.855,52810,0849,3397,028
Total OI47,439.140,46860,07660,07647,252

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$70.27$67.5048.8%15.4%56.8%28.2%56.2%6.7%-2.3%1.6M-49.8M-326.9K0.8024.29N/AN/A5,1944,14527,97532,101
2017-12-04$71.87$60.0048.5%14.4%49.8%27.5%49.6%6.3%-0.1%2.0M-51.4M-317.9K1.2226.71N/AN/A2,7183,31924,42521,680
2017-12-05$72.72$60.0046.1%13.9%45.7%22.4%48.5%6.3%3.2%2.4M-55.7M-316.1K0.9013.50N/AN/A3,1372,81525,17722,319
2017-12-06$73.89$60.0044.7%13.4%38.0%19.3%47.9%6.5%3.1%2.7M-66.0M-308.1K1.5312.97N/AN/A2,6374,04525,06322,399
2017-12-07$74.99$60.0042.7%13.2%32.7%14.9%46.4%6.5%4.9%3.0M-73.9M-316.4K1.5214.36N/AN/A2,4703,75825,19423,441
2017-12-08$73.99$60.0043.5%13.0%33.9%16.8%46.1%6.5%2.4%2.2M-63.3M-306.2K1.5521.02N/AN/A2,2973,56125,35623,646
2017-12-11$74.56$60.0045.5%13.0%28.6%21.0%45.0%5.8%-0.6%2.3M-65.9M-293.9K0.5118.06N/AN/A5,3282,71223,75622,740
2017-12-12$72.45$60.0046.9%13.2%31.6%24.0%48.7%5.2%-1.0%2.5M-51.0M-298.9K1.1920.49N/AN/A2,5853,07525,17622,932
2017-12-13$75.82$60.0047.3%13.1%32.7%25.1%48.9%6.4%-1.7%3.2M-79.8M-305.0K1.0721.70N/AN/A2,9123,12525,79223,529
2017-12-14$76.23$60.0045.7%13.1%30.7%21.5%48.8%6.5%0.1%3.4M-84.7M-300.8K1.1915.94N/AN/A2,6683,17526,17723,893
2017-12-15$79.25$60.0043.3%12.3%30.6%16.2%44.5%6.4%-0.6%2.1M-111.2M-290.0K0.8720.79N/AN/A4,5963,98326,53823,979
2017-12-18$83.07$65.0049.3%13.4%33.4%29.4%48.7%6.5%0.3%2.4M-88.6M-291.3K0.5321.44N/AN/A6,0963,22820,18420,284
2017-12-19$81.60$65.0046.3%13.2%34.9%22.8%45.7%6.9%0.0%2.6M-78.3M-289.4K0.8518.01N/AN/A3,9813,38220,57321,166
2017-12-20$81.53$65.0044.6%12.8%34.9%19.1%47.6%6.2%0.8%2.9M-81.7M-302.8K1.4813.92N/AN/A2,2283,30022,19021,699
2017-12-21$78.93$65.0048.5%13.9%37.8%27.5%49.5%7.3%-0.4%2.3M-58.8M-308.5K1.2519.59N/AN/A4,4745,61022,35922,135
2017-12-22$79.43$65.0047.6%13.6%37.8%25.6%47.4%6.4%-0.2%2.7M-64.1M-315.4K1.0716.50N/AN/A4,3304,65324,49224,035
2017-12-26$81.17$65.0049.0%14.5%37.9%28.7%52.1%6.6%1.7%3.2M-85.0M-308.0K1.2817.30N/AN/A2,5223,22323,63422,193
2017-12-27$81.04$65.0051.0%14.6%37.8%33.1%54.4%7.8%-0.8%3.2M-83.3M-312.2K1.2421.86N/AN/A2,6643,30423,89222,522
2017-12-28$80.97$65.0049.0%14.3%35.1%28.7%53.8%7.6%2.0%3.6M-84.0M-306.6K1.3518.38N/AN/A2,5503,44924,19422,690
2017-12-29$80.36$67.0049.2%14.6%34.6%29.1%51.4%6.4%0.5%2.5M-81.2M-302.9K0.9829.01N/AN/A3,5523,47624,28522,967