W Options History — January 2018

In January 2018, W traded between $78.52 and $94.69. ATM implied volatility averaged 54.7%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 22.2% (HV 20d: 32.5%). Max pain ranged from $70.00 to $83.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2018-01-25: Highest Volume — 13,767 contracts
  • 2018-01-22: Largest IV spike — 22.3% change
  • 2018-01-30: Highest IV Rank — 72.0%
  • 2018-01-03: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.58$78.52$94.69$81.16$92.14
Max Pain$75.95$70.00$83.00$70.00$83.00
ATM IV54.7%43.7%68.9%51.0%68.8%
Expected Move13.3%11.7%16.0%15.0%13.1%
HV 20d32.5%27.0%38.7%34.6%29.0%
HV 60d56.6%41.2%58.6%58.6%41.2%
IV Rank41.2%17.1%72.0%33.0%71.8%
IV Percentile64.5%30.6%93.3%63.9%92.9%
Term Structure2.7%-4.2%22.1%-0.7%-2.9%
VWIV47.4%41.9%55.7%54.8%46.5%
Skew 25d7.3%5.3%9.5%7.5%6.8%
Skew 10d16.5%13.0%22.3%15.9%15.2%
Call IV 25d51.4%39.4%65.1%47.6%64.9%
Put IV 25d58.7%45.1%72.7%55.0%71.7%
Bid-Ask Spread %19.8311.7330.7120.4120.62
Gamma HHI0.130.100.210.120.13
Net GEX2.5M937.2K4.2M2.7M2.0M
Net DEX-85.8M-135.8M-46.4M-76.4M-71.6M
Net VEX-269.1K-353.5K-210.8K-291.2K-339.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.271.751.080.94
Total Volume6,724.8574,19713,7675,0366,010
Total OI42,73124,98052,12545,22137,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$81.16$70.0051.0%15.0%34.6%33.0%54.8%7.5%-0.7%2.7M-76.4M-291.2K1.0820.41N/AN/A2,4172,61923,11222,109
2018-01-03$78.52$70.0052.7%16.0%36.8%36.7%55.6%6.1%-0.8%2.2M-57.0M-286.4K1.6920.08N/AN/A2,4294,10723,04622,402
2018-01-04$79.37$72.5051.8%14.9%36.8%34.9%55.7%7.3%-0.8%2.4M-63.1M-288.9K1.4014.69N/AN/A2,5053,51923,77824,009
2018-01-05$80.94$72.5050.1%14.9%37.0%31.0%52.2%7.8%-0.5%2.7M-77.0M-281.7K1.0330.71N/AN/A2,3102,38224,09824,836
2018-01-08$83.00$72.5049.0%14.2%37.6%28.7%49.6%7.3%0.6%3.2M-93.4M-267.4K1.3519.35N/AN/A2,2543,03223,80223,650
2018-01-09$81.18$72.5046.7%14.0%38.2%23.6%47.7%5.3%2.2%3.5M-78.4M-265.9K1.2523.65N/AN/A1,9972,49924,46324,602
2018-01-10$82.99$72.5044.5%13.4%38.7%19.0%46.9%7.5%2.4%4.2M-97.9M-254.1K1.4717.85N/AN/A1,8572,73124,77124,965
2018-01-11$85.40$72.5043.7%13.4%37.4%17.1%47.2%6.3%4.1%4.2M-122.8M-236.7K1.1924.00N/AN/A2,1542,56624,84325,244
2018-01-12$85.54$75.0043.8%13.2%34.7%17.2%44.5%6.1%3.9%3.9M-121.3M-237.9K0.5025.90N/AN/A7,2963,66625,47325,632
2018-01-16$84.60$75.0047.1%13.6%35.2%24.5%49.4%6.8%15.7%4.1M-113.3M-228.4K1.6816.34N/AN/A1,6742,80625,16924,822
2018-01-17$85.66$75.0046.1%13.2%33.1%22.3%46.9%6.3%16.4%3.3M-115.3M-220.7K1.7528.39N/AN/A1,5242,67325,19125,121
2018-01-18$85.62$75.0046.4%12.1%28.9%23.0%41.9%7.1%20.1%2.7M-116.9M-210.8K1.5819.08N/AN/A1,6312,57925,36925,434
2018-01-19$87.80$75.0049.2%11.7%29.1%29.1%45.3%5.8%22.1%937.2K-135.8M-213.6K1.0216.62N/AN/A3,4333,49226,48825,637
2018-01-22$90.64$77.5060.2%12.0%30.7%53.0%43.6%9.5%-3.8%1.2M-51.5M-224.8K1.3215.69N/AN/A2,5003,30411,23113,749
2018-01-23$90.29$79.5064.0%12.6%27.6%61.4%46.2%9.3%-3.9%997.6K-46.4M-247.2K1.5411.73N/AN/A2,1553,32411,96815,533
2018-01-24$91.00$80.0065.9%12.2%27.6%65.5%43.1%9.0%-3.9%1.2M-50.7M-246.2K0.9615.10N/AN/A3,1963,05912,28516,180
2018-01-25$91.17$80.0066.3%12.5%27.0%66.3%44.0%8.4%-4.2%1.3M-57.8M-273.2K0.2716.50N/AN/A10,8272,94013,54716,668
2018-01-26$93.27$80.0066.3%12.0%27.5%66.3%41.9%7.5%-3.5%2.1M-89.5M-340.3K0.3218.51N/AN/A10,1613,21519,59717,229
2018-01-29$94.69$82.5067.4%13.1%27.5%68.8%45.8%8.4%-2.4%2.2M-86.8M-343.4K0.3722.97N/AN/A6,9062,53919,06116,681
2018-01-30$93.21$82.5068.9%13.1%28.3%72.0%47.4%7.6%-3.9%2.1M-79.1M-353.5K0.4218.18N/AN/A6,2742,66020,26417,324
2018-01-31$92.14$83.0068.8%13.1%29.0%71.8%46.5%6.8%-2.9%2.0M-71.6M-339.0K0.9420.62N/AN/A3,0932,91720,70617,262