W Options History — February 2018

In February 2018, W traded between $74.00 and $97.64. ATM implied volatility averaged 64.7%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 19.8% (HV 20d: 44.9%). Max pain ranged from $82.50 to $95.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2018-02-23: Highest Volume — 28,234 contracts
  • 2018-02-22: Largest IV drop — 21.5% change
  • 2018-02-09: Highest IV Rank — 89.0%
  • 2018-02-09: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.54$74.00$97.64$91.86$77.58
Max Pain$88.82$82.50$95.00$90.00$82.50
ATM IV64.7%47.4%76.7%68.2%47.4%
Expected Move18.2%13.8%20.9%17.7%13.8%
HV 20d44.9%24.5%96.8%25.3%96.7%
HV 60d40.1%30.1%62.3%38.1%61.7%
IV Rank62.9%25.3%89.0%70.5%25.3%
IV Percentile82.4%46.8%98.8%91.7%46.8%
Term Structure-3.2%-5.1%0.2%-3.7%-3.1%
VWIV64.8%46.1%76.8%64.7%46.1%
Skew 25d9.8%4.8%16.3%6.7%6.5%
Skew 10d20.4%11.0%37.1%15.8%12.4%
Call IV 25d60.0%44.4%69.7%65.6%44.4%
Put IV 25d69.8%50.9%86.0%72.3%50.9%
Bid-Ask Spread %20.9110.6434.9120.0019.37
Gamma HHI0.130.060.210.120.16
Net GEX1.5M-1.5M4.7M1.7M1.0M
Net DEX-48.7M-107.8M73.7M-69.4M-30.3M
Net VEX-318.6K-419.7K-227.5K-337.0K-419.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.331.340.821.20
Total Volume10,134.6325,16928,2346,8448,541
Total OI40,482.42126,78653,27438,78153,274

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$91.86$90.0068.2%17.7%25.3%70.5%64.7%6.7%-3.7%1.7M-69.4M-337.0K0.8220.00N/AN/A3,7663,07821,03917,742
2018-02-02$90.66$90.0069.4%18.4%26.4%73.2%65.7%7.5%-3.9%2.0M-62.1M-336.9K0.7024.61N/AN/A3,5472,47421,67818,199
2018-02-05$89.75$90.0072.6%19.3%26.5%80.1%69.3%4.8%-4.6%1.7M-56.9M-327.8K0.7634.91N/AN/A3,0212,29020,34016,872
2018-02-06$91.92$90.0075.3%20.0%26.4%86.1%72.0%12.0%-5.1%2.1M-69.0M-330.0K1.1627.31N/AN/A2,8093,24520,54416,924
2018-02-07$91.46$90.0072.5%19.5%24.7%80.0%70.5%13.6%-5.0%1.7M-64.8M-324.0K1.0522.47N/AN/A2,8763,00620,79317,991
2018-02-08$89.38$90.0073.1%20.1%26.0%81.1%71.6%14.1%-4.8%936.3K-52.0M-316.3K1.1026.29N/AN/A2,4652,71120,99518,256
2018-02-09$90.96$90.0076.7%20.9%24.8%89.0%73.5%16.3%-5.1%-194.9K-60.4M-320.2K0.9926.35N/AN/A3,1053,08820,83718,633
2018-02-12$92.15$90.0071.4%20.1%25.1%77.6%76.8%15.2%-2.4%2.2M-66.2M-298.2K0.9716.48N/AN/A3,0262,93720,00617,160
2018-02-13$92.54$90.0072.0%20.5%24.5%78.8%74.6%14.1%-4.1%2.7M-71.0M-306.6K0.7415.34N/AN/A3,2392,38821,15318,319
2018-02-14$97.07$90.0068.6%19.7%28.8%71.3%72.7%12.1%-2.6%4.7M-106.7M-313.5K0.7717.62N/AN/A3,2232,46822,17918,700
2018-02-15$96.66$90.0067.9%19.6%29.0%69.9%68.9%10.8%-3.7%4.6M-99.9M-306.2K0.8913.97N/AN/A2,7352,43422,42519,408
2018-02-16$97.64$90.0067.0%19.6%28.1%67.9%69.9%10.4%-3.6%2.9M-107.8M-300.3K0.9614.33N/AN/A3,5463,38722,67919,937
2018-02-20$96.13$90.0065.1%19.9%27.2%63.8%68.9%9.6%-3.5%1.5M-59.7M-289.2K0.3310.64N/AN/A10,7813,50615,50211,284
2018-02-21$95.76$90.0064.6%19.7%27.2%62.6%67.9%7.8%-4.7%1.8M-63.7M-308.2K1.2916.53N/AN/A7,6759,91018,65513,344
2018-02-22$74.00$95.0050.7%14.8%96.4%32.3%51.6%6.0%0.2%-1.5M73.7M-227.5K1.3424.67N/AN/A11,28915,16621,22520,978
2018-02-23$75.43$85.0048.7%14.3%96.8%28.1%50.3%5.9%0.0%-1.5M45.7M-288.4K1.2425.43N/AN/A12,63015,60426,51122,406
2018-02-26$74.86$82.5048.9%14.1%96.1%28.5%49.5%6.3%-0.5%-658.6K14.2M-294.9K0.3625.53N/AN/A13,3494,74622,60218,760
2018-02-27$76.40$82.5048.9%13.9%96.3%28.5%47.5%6.2%-1.2%886.2K-19.2M-407.5K1.2015.41N/AN/A3,8674,63032,37119,445
2018-02-28$77.58$82.5047.4%13.8%96.7%25.3%46.1%6.5%-3.1%1.0M-30.3M-419.7K1.2019.37N/AN/A3,8774,66432,89820,376