W Options History — March 2018

In March 2018, W traded between $65.21 and $86.27. ATM implied volatility averaged 45.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 36.4% (HV 20d: 81.5%). Max pain ranged from $75.00 to $82.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2018-03-16: Highest Volume — 16,779 contracts
  • 2018-03-16: Largest IV spike — 11.0% change
  • 2018-03-28: Highest IV Rank — 37.6%
  • 2018-03-28: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.49$65.21$86.27$79.32$67.55
Max Pain$76.79$75.00$82.50$82.50$75.00
ATM IV45.0%40.4%53.4%45.3%47.5%
Expected Move12.9%11.3%15.2%13.5%13.8%
HV 20d81.5%39.8%99.0%97.4%41.3%
HV 60d61.8%60.5%63.1%61.8%63.1%
IV Rank20.0%9.9%37.6%20.6%24.8%
IV Percentile32.0%8.3%64.7%35.3%44.4%
Term Structure0.2%-1.5%2.4%-0.7%0.2%
VWIV44.9%39.7%52.1%46.6%46.7%
Skew 25d6.7%3.4%9.1%9.1%8.0%
Skew 10d14.0%9.3%21.0%18.4%16.7%
Call IV 25d42.2%36.2%48.7%41.6%45.0%
Put IV 25d49.0%43.2%57.7%50.8%53.0%
Bid-Ask Spread %20.9612.7633.2426.2525.13
Gamma HHI0.170.100.350.180.14
Net GEX1.0M-1.9M3.2M623.6K-453.5K
Net DEX-36.2M-107.2M40.3M-41.4M27.2M
Net VEX-417.4K-500.4K-327.4K-421.6K-342.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.341.531.111.48
Total Volume9,228.7146,11716,7798,36410,035
Total OI53,694.09546,86067,80653,72754,254

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$79.32$82.5045.3%13.5%97.4%20.6%46.6%9.1%-0.7%623.6K-41.4M-421.6K1.1126.25N/AN/A3,9594,40533,16820,559
2018-03-02$80.33$82.5044.4%13.2%97.6%18.6%45.3%8.8%0.1%-1.9M-56.1M-422.2K0.9317.81N/AN/A5,0784,74433,61921,150
2018-03-05$81.21$75.0043.2%12.6%97.8%16.1%42.1%7.5%0.4%2.2M-62.3M-417.3K1.1613.65N/AN/A3,3473,88230,91917,054
2018-03-06$83.10$75.0040.9%11.8%98.3%11.0%39.7%8.0%0.1%2.5M-77.4M-416.8K1.0216.27N/AN/A4,1864,28631,50817,827
2018-03-07$84.73$75.0042.2%12.3%98.1%13.9%42.2%7.3%0.8%2.6M-91.5M-436.8K1.0516.23N/AN/A3,2533,42732,17818,544
2018-03-08$85.33$75.0042.5%12.5%98.2%14.5%44.5%6.6%0.3%2.8M-100.8M-441.4K1.3014.03N/AN/A3,1454,08432,76818,702
2018-03-09$86.27$77.5040.4%11.7%98.0%9.9%43.1%5.9%-0.3%2.5M-107.2M-441.8K1.4312.76N/AN/A3,2994,71933,10619,507
2018-03-12$85.12$77.5042.1%12.0%97.8%13.6%42.5%4.4%-0.0%2.5M-90.3M-444.0K0.7523.50N/AN/A8,0746,02532,21619,214
2018-03-13$84.44$77.5042.2%12.0%97.7%13.9%41.5%5.7%-1.0%1.3M-77.1M-446.3K0.8424.15N/AN/A4,3883,70036,76321,486
2018-03-14$84.92$77.5040.9%11.7%97.7%11.0%40.9%4.9%-0.4%1.5M-85.8M-446.9K1.0316.14N/AN/A3,6903,81437,39721,809
2018-03-15$84.00$77.5040.4%11.3%95.7%9.9%41.4%6.0%-0.9%413.6K-75.2M-443.6K0.3417.02N/AN/A11,7594,00837,79921,946
2018-03-16$79.01$77.5044.8%12.4%97.6%19.6%44.1%3.4%-1.5%3.2M-51.9M-500.4K1.1823.10N/AN/A7,6999,08045,43322,373
2018-03-19$76.58$77.5047.6%13.6%97.6%25.7%46.2%5.4%-0.1%1.2M-22.3M-462.4K0.4916.55N/AN/A6,8013,33627,31019,550
2018-03-20$76.45$77.5044.2%12.7%97.6%18.2%45.0%5.9%-0.7%1.6M-23.2M-475.9K1.2414.57N/AN/A3,2984,09131,17920,723
2018-03-21$72.14$77.5045.2%12.9%99.0%20.3%44.2%4.6%1.1%624.9K11.9M-413.5K0.8124.10N/AN/A4,8393,90231,11020,355
2018-03-22$69.20$75.0048.1%13.7%41.4%26.7%46.3%5.9%2.4%373.9K27.1M-380.9K1.3026.82N/AN/A3,9815,18732,69320,390
2018-03-23$67.69$75.0050.4%14.5%41.0%31.7%52.1%8.4%0.0%118.5K35.3M-375.8K1.1829.06N/AN/A3,8944,59033,22221,599
2018-03-26$67.95$75.0050.2%14.5%41.1%31.4%50.4%7.7%1.8%6.1K24.1M-367.9K1.1027.24N/AN/A3,3273,65831,49620,291
2018-03-27$66.71$75.0049.9%13.9%40.3%30.0%49.0%9.1%0.6%-783.9K36.3M-340.4K0.9333.24N/AN/A3,1672,95031,69321,287
2018-03-28$65.21$75.0053.4%15.2%39.8%37.6%48.1%9.0%1.2%-913.4K40.3M-327.4K1.5322.54N/AN/A3,4425,25432,17621,203
2018-03-29$67.55$75.0047.5%13.8%41.3%24.8%46.7%8.0%0.2%-453.5K27.2M-342.8K1.4825.13N/AN/A4,0445,99132,67721,577