W Options History — April 2018

In April 2018, W traded between $62.15 and $73.44. ATM implied volatility averaged 65.3%, placing in the 61.2% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 14.3% (HV 20d: 51.0%). Max pain ranged from $67.50 to $77.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2018-04-20: Highest Volume — 16,099 contracts
  • 2018-04-06: Largest IV spike — 20.3% change
  • 2018-04-25: Highest IV Rank — 76.3%
  • 2018-04-25: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.53$62.15$73.44$62.56$62.15
Max Pain$75.36$67.50$77.50$75.00$75.00
ATM IV65.3%53.8%71.8%56.5%63.5%
Expected Move19.0%14.9%22.6%16.6%21.8%
HV 20d51.0%45.3%54.4%47.2%50.9%
HV 60d65.8%64.6%68.4%64.6%68.4%
IV Rank61.2%34.6%76.3%43.5%56.8%
IV Percentile81.9%65.1%96.0%67.5%72.2%
Term Structure-1.1%-6.2%17.3%17.3%-3.1%
VWIV63.6%51.8%77.2%60.3%73.1%
Skew 25d9.2%4.7%11.2%4.7%9.2%
Skew 10d20.1%2.6%41.5%2.6%18.5%
Call IV 25d61.4%49.5%66.8%61.9%58.2%
Put IV 25d70.6%58.3%76.9%66.6%67.3%
Bid-Ask Spread %18.339.0235.9031.6013.74
Gamma HHI0.120.060.280.070.06
Net GEX1.1M-1.1M5.0M-480.2K-256.1K
Net DEX3.7M-48.9M39.7M39.7M36.9M
Net VEX-353.5K-401.7K-296.6K-296.6K-308.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.311.821.820.71
Total Volume9,639.7146,23616,09910,36315,458
Total OI58,278.47647,59168,72750,92447,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$62.56$75.0056.5%16.6%47.2%43.5%60.3%4.7%17.3%-480.2K39.7M-296.6K1.8231.60N/AN/A3,6716,69231,16119,763
2018-04-03$65.82$75.0053.8%15.3%51.7%34.6%53.3%8.8%13.0%-407.5K27.9M-322.4K0.7519.04N/AN/A7,5485,66232,10221,177
2018-04-04$67.51$67.5058.8%14.9%51.9%45.5%51.8%6.9%9.4%597.2K12.3M-361.1K0.7318.01N/AN/A4,7133,45736,18123,207
2018-04-05$68.18$77.5058.1%17.8%51.3%44.0%60.0%11.2%10.9%896.8K5.3M-363.7K0.3114.97N/AN/A8,9572,74436,84923,063
2018-04-06$66.60$77.5069.9%17.9%51.0%71.9%57.4%10.0%-4.7%700.5K11.7M-356.4K0.7617.23N/AN/A3,8722,94038,69022,830
2018-04-09$67.48$77.5068.5%17.9%51.2%68.5%56.6%9.0%-4.8%855.6K7.9M-351.1K0.9121.68N/AN/A3,5233,20237,28721,480
2018-04-10$68.68$77.5067.1%18.3%52.2%65.3%60.7%10.2%-2.4%1.2M1.1M-363.2K0.8317.39N/AN/A3,4042,83237,93622,284
2018-04-11$67.66$77.5065.4%17.5%52.3%61.2%57.5%9.6%-3.7%985.6K9.0M-344.6K0.8018.62N/AN/A3,4782,77338,29122,452
2018-04-12$67.99$77.5064.5%17.6%52.2%59.2%57.5%9.8%-3.7%1.1M7.6M-347.0K0.8020.13N/AN/A3,5512,85238,85222,659
2018-04-13$66.58$75.0068.6%18.8%52.3%68.9%64.7%11.2%-4.7%339.1K17.8M-338.5K0.4617.24N/AN/A5,8932,71339,26223,022
2018-04-16$65.99$75.0066.4%18.7%48.9%63.5%59.1%8.7%-4.7%967.4K16.1M-327.3K0.7920.98N/AN/A3,9813,14340,51322,206
2018-04-17$68.58$75.0064.3%18.2%51.0%58.5%59.3%8.9%-4.3%2.5M-9.5M-346.0K0.9220.75N/AN/A3,6083,30541,30122,714
2018-04-18$69.69$75.0064.5%18.5%51.5%59.1%61.4%9.8%-3.4%3.0M-22.9M-352.0K0.6417.96N/AN/A7,0664,50142,09623,298
2018-04-19$69.27$75.0062.6%18.1%47.5%54.7%61.3%7.5%-2.8%2.8M-17.3M-353.1K1.2135.90N/AN/A3,6764,43843,25825,089
2018-04-20$70.05$75.0069.7%20.5%45.3%71.5%68.6%9.5%-5.5%5.0M-31.1M-356.6K0.7515.61N/AN/A9,1816,91843,52925,198
2018-04-23$73.44$75.0068.0%20.9%47.4%67.4%72.2%10.3%-3.6%1.6M-48.9M-401.7K0.6511.59N/AN/A4,8173,13524,25823,333
2018-04-24$68.39$75.0071.7%21.9%54.4%76.3%73.4%10.8%-6.2%912.0K-6.0M-390.7K0.7120.76N/AN/A7,9555,62625,24724,495
2018-04-25$67.27$75.0071.8%22.6%54.3%76.3%76.7%10.1%-4.3%1.1M2.7M-389.9K0.609.02N/AN/A7,1374,29828,23624,502
2018-04-26$67.84$75.0069.6%22.3%53.7%71.2%77.2%8.6%-5.7%1.8M-1.4M-384.8K1.0210.82N/AN/A4,0874,18128,48824,984
2018-04-27$66.44$75.0067.7%21.9%52.8%66.6%73.1%8.1%-5.6%-1.1M18.4M-367.5K0.6111.85N/AN/A7,0964,35028,82126,070
2018-04-30$62.15$75.0063.5%21.8%50.9%56.8%73.1%9.2%-3.1%-256.1K36.9M-308.4K0.7113.74N/AN/A9,0476,41124,43023,234