W Options History — May 2018 In May 2018, W traded between $65.23 and $94.99. ATM implied volatility averaged 39.0%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 29.0% (HV 20d: 67.9%). Max pain ranged from $67.50 to $87.50. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.24.
Notable Days 2018-05-02 : Highest Volume — 25,504 contracts2018-05-02 : Largest IV drop — 35.4% change2018-05-01 : Highest IV Rank — 66.2%2018-05-01 : Largest Expected Move — 23.8%Monthly Statistics Metric Avg Min Max Open Close Price $84.10 $65.23 $94.99 $65.23 $92.00 Max Pain $78.32 $67.50 $87.50 $75.00 $87.50 ATM IV 39.0% 34.7% 67.5% 67.5% 41.9% Expected Move 11.4% 9.8% 23.8% 23.8% 11.8% HV 20d 67.9% 33.6% 75.1% 50.6% 33.6% HV 60d 67.6% 54.8% 77.3% 69.3% 56.0% IV Rank 5.6% 0.0% 66.2% 66.2% 15.4% IV Percentile 6.3% 0.0% 83.3% 83.3% 15.1% Term Structure -0.3% -5.4% 1.7% -5.4% -2.9% VWIV 41.1% 34.7% 80.5% 80.5% 43.1% Skew 25d 6.2% 4.9% 9.6% 9.6% 7.8% Skew 10d 12.7% 10.9% 18.4% 18.4% 14.4% Call IV 25d 36.0% 32.2% 62.0% 62.0% 37.3% Put IV 25d 42.2% 37.6% 71.6% 71.6% 45.0% Bid-Ask Spread % 15.89 10.70 24.75 14.80 16.60 Gamma HHI 0.16 0.06 0.36 0.08 0.06 Net GEX 1.0M -918.7K 3.6M 660.5K -313.4K Net DEX -100.5M -168.3M 7.9M 7.9M -62.5M Net VEX -407.6K -496.2K -356.9K -356.9K -496.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.49 2.59 0.49 1.74 Total Volume 10,530.818 6,650 25,504 18,337 8,867 Total OI 51,491.909 35,103 67,010 56,527 43,448
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2018-05-01 $65.23 $75.00 67.5% 23.8% 50.6% 66.2% 80.5% 9.6% -5.4% 660.5K 7.9M -356.9K 0.49 14.80 N/A N/A 12,328 6,009 31,328 25,199 2018-05-02 $75.70 $70.00 43.6% 13.4% 73.0% 9.4% 49.7% 7.2% -1.0% 3.6M -121.4M -416.6K 0.87 16.86 N/A N/A 13,643 11,861 35,845 28,925 2018-05-03 $76.16 $67.50 39.7% 11.5% 73.0% 0.2% 44.2% 7.2% 0.7% 3.1M -109.4M -417.6K 1.07 13.06 N/A N/A 6,105 6,503 34,412 32,184 2018-05-04 $80.57 $70.00 38.0% 11.0% 74.3% 0.0% 38.7% 6.6% 0.4% 2.0M -168.3M -398.3K 0.94 21.98 N/A N/A 7,771 7,336 34,631 32,379 2018-05-07 $82.18 $70.00 39.0% 11.1% 74.3% 2.3% 39.2% 6.6% -0.2% 1.4M -117.1M -384.1K 1.14 14.17 N/A N/A 4,520 5,152 25,905 27,761 2018-05-08 $84.73 $72.50 38.7% 11.1% 74.7% 1.6% 41.3% 6.1% 0.2% 1.3M -139.5M -387.3K 1.45 16.76 N/A N/A 4,332 6,270 26,455 29,112 2018-05-09 $82.80 $77.50 38.7% 11.4% 75.1% 1.6% 41.2% 6.4% 1.2% 898.8K -116.9M -407.7K 1.41 22.00 N/A N/A 4,315 6,100 27,040 30,474 2018-05-10 $83.48 $77.50 38.1% 11.2% 75.1% 0.1% 39.0% 6.6% 1.7% 915.3K -126.6M -401.9K 1.08 16.74 N/A N/A 4,000 4,307 27,819 31,481 2018-05-11 $84.57 $77.50 36.2% 10.5% 74.2% 0.0% 39.1% 5.0% 0.4% 1.3M -140.9M -398.4K 1.05 15.16 N/A N/A 3,953 4,138 28,316 31,995 2018-05-14 $83.79 $80.00 37.1% 10.6% 74.2% 1.9% 38.4% 5.4% -0.2% 832.7K -121.8M -384.7K 1.04 17.10 N/A N/A 3,257 3,393 26,362 29,809 2018-05-15 $84.39 $80.00 37.0% 10.6% 73.5% 1.8% 38.1% 5.7% 0.7% 727.5K -128.0M -385.3K 1.33 16.50 N/A N/A 3,036 4,036 26,814 30,031 2018-05-16 $84.94 $80.00 36.3% 10.4% 73.5% 0.1% 37.4% 5.9% 0.1% 120.3K -132.8M -380.9K 1.19 16.39 N/A N/A 3,189 3,801 26,857 30,813 2018-05-17 $85.94 $80.00 35.6% 10.2% 73.2% 0.0% 36.0% 4.9% -0.5% -918.7K -144.5M -375.6K 1.23 13.45 N/A N/A 3,298 4,057 27,137 31,312 2018-05-18 $85.75 $80.00 36.0% 10.4% 73.4% 0.8% 36.2% 5.4% -1.2% 56.7K -145.3M -381.1K 0.78 12.10 N/A N/A 6,389 4,980 27,771 31,756 2018-05-21 $85.53 $82.50 35.2% 10.1% 72.2% 0.0% 36.5% 5.3% 0.7% 930.5K -51.3M -418.9K 0.93 10.70 N/A N/A 4,769 4,423 16,464 18,639 2018-05-22 $84.76 $82.50 34.7% 9.9% 66.3% 0.0% 34.7% 5.4% 0.5% 665.6K -45.3M -420.3K 0.84 11.92 N/A N/A 4,749 4,007 16,677 19,181 2018-05-23 $85.40 $82.50 35.5% 10.0% 65.5% 1.9% 35.6% 5.3% 0.0% 662.5K -48.2M -421.3K 1.11 11.68 N/A N/A 3,841 4,254 16,596 19,474 2018-05-24 $86.53 $82.50 34.8% 9.8% 65.5% 0.2% 35.4% 5.4% 0.3% 1.2M -57.3M -423.6K 1.43 13.05 N/A N/A 3,023 4,330 17,187 19,705 2018-05-25 $89.81 $82.50 35.3% 9.8% 64.9% 1.4% 36.0% 6.2% 0.1% 2.0M -78.7M -422.3K 1.46 19.54 N/A N/A 4,224 6,169 17,376 19,912 2018-05-29 $90.95 $82.50 40.0% 11.3% 57.3% 11.4% 41.4% 6.5% -1.9% 801.0K -73.6M -441.6K 2.04 14.31 N/A N/A 3,479 7,087 17,190 20,700 2018-05-30 $94.99 $83.00 38.2% 11.4% 57.0% 7.5% 41.3% 6.3% -0.7% 500.1K -90.7M -446.8K 2.59 24.75 N/A N/A 2,894 7,483 17,512 22,838 2018-05-31 $92.00 $87.50 41.9% 11.8% 33.6% 15.4% 43.1% 7.8% -2.9% -313.4K -62.5M -496.2K 1.74 16.60 N/A N/A 3,236 5,631 17,935 25,513
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