W Options History — June 2018

In June 2018, W traded between $95.17 and $118.82. ATM implied volatility averaged 47.7%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 11.3% (HV 20d: 36.5%). Max pain ranged from $87.50 to $112.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.90.

Notable Days

2018-06-22: Highest Volume — 20,602 contracts
2018-06-11: Largest IV spike — 9.8% change
2018-06-29: Highest IV Rank — 39.1%
2018-06-25: Largest Expected Move — 15.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.06	$95.17	$118.82	$95.17	$118.82
Max Pain	$103.07	$87.50	$112.00	$87.50	$112.00
ATM IV	47.7%	38.7%	53.1%	39.8%	53.1%
Expected Move	13.5%	11.3%	15.2%	11.4%	13.8%
HV 20d	36.5%	31.2%	41.6%	34.6%	40.1%
HV 60d	54.8%	50.4%	58.0%	56.3%	51.3%
IV Rank	27.8%	8.5%	39.1%	11.0%	39.1%
IV Percentile	43.7%	5.6%	63.5%	7.5%	63.5%
Term Structure	2.8%	-1.5%	14.6%	-1.0%	13.6%
VWIV	49.7%	40.8%	56.9%	42.8%	50.7%
Skew 25d	8.1%	5.9%	12.0%	6.4%	8.9%
Skew 10d	16.6%	11.7%	22.9%	11.9%	18.1%
Call IV 25d	43.8%	35.7%	47.7%	37.8%	44.4%
Put IV 25d	51.9%	41.9%	59.7%	44.1%	53.4%
Bid-Ask Spread %	14.44	10.71	19.27	19.10	14.21
Gamma HHI	0.07	0.05	0.12	0.12	0.11
Net GEX	-1.8M	-4.6M	724.9K	724.9K	-1.2M
Net DEX	-91.4M	-127.8M	-21.0M	-84.7M	-105.5M
Net VEX	-684.2K	-896.6K	-495.1K	-495.1K	-851.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.90	1.71	4.33	2.69	2.87
Total Volume	13,064.286	8,564	20,602	11,082	13,705
Total OI	60,324.524	43,570	74,557	44,998	74,557

Daily Data (21 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
2018-06-01	$95.17	$87.50	39.8%	11.4%	34.6%	11.0%	42.8%	6.4%	-1.0%	724.9K	-84.7M	-495.1K	2.69	19.10	N/A	N/A	3,001	8,081	18,547	26,451
2018-06-04	$98.18	$90.00	38.7%	11.3%	31.2%	8.5%	40.8%	6.2%	0.1%	-433.2K	-84.8M	-495.2K	2.35	13.63	N/A	N/A	2,553	6,011	17,338	26,232
2018-06-05	$100.52	$95.00	41.3%	12.0%	31.4%	14.0%	43.4%	6.4%	1.0%	-270.6K	-97.8M	-497.4K	2.41	13.54	N/A	N/A	4,061	9,787	17,792	27,194
2018-06-06	$104.54	$100.00	41.7%	11.8%	32.3%	15.0%	45.1%	5.9%	-0.8%	-769.1K	-106.5M	-559.8K	2.28	14.72	N/A	N/A	3,977	9,074	18,805	32,492
2018-06-07	$101.39	$100.00	45.5%	13.1%	33.4%	22.9%	47.3%	7.7%	0.4%	-1.9M	-74.5M	-633.2K	2.90	12.36	N/A	N/A	3,333	9,652	20,199	35,744
2018-06-08	$105.40	$100.00	43.6%	12.3%	34.9%	19.0%	45.4%	6.0%	0.4%	-1.2M	-108.4M	-607.3K	2.12	16.36	N/A	N/A	3,749	7,946	20,433	36,902
2018-06-11	$104.26	$100.00	47.9%	13.4%	35.8%	28.0%	49.2%	6.8%	-0.8%	-1.8M	-89.9M	-620.0K	3.84	10.71	N/A	N/A	3,315	12,717	19,912	35,528
2018-06-12	$108.02	$100.00	48.6%	13.5%	36.1%	29.7%	49.5%	7.1%	-1.5%	-1.8M	-106.0M	-644.6K	2.60	11.99	N/A	N/A	3,738	9,713	20,674	38,170
2018-06-13	$107.47	$100.00	48.0%	13.8%	36.6%	28.4%	50.1%	7.4%	0.2%	-2.2M	-98.6M	-665.8K	2.36	14.49	N/A	N/A	2,775	6,543	21,427	40,201
2018-06-14	$109.29	$100.00	47.4%	13.2%	36.5%	27.1%	48.6%	7.7%	-1.5%	-1.9M	-113.4M	-651.6K	2.86	19.27	N/A	N/A	3,369	9,635	21,737	40,820
2018-06-15	$110.77	$105.00	47.6%	13.7%	36.5%	27.5%	50.1%	7.6%	-0.1%	-469.0K	-127.8M	-657.5K	2.87	14.92	N/A	N/A	2,913	8,370	22,238	42,620
2018-06-18	$113.70	$105.00	48.6%	13.9%	36.4%	29.6%	50.5%	9.3%	-0.9%	-1.9M	-101.1M	-644.0K	2.37	17.59	N/A	N/A	2,789	6,621	18,928	36,568
2018-06-19	$113.81	$105.00	50.6%	14.5%	36.2%	33.8%	54.4%	9.4%	-0.4%	-2.2M	-100.0M	-658.8K	2.02	10.83	N/A	N/A	3,576	7,233	19,541	38,080
2018-06-20	$116.42	$105.00	52.3%	15.0%	35.2%	37.4%	56.9%	10.0%	-0.3%	-1.8M	-115.9M	-665.3K	1.71	12.96	N/A	N/A	3,694	6,316	20,046	39,310
2018-06-21	$114.15	$105.00	51.8%	14.9%	37.3%	36.3%	56.1%	8.9%	-0.0%	-2.0M	-105.0M	-687.8K	4.04	14.15	N/A	N/A	4,001	16,181	20,816	40,633
2018-06-22	$115.06	$110.00	49.3%	14.0%	37.4%	31.0%	51.0%	8.6%	1.2%	-1.8M	-94.4M	-839.5K	4.33	16.97	N/A	N/A	3,867	16,735	21,977	49,638
2018-06-25	$110.24	$110.00	52.8%	15.2%	41.5%	38.6%	55.2%	12.0%	12.2%	-4.4M	-21.0M	-896.6K	4.27	14.31	N/A	N/A	2,962	12,648	20,445	49,507
2018-06-26	$112.32	$112.00	50.7%	14.5%	41.6%	34.2%	49.7%	8.8%	12.1%	-4.5M	-41.7M	-884.4K	3.21	11.86	N/A	N/A	3,033	9,727	20,587	50,491
2018-06-27	$112.00	$111.00	51.6%	14.7%	39.9%	36.1%	52.5%	10.1%	10.9%	-4.6M	-38.7M	-873.3K	3.12	14.07	N/A	N/A	2,955	9,209	20,823	50,954
2018-06-28	$118.69	$112.00	51.6%	14.0%	40.7%	35.9%	54.4%	9.0%	14.6%	-2.1M	-103.9M	-839.5K	3.77	15.24	N/A	N/A	3,099	11,686	21,201	51,257
2018-06-29	$118.82	$112.00	53.1%	13.8%	40.1%	39.1%	50.7%	8.9%	13.6%	-1.2M	-105.5M	-851.9K	2.87	14.21	N/A	N/A	3,538	10,167	21,748	52,809