W Options History — August 2018

In August 2018, W traded between $108.31 and $135.13. ATM implied volatility averaged 43.2%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 1.7% (HV 20d: 44.9%). Max pain ranged from $115.00 to $127.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.26.

Notable Days

2018-08-01: Highest Volume — 22,975 contracts
2018-08-02: Largest IV drop — 36.2% change
2018-08-01: Highest IV Rank — 78.6%
2018-08-01: Largest Expected Move — 25.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$122.50	$108.31	$135.13	$108.31	$135.13
Max Pain	$118.57	$115.00	$127.00	$120.00	$127.00
ATM IV	43.2%	39.4%	74.3%	74.3%	40.4%
Expected Move	12.7%	11.4%	25.6%	25.6%	11.4%
HV 20d	44.9%	27.2%	49.9%	40.5%	27.2%
HV 60d	40.8%	38.4%	42.0%	38.4%	38.9%
IV Rank	17.0%	9.5%	78.6%	78.6%	11.3%
IV Percentile	19.4%	7.1%	96.4%	96.4%	9.5%
Term Structure	0.0%	-7.7%	2.1%	-7.7%	0.5%
VWIV	45.6%	40.1%	86.6%	86.6%	43.0%
Skew 25d	6.3%	4.9%	14.0%	14.0%	5.6%
Skew 10d	13.5%	10.7%	26.6%	26.6%	12.8%
Call IV 25d	40.4%	36.7%	66.9%	66.9%	37.5%
Put IV 25d	46.8%	42.5%	80.9%	80.9%	43.1%
Bid-Ask Spread %	19.81	9.06	59.37	24.42	12.29
Gamma HHI	0.09	0.05	0.14	0.07	0.06
Net GEX	-2.8M	-6.4M	807.3K	-3.9M	-654.6K
Net DEX	-57.2M	-126.6M	45.2M	45.2M	-126.6M
Net VEX	-845.3K	-994.3K	-791.2K	-994.3K	-871.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.70	2.00	1.57	1.31
Total Volume	12,230.565	8,419	22,975	22,975	8,419
Total OI	75,236.174	56,270	93,323	84,616	70,021

Daily Data (23 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
2018-08-01	$108.31	$120.00	74.3%	25.6%	40.5%	78.6%	86.6%	14.0%	-7.7%	-3.9M	45.2M	-994.3K	1.57	24.42	N/A	N/A	8,955	14,020	25,225	59,391
2018-08-02	$115.63	$115.00	47.4%	14.3%	47.0%	25.3%	53.3%	9.2%	-1.1%	-4.6M	-17.1M	-916.6K	1.34	32.30	N/A	N/A	8,948	12,022	28,094	63,597
2018-08-03	$111.61	$120.00	43.7%	12.7%	46.8%	18.0%	44.8%	7.0%	0.0%	-6.4M	31.1M	-878.0K	0.92	59.37	N/A	N/A	7,348	6,740	28,717	64,606
2018-08-06	$114.35	$115.00	41.0%	11.9%	47.8%	12.6%	42.6%	6.2%	-0.1%	-5.3M	-4.3M	-850.4K	0.85	19.80	N/A	N/A	4,981	4,212	23,705	56,433
2018-08-07	$115.16	$115.00	41.6%	12.1%	48.0%	13.7%	42.6%	5.5%	-0.1%	-5.1M	-18.6M	-830.7K	0.99	19.75	N/A	N/A	5,031	4,980	24,078	56,755
2018-08-08	$115.97	$115.00	40.5%	12.1%	47.2%	11.6%	45.0%	6.0%	0.5%	-5.6M	-23.3M	-841.5K	1.09	14.98	N/A	N/A	4,972	5,432	24,428	57,429
2018-08-09	$120.00	$115.00	39.4%	11.8%	48.8%	9.5%	42.6%	6.2%	0.7%	-4.2M	-69.9M	-815.0K	0.95	18.41	N/A	N/A	5,000	4,754	24,580	58,337
2018-08-10	$123.79	$115.00	43.1%	12.2%	49.9%	16.8%	46.5%	7.4%	0.7%	-2.7M	-112.8M	-830.3K	0.70	37.24	N/A	N/A	10,475	7,317	24,684	59,158
2018-08-13	$122.24	$115.00	43.1%	12.7%	49.9%	16.7%	44.9%	6.8%	0.9%	-3.4M	-87.9M	-806.2K	1.14	22.47	N/A	N/A	5,222	5,931	24,275	56,948
2018-08-14	$122.43	$115.00	41.8%	12.3%	48.6%	14.1%	43.6%	5.5%	0.9%	-4.0M	-86.2M	-798.2K	1.19	15.16	N/A	N/A	5,022	5,997	24,596	57,551
2018-08-15	$118.97	$115.00	43.7%	12.4%	49.6%	18.0%	46.9%	6.4%	-0.1%	-5.4M	-40.2M	-807.5K	1.64	18.58	N/A	N/A	4,875	7,974	24,895	58,616
2018-08-16	$118.64	$115.00	41.8%	12.1%	49.2%	14.2%	42.6%	5.9%	0.3%	-5.7M	-29.6M	-810.5K	1.07	20.71	N/A	N/A	5,413	5,797	24,761	60,365
2018-08-17	$119.34	$115.00	42.3%	12.1%	49.1%	15.1%	43.8%	6.0%	-0.3%	-4.3M	-40.0M	-807.5K	1.79	14.15	N/A	N/A	5,067	9,056	25,082	60,186
2018-08-20	$121.82	$115.00	40.7%	11.7%	49.8%	12.0%	41.0%	5.4%	0.8%	-1.0M	-50.5M	-808.9K	1.26	9.06	N/A	N/A	4,772	6,000	16,188	40,082
2018-08-21	$124.78	$115.00	39.6%	11.4%	48.8%	9.8%	40.1%	4.9%	0.4%	-21.8K	-71.2M	-791.2K	1.01	9.86	N/A	N/A	4,701	4,769	16,888	40,422
2018-08-22	$127.47	$115.00	40.6%	11.6%	48.3%	11.8%	42.0%	5.0%	0.4%	745.8K	-89.1M	-792.3K	1.08	10.22	N/A	N/A	4,660	5,016	17,694	40,914
2018-08-23	$131.00	$115.00	42.1%	12.1%	45.1%	14.9%	42.7%	5.2%	0.5%	807.3K	-109.4M	-801.1K	1.61	12.75	N/A	N/A	5,108	8,247	18,464	42,183
2018-08-24	$127.77	$127.00	41.7%	11.9%	44.9%	14.1%	41.6%	5.2%	0.6%	-8.0K	-67.4M	-871.0K	1.40	10.46	N/A	N/A	5,412	7,598	19,899	46,080
2018-08-27	$128.35	$127.00	42.5%	12.2%	38.4%	15.6%	44.1%	5.6%	0.4%	-1.4M	-69.7M	-873.3K	1.29	13.03	N/A	N/A	4,224	5,453	19,720	44,145
2018-08-28	$130.46	$127.00	41.3%	11.8%	38.2%	13.1%	42.7%	5.4%	0.2%	-1.4M	-82.1M	-880.4K	2.00	19.71	N/A	N/A	3,945	7,884	20,417	45,100
2018-08-29	$131.48	$127.00	41.0%	11.7%	37.6%	12.7%	42.6%	5.6%	0.1%	-1.4M	-91.9M	-881.8K	1.52	11.81	N/A	N/A	3,731	5,683	20,926	46,192
2018-08-30	$132.84	$127.00	40.3%	11.5%	31.4%	11.2%	43.4%	5.5%	2.1%	-450.3K	-104.3M	-884.1K	1.33	29.10	N/A	N/A	4,359	5,781	21,332	47,273
2018-08-31	$135.13	$127.00	40.4%	11.4%	27.2%	11.3%	43.0%	5.6%	0.5%	-654.6K	-126.6M	-871.8K	1.31	12.29	N/A	N/A	3,649	4,770	22,178	47,843