W Options History — September 2018

In September 2018, W traded between $133.32 and $150.29. ATM implied volatility averaged 46.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 9.7% (HV 20d: 36.3%). Max pain ranged from $125.00 to $140.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.28.

Notable Days

  • 2018-09-19: Highest Volume — 13,953 contracts
  • 2018-09-05: Largest IV spike — 11.8% change
  • 2018-09-28: Highest IV Rank — 37.4%
  • 2018-09-19: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.18$133.32$150.29$139.00$148.14
Max Pain$132.58$125.00$140.00$127.00$140.00
ATM IV46.0%41.6%53.5%41.6%53.5%
Expected Move12.9%11.8%13.7%11.8%12.2%
HV 20d36.3%27.5%41.6%27.5%41.6%
HV 60d40.2%38.6%41.6%38.6%40.2%
IV Rank22.5%13.8%37.4%13.8%37.4%
IV Percentile34.1%17.9%63.5%17.9%63.5%
Term Structure5.9%-0.9%22.2%0.3%22.2%
VWIV46.7%42.4%50.5%46.5%45.2%
Skew 25d6.0%5.1%7.2%5.7%6.5%
Skew 10d13.7%9.4%21.2%13.3%14.5%
Call IV 25d43.0%39.3%45.7%39.3%42.4%
Put IV 25d49.0%44.9%52.1%44.9%48.9%
Bid-Ask Spread %19.2210.6054.5816.0511.40
Gamma HHI0.070.040.120.060.12
Net GEX423.2K-1.1M2.9M745.8K2.9M
Net DEX-129.5M-200.8M-61.0M-138.6M-166.6M
Net VEX-851.9K-913.9K-788.1K-822.0K-852.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.782.531.411.07
Total Volume8,551.4745,53913,9538,6066,768
Total OI68,550.89563,26277,21565,21467,101

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$139.00$127.0041.6%11.8%27.5%13.8%46.5%5.7%0.3%745.8K-138.6M-822.0K1.4116.05N/AN/A3,5725,03419,90645,308
2018-09-05$133.76$127.0046.5%13.7%32.4%23.6%50.5%7.2%0.6%-100.3K-97.8M-900.7K1.9013.60N/AN/A2,8815,46520,85546,340
2018-09-06$133.32$125.0046.4%13.0%32.7%23.3%49.6%6.0%-0.9%-697.8K-91.5M-891.5K2.5317.18N/AN/A2,7096,84421,10147,675
2018-09-07$133.83$125.0047.6%13.5%31.0%25.7%48.7%5.9%-0.1%-1.1M-95.4M-885.6K1.1915.68N/AN/A4,4045,22921,26947,525
2018-09-10$138.95$125.0046.2%13.0%31.8%22.8%47.1%6.4%-0.5%-297.0K-126.4M-836.6K1.1610.60N/AN/A3,1693,68619,48645,936
2018-09-11$143.29$130.0045.6%13.0%32.2%21.7%45.7%5.1%-0.3%582.7K-156.1M-811.2K1.2730.92N/AN/A3,5914,57820,14246,401
2018-09-12$149.72$130.0046.0%13.5%34.5%22.4%48.6%5.8%0.9%1.3M-199.9M-788.1K1.0729.37N/AN/A4,6675,00221,29447,118
2018-09-13$147.64$130.0045.2%13.0%32.7%20.9%47.3%5.1%1.1%1.3M-184.4M-805.6K1.4016.02N/AN/A3,8475,38821,79448,165
2018-09-14$150.29$130.0043.3%12.5%32.4%17.2%48.5%5.4%0.6%-118.2K-200.8M-788.3K1.5112.59N/AN/A3,8015,72422,07549,080
2018-09-17$143.26$135.0045.5%13.0%38.7%21.5%46.9%5.9%1.1%366.7K-145.1M-796.5K1.5412.36N/AN/A4,5156,93920,72347,188
2018-09-18$143.38$135.0046.0%13.2%38.6%22.5%47.9%5.9%-0.2%-745.4K-134.5M-850.9K1.0813.69N/AN/A4,1844,53221,48450,658
2018-09-19$139.43$140.0047.7%13.7%40.1%25.9%47.6%6.7%3.5%-1.1M-100.6M-885.1K0.7854.58N/AN/A7,8616,09221,85451,003
2018-09-20$137.86$140.0044.3%12.6%40.1%19.2%46.1%5.8%2.8%28.7K-100.8M-913.9K1.2616.87N/AN/A3,7364,71925,06951,806
2018-09-21$134.00$140.0044.6%12.6%40.6%19.7%42.9%6.3%1.6%860.6K-61.0M-895.4K1.1825.52N/AN/A3,5334,15825,17652,039
2018-09-24$137.58$135.0046.0%13.2%40.3%22.4%45.5%6.3%19.2%36.0K-84.7M-880.4K1.1323.96N/AN/A2,8583,23321,27941,983
2018-09-25$141.08$135.0044.3%12.4%41.1%19.0%44.8%5.9%19.9%797.5K-108.1M-869.1K1.0320.21N/AN/A2,7262,81321,62242,407
2018-09-26$142.28$135.0044.6%12.3%40.9%19.6%42.4%6.3%19.3%1.3M-121.8M-845.0K0.9611.88N/AN/A3,0162,88221,87342,511
2018-09-27$145.70$135.0049.3%12.7%41.4%29.1%44.6%5.7%21.0%2.0M-145.7M-866.5K0.8712.63N/AN/A4,4443,87822,41342,808
2018-09-28$148.14$140.0053.5%12.2%41.6%37.4%45.2%6.5%22.2%2.9M-166.6M-852.8K1.0711.40N/AN/A3,2693,49923,27143,830