W Options History — November 2018

In November 2018, W traded between $82.87 and $107.90. ATM implied volatility averaged 58.2%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 24.0% (HV 20d: 82.1%). Max pain ranged from $95.00 to $115.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2018-11-01: Highest Volume — 19,299 contracts
  • 2018-11-20: Largest IV spike — 13.6% change
  • 2018-11-20: Highest IV Rank — 57.9%
  • 2018-11-20: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.51$82.87$107.90$95.68$107.90
Max Pain$102.14$95.00$115.00$115.00$100.00
ATM IV58.2%50.4%69.0%57.4%55.2%
Expected Move16.9%14.4%19.8%17.0%16.5%
HV 20d82.1%68.1%88.4%81.4%68.1%
HV 60d62.0%58.8%68.1%59.1%68.1%
IV Rank39.6%26.5%57.9%38.3%34.6%
IV Percentile64.4%53.2%82.1%64.7%58.7%
Term Structure-0.9%-4.1%3.6%-0.8%-0.1%
VWIV59.5%51.3%67.8%59.8%64.7%
Skew 25d9.4%7.1%12.8%10.6%9.3%
Skew 10d19.6%16.6%24.5%20.2%18.4%
Call IV 25d54.3%47.0%63.8%53.5%51.8%
Put IV 25d63.7%54.1%76.6%64.1%61.1%
Bid-Ask Spread %18.149.7135.4110.3521.57
Gamma HHI0.120.050.190.170.07
Net GEX-2.5M-5.6M730.3K-4.4M50.2K
Net DEX83.7M-66.9M195.6M181.7M-66.9M
Net VEX-607.1K-717.7K-509.1K-642.6K-717.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.451.751.501.18
Total Volume11,0627,86419,29919,29910,494
Total OI72,074.14353,57888,27284,65169,837

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$95.68$115.0057.4%17.0%81.4%38.3%59.8%10.6%-0.8%-4.4M181.7M-642.6K1.5010.35N/AN/A7,72111,57831,26353,388
2018-11-02$93.03$115.0057.1%17.4%81.0%37.8%62.2%9.8%1.1%-5.6M195.6M-636.3K1.5035.41N/AN/A6,65510,01533,34354,929
2018-11-05$97.07$105.0056.3%16.4%83.6%36.4%55.5%9.2%-0.5%-4.3M128.7M-638.7K0.6525.77N/AN/A4,7603,10429,42148,786
2018-11-06$93.44$105.0054.3%15.3%84.0%33.1%52.6%8.2%-1.5%-4.5M147.5M-605.7K0.6513.45N/AN/A6,5294,24730,00648,594
2018-11-07$97.90$105.0051.0%14.4%84.7%27.5%52.6%7.6%-0.2%-4.3M91.6M-629.5K0.7114.78N/AN/A5,4423,84231,25447,248
2018-11-08$97.25$105.0050.4%14.5%84.4%26.5%51.3%7.1%-0.1%-4.5M94.8M-616.6K0.6416.57N/AN/A6,2454,02331,79447,361
2018-11-09$93.41$105.0053.7%15.4%81.6%32.0%52.9%7.7%-0.5%-5.4M130.5M-590.3K0.5217.38N/AN/A8,4054,33831,97447,481
2018-11-12$91.25$105.0059.2%17.1%81.7%41.3%59.7%9.6%0.7%-3.7M127.2M-596.7K0.4931.07N/AN/A7,7653,81732,44045,590
2018-11-13$93.08$105.0057.1%15.9%81.1%37.9%54.8%8.6%-2.5%-4.2M105.9M-608.9K0.4815.36N/AN/A5,9612,88533,77846,039
2018-11-14$88.74$100.0059.6%17.2%81.8%42.0%60.5%9.2%0.6%-2.9M138.6M-574.8K0.7020.04N/AN/A5,6283,94934,12245,795
2018-11-15$89.22$100.0058.4%16.6%82.2%39.9%56.9%10.0%-0.7%-3.1M140.9M-562.4K0.7719.47N/AN/A6,6295,13034,40246,520
2018-11-16$88.44$100.0057.6%16.2%82.1%38.6%55.7%8.1%-1.2%-1.5M137.0M-558.7K0.5913.65N/AN/A7,0304,14636,27146,975
2018-11-19$82.87$100.0060.8%17.4%82.5%44.0%60.9%8.6%-4.1%-1.5M77.9M-509.1K1.0811.24N/AN/A4,2454,58622,42332,470
2018-11-20$84.45$100.0069.0%19.8%83.1%57.9%64.4%12.8%-3.9%-1.5M67.8M-552.5K0.4511.57N/AN/A6,5522,93722,82933,625
2018-11-21$88.77$100.0061.5%17.6%84.5%45.2%61.9%10.8%-2.0%730.3K40.0M-587.9K0.689.71N/AN/A4,6853,20825,30333,062
2018-11-23$88.44$95.0061.9%17.9%82.9%45.8%59.8%10.4%-1.7%-349.1K46.2M-570.1K0.5932.78N/AN/A5,4823,25625,77633,863
2018-11-26$90.84$95.0060.0%17.9%81.6%42.7%62.3%9.4%-0.5%-802.0K37.1M-572.4K1.4910.17N/AN/A3,7585,58921,65931,919
2018-11-27$91.91$95.0062.3%18.7%77.5%46.5%67.8%10.1%-3.3%-1.7M40.7M-594.1K1.7512.01N/AN/A4,0006,99822,39636,925
2018-11-28$104.28$95.0060.9%18.4%88.4%44.2%67.4%10.7%3.6%460.6K-50.4M-670.0K1.5215.41N/AN/A5,5588,44823,29840,874
2018-11-29$105.65$100.0058.5%17.8%86.9%40.1%66.0%10.2%-1.2%-245.4K-54.9M-713.4K1.1023.13N/AN/A6,0206,64224,38844,136
2018-11-30$107.90$100.0055.2%16.5%68.1%34.6%64.7%9.3%-0.1%50.2K-66.9M-717.7K1.1821.57N/AN/A4,8075,68724,41445,423