W Options History — December 2018

In December 2018, W traded between $80.85 and $111.82. ATM implied volatility averaged 62.6%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 6.0% (HV 20d: 68.6%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.48.

Notable Days

  • 2018-12-21: Highest Volume — 12,290 contracts
  • 2018-12-17: Largest IV spike — 15.3% change
  • 2018-12-26: Highest IV Rank — 68.2%
  • 2018-12-26: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.33$80.85$111.82$111.82$89.99
Max Pain$101.38$95.00$105.00$100.00$97.50
ATM IV62.6%51.1%75.2%51.1%63.7%
Expected Move18.4%15.7%22.2%16.1%18.8%
HV 20d68.6%61.8%83.1%67.7%67.7%
HV 60d69.6%66.8%74.3%68.5%73.0%
IV Rank47.1%27.8%68.2%27.8%48.9%
IV Percentile68.5%53.2%91.3%53.2%64.3%
Term Structure0.1%-2.9%2.2%2.0%-0.2%
VWIV66.9%56.4%81.6%61.4%62.3%
Skew 25d11.3%7.7%14.8%8.8%11.7%
Skew 10d23.4%18.9%28.4%19.2%25.4%
Call IV 25d56.9%47.0%67.9%47.0%57.8%
Put IV 25d68.2%55.8%82.7%55.8%69.5%
Bid-Ask Spread %28.7513.3747.1920.8113.37
Gamma HHI0.070.060.140.070.08
Net GEX-1.0M-2.6M363.5K363.5K-1.1M
Net DEX8.1M-82.3M107.2M-82.3M36.4M
Net VEX-627.2K-732.5K-507.9K-692.3K-536.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.480.456.775.370.45
Total Volume4,891.651,11312,2903,8022,893
Total OI61,629.6557,85465,07857,85460,998

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$111.82$100.0051.1%16.1%67.7%27.8%61.4%8.8%2.0%363.5K-82.3M-692.3K5.3720.81N/AN/A5973,20523,06234,792
2018-12-04$107.67$100.0058.1%17.8%68.4%39.4%68.0%7.7%-1.3%-176.8K-48.6M-717.2K2.5821.10N/AN/A1,6914,36423,35336,660
2018-12-05$108.08$100.0057.6%18.2%66.5%38.6%69.8%11.4%1.5%-166.0K-52.5M-711.4K2.5828.34N/AN/A1,7074,39723,35336,660
2018-12-06$110.39$105.0059.0%17.1%65.1%41.0%60.6%12.1%2.2%-364.0K-57.9M-732.5K6.7740.38N/AN/A4813,25623,36738,428
2018-12-07$110.24$105.0058.6%17.2%65.0%40.3%62.8%11.6%1.8%-165.0K-61.4M-722.0K2.7747.19N/AN/A1,4684,06523,52138,748
2018-12-10$108.12$105.0061.6%17.6%63.4%45.3%65.0%12.0%-0.3%-198.5K-45.4M-697.1K1.3639.20N/AN/A47164222,82236,652
2018-12-11$108.00$105.0057.4%16.5%62.5%38.4%62.1%9.9%-0.1%-205.2K-44.4M-688.1K3.4636.14N/AN/A5401,87023,08437,050
2018-12-12$108.40$105.0054.5%15.8%62.3%33.4%56.4%9.0%0.5%-248.2K-48.5M-667.1K1.7132.00N/AN/A1,3012,21923,24437,643
2018-12-13$103.78$105.0053.6%15.7%61.8%31.8%62.7%9.5%1.5%-1.5M-12.3M-659.8K1.9326.59N/AN/A2,0804,02123,85538,241
2018-12-14$103.44$105.0055.8%16.1%62.0%35.5%64.2%10.1%0.9%-2.6M-9.4M-664.5K1.6031.42N/AN/A1,8863,02024,68839,538
2018-12-17$92.49$105.0064.3%18.5%75.0%49.9%62.9%11.8%-1.1%-1.7M64.7M-587.9K1.2330.31N/AN/A1,9722,43323,46537,670
2018-12-18$93.91$100.0064.6%18.5%70.7%50.4%69.4%11.5%-1.9%-1.6M56.7M-600.5K2.9928.19N/AN/A1,5594,65824,64237,625
2018-12-19$90.59$100.0066.0%18.9%72.1%52.9%74.7%11.9%-2.9%-2.0M75.3M-570.7K2.0428.18N/AN/A1,2192,49024,97638,039
2018-12-20$84.93$100.0069.2%19.9%73.7%58.2%64.4%11.4%-0.3%-2.1M100.8M-522.8K1.0926.93N/AN/A3,9734,31325,09137,836
2018-12-21$82.13$100.0069.4%19.9%74.6%58.5%81.6%11.9%1.2%-1.9M107.2M-507.9K5.5433.64N/AN/A1,88010,41027,40537,673
2018-12-24$80.85$100.0075.0%21.7%73.8%67.9%73.6%14.1%-0.9%-1.6M84.5M-518.1K0.8025.10N/AN/A2,1901,76122,56738,641
2018-12-26$89.59$97.5075.2%22.2%83.1%68.2%73.8%14.8%-1.8%-1.3M42.1M-580.2K1.8321.80N/AN/A1,3712,51522,80538,430
2018-12-27$91.53$95.0073.2%21.5%68.9%64.8%72.6%13.2%-0.7%-973.2K25.2M-599.7K1.5625.43N/AN/A1,6602,59523,48338,793
2018-12-28$90.66$97.5064.8%19.3%68.5%50.8%70.2%12.2%1.1%-1.1M32.4M-568.7K1.9018.87N/AN/A1,6093,05124,13739,556
2018-12-31$89.99$97.5063.7%18.8%67.7%48.9%62.3%11.7%-0.2%-1.1M36.4M-536.1K0.4513.37N/AN/A1,99889523,03737,961