W Options History — January 2019

In January 2019, W traded between $84.83 and $108.89. ATM implied volatility averaged 60.7%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 4.8% (HV 20d: 65.5%). Max pain ranged from $97.50 to $105.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2019-01-31: Highest Volume — 6,662 contracts
  • 2019-01-22: Largest IV spike — 26.2% change
  • 2019-01-24: Highest IV Rank — 57.1%
  • 2019-01-03: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.92$84.83$108.89$90.30$108.89
Max Pain$104.21$97.50$105.00$97.50$100.00
ATM IV60.7%50.4%68.6%62.4%66.1%
Expected Move15.6%13.2%18.7%18.5%17.4%
HV 20d65.5%50.9%76.9%65.8%51.3%
HV 60d72.5%62.8%75.0%72.9%62.8%
IV Rank43.8%26.6%57.1%46.7%53.0%
IV Percentile60.0%40.5%77.4%62.7%68.7%
Term Structure2.1%-7.8%14.6%0.5%-3.9%
VWIV55.9%46.4%64.7%61.2%63.7%
Skew 25d10.3%8.8%12.2%11.3%10.3%
Skew 10d22.6%18.9%26.1%24.9%24.5%
Call IV 25d55.3%43.8%63.7%57.0%62.3%
Put IV 25d65.6%52.7%75.0%68.3%72.6%
Bid-Ask Spread %17.3912.4226.3916.0218.07
Gamma HHI0.100.060.440.070.09
Net GEX-303.6K-5.2M942.7K-779.1K744.3K
Net DEX-11.7M-77.9M65.5M32.9M-52.8M
Net VEX-528.8K-568.2K-488.5K-532.8K-550.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.323.670.320.69
Total Volume3,518.9521,1556,6623,7406,662
Total OI55,454.23834,15470,63463,40138,757

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$90.30$97.5062.4%18.5%65.8%46.7%61.2%11.3%0.5%-779.1K32.9M-532.8K0.3216.02N/AN/A2,83490624,49838,903
2019-01-03$84.83$105.0065.7%18.7%67.7%52.2%63.9%11.9%-0.7%-1.2M65.5M-494.4K0.9323.78N/AN/A1,04197025,75839,344
2019-01-04$90.28$105.0060.7%17.7%72.5%43.9%63.0%9.6%0.5%-585.8K30.5M-529.8K0.9326.39N/AN/A2,3412,18626,03339,663
2019-01-07$95.31$105.0060.0%17.5%75.2%42.6%64.7%10.1%0.8%-357.8K-1.3M-550.4K2.1316.77N/AN/A5011,06925,24338,836
2019-01-08$97.05$105.0057.4%17.2%75.8%38.3%63.5%10.1%2.3%-166.7K-14.9M-553.8K1.5419.12N/AN/A9361,44425,70839,603
2019-01-09$98.94$105.0056.0%16.2%76.1%35.9%60.2%9.1%0.6%7.2K-32.9M-559.9K1.5525.12N/AN/A1,3142,03426,48340,005
2019-01-10$99.62$105.0053.8%16.1%76.2%32.2%59.0%9.5%3.3%-1.0M-35.7M-568.2K1.0517.33N/AN/A2,4872,61927,21841,931
2019-01-11$96.22$105.0054.3%16.2%76.9%33.0%57.4%10.1%3.4%-5.2M-5.9M-551.8K1.9117.32N/AN/A1,3752,62728,46842,166
2019-01-14$94.06$105.0054.4%15.8%75.9%33.3%57.5%9.3%12.6%-378.9K5.7M-506.8K1.4013.68N/AN/A7451,04427,29539,675
2019-01-15$93.99$105.0052.4%15.1%75.9%29.9%59.5%9.4%13.1%-217.7K4.4M-494.4K2.9617.95N/AN/A5251,55627,91539,932
2019-01-16$95.79$105.0050.4%14.5%64.8%26.6%51.1%9.1%13.7%355.4K-9.7M-488.5K3.2819.32N/AN/A7442,44428,03140,505
2019-01-17$96.70$105.0053.0%14.4%64.7%30.9%50.0%9.0%14.3%857.2K-19.9M-491.8K2.8218.95N/AN/A1,0552,98028,08040,702
2019-01-18$101.58$105.0053.9%13.9%65.2%32.3%47.1%8.8%14.6%337.3K-77.9M-519.0K1.8317.69N/AN/A2,1803,99028,33341,955
2019-01-22$96.92$105.0068.0%14.9%63.0%56.1%52.0%10.6%-7.8%-384.0K3.2M-506.6K1.9815.67N/AN/A8061,59816,48417,670
2019-01-23$96.46$105.0067.6%14.9%61.4%55.5%51.8%10.6%-2.2%-619.8K5.4M-503.0K3.6715.35N/AN/A8783,22216,67218,151
2019-01-24$99.82$105.0068.6%14.1%61.4%57.1%48.8%11.3%-4.5%-188.1K-10.2M-529.7K2.6912.48N/AN/A1,3233,55316,91119,696
2019-01-25$102.52$105.0066.5%13.2%51.4%53.6%46.7%11.2%-4.1%833.3K-26.7M-535.6K1.3612.42N/AN/A1,5802,15417,38519,921
2019-01-28$104.44$105.0068.5%14.4%51.3%57.0%54.9%11.5%-3.9%323.5K-28.4M-543.7K2.7412.95N/AN/A30984616,74618,976
2019-01-29$104.58$103.0067.5%13.7%50.9%55.4%46.4%12.2%-3.8%335.2K-29.7M-542.5K0.4113.57N/AN/A3,1791,28917,13719,721
2019-01-30$107.99$103.0067.1%13.4%51.4%54.6%51.5%11.1%-5.4%942.7K-48.2M-551.1K2.7615.31N/AN/A6781,87417,88520,144
2019-01-31$108.89$100.0066.1%17.4%51.3%53.0%63.7%10.3%-3.9%744.3K-52.8M-550.5K0.6918.07N/AN/A3,9312,73118,08420,673