W Options History — March 2019 In March 2019, W traded between $148.49 and $172.16. ATM implied volatility averaged 43.4%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 35.7% (HV 20d: 79.1%). Max pain ranged from $130.00 to $150.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.53.
Notable Days 2019-03-01 : Highest Volume — 22,123 contracts2019-03-22 : Largest IV spike — 24.3% change2019-03-29 : Highest IV Rank — 29.8%2019-03-27 : Largest Expected Move — 18.7%Monthly Statistics Metric Avg Min Max Open Close Price $164.14 $148.49 $172.16 $169.83 $148.49 Max Pain $143.10 $130.00 $150.00 $140.00 $150.00 ATM IV 43.4% 37.6% 52.3% 45.1% 52.3% Expected Move 16.1% 12.3% 18.7% 12.8% 18.6% HV 20d 79.1% 39.4% 94.9% 92.4% 40.8% HV 60d 70.3% 65.8% 73.9% 73.9% 67.0% IV Rank 14.7% 5.0% 29.8% 17.6% 29.8% IV Percentile 20.7% 4.4% 43.7% 26.6% 43.7% Term Structure 4.9% -1.6% 21.3% -0.2% 21.3% VWIV 57.5% 45.1% 66.6% 47.5% 61.8% Skew 25d 7.7% 6.0% 9.5% 8.6% 7.9% Skew 10d 17.2% 12.8% 22.0% 18.6% 17.7% Call IV 25d 39.5% 35.5% 43.5% 41.1% 40.9% Put IV 25d 47.2% 41.4% 53.0% 49.7% 48.8% Bid-Ask Spread % 27.77 17.63 47.84 42.89 25.94 Gamma HHI 0.14 0.07 0.60 0.35 0.11 Net GEX -3.1M -24.1M 5.7M 5.7M -5.9M Net DEX -140.5M -337.6M 68.0M -337.6M 4.7M Net VEX -1.4M -1.6M -1.2M -1.2M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.53 0.58 2.54 2.54 0.58 Total Volume 8,360.048 3,285 22,123 22,123 12,539 Total OI 78,138.429 71,708 92,919 76,524 81,116
Daily Data (21 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 2019-03-01 $169.83 $140.00 45.1% 12.8% 92.4% 17.6% 47.5% 8.6% -0.2% 5.7M -337.6M -1.2M 2.54 42.89 N/A N/A 6,257 15,866 31,347 45,177 2019-03-04 $165.99 $150.00 46.9% 13.8% 93.7% 20.5% 50.5% 9.0% -0.2% -1.5M -189.3M -1.3M 1.69 47.84 N/A N/A 2,426 4,092 25,771 46,465 2019-03-05 $167.44 $150.00 43.6% 12.9% 93.7% 15.1% 46.1% 8.9% 0.1% -1.1M -208.1M -1.3M 1.07 42.14 N/A N/A 4,453 4,754 26,310 47,660 2019-03-06 $164.12 $150.00 43.2% 12.3% 94.5% 14.5% 45.1% 7.3% -0.2% -1.4M -180.7M -1.4M 1.87 37.97 N/A N/A 1,979 3,695 29,360 49,924 2019-03-07 $162.92 $150.00 45.4% 13.3% 94.9% 18.0% 46.9% 8.0% -0.7% -2.5M -164.1M -1.4M 1.35 36.64 N/A N/A 2,676 3,606 29,392 50,148 2019-03-08 $164.60 $150.00 44.8% 12.5% 93.7% 17.0% 47.2% 9.3% 0.1% -3.7M -183.6M -1.4M 1.92 38.22 N/A N/A 2,288 4,395 30,306 50,911 2019-03-11 $169.95 $130.00 42.1% 16.6% 93.7% 12.5% 61.9% 7.1% 1.6% 650.8K -220.8M -1.3M 0.92 18.75 N/A N/A 4,431 4,084 27,099 47,717 2019-03-12 $171.89 $130.00 40.7% 16.3% 93.3% 10.1% 58.1% 6.6% 1.8% 3.1M -253.0M -1.3M 0.69 22.54 N/A N/A 2,418 1,672 29,202 48,897 2019-03-13 $168.81 $135.00 40.0% 16.4% 94.1% 9.1% 60.8% 6.6% 1.7% 2.9M -219.2M -1.4M 2.05 22.27 N/A N/A 2,403 4,931 30,481 49,808 2019-03-14 $165.62 $135.00 41.4% 16.8% 94.6% 11.3% 62.1% 7.1% 1.6% -4.3M -157.6M -1.4M 1.29 21.32 N/A N/A 5,969 7,700 31,026 53,271 2019-03-15 $165.17 $135.00 38.4% 16.4% 94.7% 6.3% 58.3% 6.0% 1.1% -24.1M -149.4M -1.5M 1.36 22.55 N/A N/A 3,285 4,455 35,122 57,797 2019-03-18 $169.60 $135.00 39.2% 16.6% 94.7% 7.6% 58.0% 7.7% -0.5% -2.0M -154.6M -1.5M 1.75 32.40 N/A N/A 1,193 2,092 28,606 43,102 2019-03-19 $168.39 $140.00 39.5% 16.5% 94.6% 8.1% 57.9% 6.4% -1.1% -2.1M -150.3M -1.5M 2.05 25.86 N/A N/A 1,855 3,798 29,538 44,012 2019-03-20 $171.65 $140.00 37.7% 16.7% 93.6% 5.2% 61.5% 6.3% 0.3% -1.1M -186.9M -1.5M 1.16 20.70 N/A N/A 2,708 3,148 30,358 45,519 2019-03-21 $172.16 $145.00 37.6% 16.5% 93.2% 5.0% 61.9% 6.1% 0.5% 2.4M -202.0M -1.5M 1.52 20.61 N/A N/A 2,111 3,209 32,181 46,311 2019-03-22 $159.12 $145.00 46.8% 18.2% 45.9% 20.4% 64.3% 9.5% -1.6% -6.3M -24.9M -1.5M 1.86 20.67 N/A N/A 3,590 6,681 32,772 46,655 2019-03-25 $161.67 $145.00 46.0% 18.4% 39.6% 19.1% 66.3% 9.0% 18.2% -3.9M -63.7M -1.5M 2.23 17.63 N/A N/A 1,871 4,175 29,952 44,328 2019-03-26 $158.76 $150.00 44.4% 18.0% 39.4% 16.4% 64.2% 8.3% 18.7% -5.1M -31.9M -1.5M 2.50 20.31 N/A N/A 1,072 2,682 30,869 46,327 2019-03-27 $151.24 $150.00 46.0% 18.7% 42.8% 19.0% 66.6% 8.4% 19.8% -6.6M 53.7M -1.4M 1.00 22.41 N/A N/A 4,397 4,399 31,065 46,901 2019-03-28 $149.47 $150.00 49.5% 18.6% 42.4% 25.0% 60.7% 8.6% 19.9% -7.4M 68.0M -1.4M 0.81 23.47 N/A N/A 8,934 7,272 30,645 47,459 2019-03-29 $148.49 $150.00 52.3% 18.6% 40.8% 29.8% 61.8% 7.9% 21.3% -5.9M 4.7M -1.6M 0.58 25.94 N/A N/A 7,940 4,599 37,408 43,708
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