W Options History — June 2019

In June 2019, W traded between $141.28 and $162.58. ATM implied volatility averaged 44.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 2.9% (HV 20d: 41.3%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.19.

Notable Days

  • 2019-06-20: Highest Volume — 17,302 contracts
  • 2019-06-20: Largest IV spike — 18.2% change
  • 2019-06-28: Highest IV Rank — 24.4%
  • 2019-06-03: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$153.02$141.28$162.58$141.28$146.48
Max Pain$151.00$145.00$155.00$150.00$155.00
ATM IV44.1%38.5%50.7%48.2%50.7%
Expected Move12.6%11.0%14.1%14.1%12.6%
HV 20d41.3%37.3%45.8%44.1%42.1%
HV 60d42.7%40.5%43.9%42.3%41.8%
IV Rank12.9%3.1%24.4%20.0%24.4%
IV Percentile21.0%1.6%42.5%36.9%42.5%
Term Structure4.5%-1.0%18.7%-0.4%18.7%
VWIV44.3%40.0%48.7%48.0%44.0%
Skew 25d6.4%5.6%7.4%7.4%5.8%
Skew 10d13.2%10.5%16.2%15.9%10.9%
Call IV 25d40.8%36.3%44.9%44.9%41.3%
Put IV 25d47.2%42.6%52.4%52.4%47.0%
Bid-Ask Spread %25.2515.5333.5626.1625.12
Gamma HHI0.060.040.100.040.06
Net GEX4.2M-549.5K9.1M185.6K1.8M
Net DEX-159.1M-286.9M-40.6M-56.1M-82.1M
Net VEX-2.3M-2.5M-2.0M-2.0M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.492.691.591.17
Total Volume6,983.951,89517,3022,0894,836
Total OI82,747.2568,75697,36568,75697,365

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$141.28$150.0048.2%14.1%44.1%20.0%48.0%7.4%-0.4%185.6K-56.1M-2.0M1.5926.16N/AN/A8081,28132,76935,987
2019-06-04$143.97$150.0044.8%12.9%43.8%14.1%43.6%6.8%-0.2%402.1K-77.0M-2.0M1.2119.56N/AN/A1,5931,92033,26836,811
2019-06-05$153.12$150.0044.7%13.1%45.8%13.9%48.7%7.3%-0.2%3.1M-159.3M-2.1M0.7515.53N/AN/A6,2934,70033,89237,392
2019-06-06$153.03$145.0044.0%12.4%44.7%12.7%45.1%6.8%0.0%3.2M-173.0M-2.2M0.9921.77N/AN/A4,0494,00537,05739,478
2019-06-07$154.09$145.0042.8%12.3%44.5%10.5%45.2%6.1%-0.3%4.1M-187.1M-2.2M0.4919.74N/AN/A6,6333,26037,26438,981
2019-06-10$155.44$145.0043.5%12.6%44.0%11.8%45.2%6.7%0.3%4.9M-191.8M-2.2M0.5521.74N/AN/A3,7402,05737,61437,701
2019-06-11$157.39$145.0043.2%12.7%38.2%11.2%45.0%6.3%1.2%6.2M-219.5M-2.3M0.6821.06N/AN/A3,5232,40140,28139,190
2019-06-12$158.96$150.0041.9%12.1%37.4%8.9%43.4%6.1%0.5%6.9M-234.3M-2.3M0.8026.78N/AN/A3,1762,52641,10940,451
2019-06-13$161.47$150.0041.2%12.0%37.3%7.8%43.1%6.2%0.8%7.8M-262.7M-2.3M1.2228.39N/AN/A1,8152,21841,59341,348
2019-06-14$158.25$150.0040.3%11.5%37.8%6.1%41.7%5.9%-0.1%6.4M-221.1M-2.3M1.2431.19N/AN/A2,7063,36841,94542,041
2019-06-17$159.32$150.0040.5%11.6%37.4%6.5%40.0%5.9%1.0%7.1M-229.4M-2.3M2.6026.74N/AN/A5271,36841,43441,244
2019-06-18$156.65$150.0042.1%12.1%37.7%9.4%42.3%6.3%-1.0%6.7M-193.2M-2.3M1.0832.16N/AN/A7,0677,61041,80042,345
2019-06-19$162.58$155.0038.5%11.0%39.7%3.1%40.1%6.3%2.1%9.1M-286.9M-2.5M2.6929.62N/AN/A2,1165,68645,83048,068
2019-06-20$153.81$155.0045.5%13.1%44.8%15.3%47.6%6.8%0.2%6.4M-163.0M-2.4M1.6030.39N/AN/A6,64710,65546,35245,618
2019-06-21$153.86$155.0044.2%12.7%38.7%13.0%45.6%6.3%0.2%7.8M-170.4M-2.4M2.1033.56N/AN/A3,2436,80148,50647,008
2019-06-24$152.68$155.0044.9%13.0%38.9%14.3%47.5%6.7%16.4%2.8M-119.4M-2.4M0.9927.24N/AN/A1,0971,08740,30743,148
2019-06-25$144.66$155.0047.7%13.9%43.8%19.2%43.3%7.2%16.6%-131.4K-40.6M-2.3M0.7822.77N/AN/A3,9783,08840,61643,742
2019-06-26$145.91$155.0046.1%13.4%43.0%16.4%41.2%6.3%18.0%-549.5K-50.1M-2.3M0.6323.18N/AN/A3,8182,39241,35045,614
2019-06-27$147.40$155.0047.8%12.7%42.2%19.3%44.8%5.6%17.2%-470.4K-64.1M-2.4M0.7522.37N/AN/A3,1932,39841,79446,632
2019-06-28$146.48$155.0050.7%12.6%42.1%24.4%44.0%5.8%18.7%1.8M-82.1M-2.4M1.1725.12N/AN/A2,2322,60450,37046,995