W Options History — July 2019 In July 2019, W traded between $131.06 and $152.56. ATM implied volatility averaged 65.6%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 26.8% (HV 20d: 38.8%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.64.
Notable Days 2019-07-18 : Highest Volume — 20,846 contracts2019-07-03 : Largest IV spike — 6.3% change2019-07-31 : Highest IV Rank — 58.8%2019-07-31 : Largest Expected Move — 24.9%Monthly Statistics Metric Avg Min Max Open Close Price $143.50 $131.06 $152.56 $143.50 $131.06 Max Pain $146.14 $140.00 $155.00 $155.00 $150.00 ATM IV 65.6% 58.9% 70.4% 58.9% 70.4% Expected Move 18.5% 10.7% 24.9% 11.7% 24.9% HV 20d 38.8% 34.3% 42.4% 42.4% 38.3% HV 60d 42.8% 40.8% 44.5% 41.9% 40.8% IV Rank 50.3% 38.7% 58.8% 38.7% 58.8% IV Percentile 70.8% 54.8% 86.1% 54.8% 86.1% Term Structure -3.6% -4.6% 0.3% 0.3% -4.5% VWIV 65.1% 36.9% 85.1% 40.1% 85.1% Skew 25d 7.7% 4.6% 9.2% 7.7% 4.6% Skew 10d 15.9% 9.1% 18.7% 17.0% 11.2% Call IV 25d 62.1% 59.1% 68.1% 59.1% 68.1% Put IV 25d 69.8% 66.7% 73.1% 66.7% 72.6% Bid-Ask Spread % 21.84 16.71 26.28 25.93 23.29 Gamma HHI 0.07 0.04 0.12 0.06 0.05 Net GEX 962.9K -3.3M 7.3M 592.0K -1.1M Net DEX -52.2M -132.4M 45.5M -46.9M 45.5M Net VEX -2.3M -2.4M -2.1M -2.3M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.64 0.57 3.84 0.89 0.57 Total Volume 6,315.409 2,413 20,846 3,021 20,436 Total OI 94,011.682 84,895 101,633 92,349 94,179
Daily Data (22 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 2019-07-01 $143.50 $155.00 58.9% 11.7% 42.4% 38.7% 40.1% 7.7% 0.3% 592.0K -46.9M -2.3M 0.89 25.93 N/A N/A 1,600 1,421 47,333 45,016 2019-07-02 $142.75 $155.00 60.9% 10.7% 41.9% 42.2% 36.9% 8.1% -3.1% -864.4K -29.7M -2.3M 1.20 26.28 N/A N/A 2,119 2,538 47,815 45,907 2019-07-03 $142.40 $155.00 64.8% 10.8% 34.9% 48.9% 37.6% 7.9% -4.2% -1.0M -27.8M -2.3M 1.40 24.09 N/A N/A 1,597 2,240 48,936 47,021 2019-07-05 $145.34 $140.00 65.6% 17.2% 35.9% 50.3% 60.6% 8.9% -3.6% -927.8K -65.2M -2.3M 1.53 22.61 N/A N/A 1,869 2,852 49,152 46,969 2019-07-08 $141.13 $140.00 65.3% 17.6% 37.0% 49.9% 61.0% 8.8% -3.4% -387.6K -20.8M -2.2M 1.82 24.11 N/A N/A 1,459 2,658 47,952 45,840 2019-07-09 $147.19 $140.00 65.2% 17.6% 40.3% 49.6% 62.4% 8.3% -3.3% 2.3M -85.1M -2.3M 1.98 20.80 N/A N/A 1,585 3,131 48,466 46,866 2019-07-10 $149.72 $140.00 65.1% 17.6% 40.5% 49.5% 63.6% 8.7% -3.8% 4.1M -113.5M -2.4M 1.16 25.06 N/A N/A 1,703 1,979 48,813 48,634 2019-07-11 $150.35 $140.00 65.5% 17.9% 40.4% 50.1% 65.4% 8.2% -3.7% 4.9M -125.1M -2.4M 0.90 22.81 N/A N/A 3,137 2,828 49,521 49,142 2019-07-12 $150.06 $140.00 65.1% 17.8% 39.8% 49.6% 63.8% 8.3% -4.5% 7.3M -118.4M -2.4M 1.62 18.97 N/A N/A 1,504 2,441 49,879 50,023 2019-07-15 $151.15 $140.00 65.6% 18.4% 39.5% 50.3% 66.1% 9.2% -3.9% 4.4M -119.2M -2.3M 3.84 21.21 N/A N/A 938 3,598 47,753 48,185 2019-07-16 $150.08 $140.00 64.3% 18.3% 39.3% 48.1% 66.2% 8.5% -3.7% 3.6M -101.9M -2.3M 1.48 21.59 N/A N/A 974 1,439 48,244 47,789 2019-07-17 $152.56 $140.00 63.8% 18.3% 39.6% 47.3% 62.1% 8.3% -3.3% 5.2M -132.4M -2.3M 1.21 21.56 N/A N/A 1,667 2,022 48,412 48,240 2019-07-18 $143.60 $140.00 66.8% 19.3% 42.1% 52.5% 67.0% 8.5% -4.6% -1.2M -13.3M -2.2M 1.30 23.80 N/A N/A 9,063 11,783 48,716 48,945 2019-07-19 $145.78 $150.00 65.3% 19.0% 38.4% 49.8% 66.2% 9.0% -3.2% 156.2K -81.6M -2.3M 1.76 26.11 N/A N/A 3,214 5,660 51,275 50,358 2019-07-22 $144.71 $150.00 64.9% 19.7% 38.4% 49.1% 69.9% 7.9% -2.7% 1.2M -78.8M -2.3M 2.60 17.13 N/A N/A 1,022 2,657 38,876 46,019 2019-07-23 $144.57 $150.00 66.1% 20.3% 38.4% 51.2% 72.9% 7.7% -3.8% 643.6K -76.7M -2.3M 2.25 16.71 N/A N/A 1,366 3,070 39,339 47,694 2019-07-24 $141.29 $150.00 66.7% 21.0% 34.3% 52.3% 73.3% 8.5% -4.3% -974.8K -37.8M -2.2M 1.72 18.28 N/A N/A 1,616 2,782 39,811 48,917 2019-07-25 $135.14 $150.00 66.4% 20.7% 37.3% 51.8% 72.3% 6.5% -3.9% -3.3M 28.4M -2.1M 2.40 22.38 N/A N/A 2,245 5,380 40,237 49,948 2019-07-26 $137.68 $150.00 66.5% 21.1% 37.8% 51.9% 74.2% 5.0% -4.1% -2.0M 6.2M -2.2M 1.93 19.25 N/A N/A 2,390 4,618 40,687 51,848 2019-07-29 $134.41 $150.00 69.6% 23.5% 38.5% 57.4% 82.2% 5.4% -4.5% -518.0K 14.2M -2.1M 0.97 18.32 N/A N/A 3,366 3,278 38,921 48,909 2019-07-30 $132.58 $150.00 69.6% 24.0% 38.2% 57.4% 83.0% 5.6% -4.3% -817.4K 31.1M -2.1M 1.47 20.10 N/A N/A 2,301 3,393 40,560 51,110 2019-07-31 $131.06 $150.00 70.4% 24.9% 38.3% 58.8% 85.1% 4.6% -4.5% -1.1M 45.5M -2.1M 0.57 23.29 N/A N/A 12,987 7,449 41,502 52,677
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