W Options History — August 2019 In August 2019, W traded between $106.96 and $130.57. ATM implied volatility averaged 49.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 5.2% (HV 20d: 43.8%). Max pain ranged from $120.00 to $150.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.24.
Notable Days 2019-08-01 : Highest Volume — 23,110 contracts2019-08-14 : Largest IV spike — 11.2% change2019-08-05 : Highest IV Rank — 31.0%2019-08-05 : Largest Expected Move — 15.2%Monthly Statistics Metric Avg Min Max Open Close Price $117.23 $106.96 $130.57 $130.57 $112.19 Max Pain $126.09 $120.00 $150.00 $150.00 $120.00 ATM IV 49.0% 44.5% 54.5% 47.9% 47.6% Expected Move 14.1% 12.8% 15.2% 15.0% 13.5% HV 20d 43.8% 32.7% 55.7% 38.3% 55.4% HV 60d 41.4% 37.3% 45.3% 39.6% 43.3% IV Rank 21.3% 13.5% 31.0% 19.5% 19.0% IV Percentile 37.1% 18.7% 48.4% 39.3% 32.9% Term Structure 0.0% -1.1% 0.9% -1.1% -0.1% VWIV 49.3% 44.4% 52.5% 52.4% 47.0% Skew 25d 4.6% 3.6% 5.4% 3.9% 4.1% Skew 10d 9.2% 7.4% 10.9% 9.9% 9.4% Call IV 25d 47.1% 42.8% 52.2% 46.8% 45.8% Put IV 25d 51.7% 46.8% 57.0% 50.8% 49.9% Bid-Ask Spread % 21.57 9.68 33.22 26.93 12.47 Gamma HHI 0.09 0.05 0.59 0.07 0.07 Net GEX -2.5M -12.7M -613.9K -3.0M -613.9K Net DEX 105.3M 49.7M 212.2M 71.6M 88.8M Net VEX -1.8M -2.0M -1.5M -2.0M -1.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.23 2.35 0.73 1.07 Total Volume 5,976.818 1,821 23,110 23,110 2,578 Total OI 93,822.409 79,087 111,735 105,169 92,051
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 2019-08-01 $130.57 $150.00 47.9% 15.0% 38.3% 19.5% 52.4% 3.9% -1.1% -3.0M 71.6M -2.0M 0.73 26.93 N/A N/A 13,391 9,719 49,105 56,064 2019-08-02 $127.33 $145.00 49.4% 14.8% 37.8% 22.0% 52.5% 5.0% -0.2% -4.0M 105.7M -2.0M 1.00 26.86 N/A N/A 6,994 6,984 53,996 57,739 2019-08-05 $123.06 $130.00 54.5% 15.2% 38.2% 31.0% 52.5% 4.8% -0.2% -1.8M 107.3M -1.9M 0.71 33.22 N/A N/A 2,992 2,139 44,678 52,115 2019-08-06 $121.80 $130.00 52.4% 14.9% 33.6% 27.3% 51.8% 3.8% 0.2% -2.3M 120.3M -1.8M 1.09 31.43 N/A N/A 2,340 2,548 44,803 52,483 2019-08-07 $122.69 $120.00 51.2% 14.7% 32.7% 25.3% 52.5% 4.3% -0.2% -2.1M 111.7M -1.9M 1.40 30.25 N/A N/A 758 1,063 46,069 52,701 2019-08-08 $125.38 $120.00 46.8% 13.8% 34.3% 17.6% 47.7% 3.6% 0.4% -1.9M 89.5M -1.9M 2.35 30.36 N/A N/A 1,548 3,639 46,208 52,836 2019-08-09 $125.07 $120.00 46.6% 13.7% 34.3% 17.2% 48.3% 4.9% 0.2% -2.9M 91.3M -1.9M 2.28 33.08 N/A N/A 1,441 3,289 47,062 54,115 2019-08-12 $123.76 $125.00 49.1% 14.3% 33.7% 21.5% 50.8% 4.6% 0.6% -2.4M 98.1M -1.9M 0.23 27.77 N/A N/A 3,530 800 44,583 53,973 2019-08-13 $124.72 $125.00 47.2% 13.7% 34.3% 18.2% 47.7% 3.9% 0.9% -2.3M 89.5M -1.9M 1.88 29.17 N/A N/A 1,204 2,266 44,509 54,225 2019-08-14 $113.42 $125.00 52.5% 15.0% 44.5% 27.4% 51.0% 5.1% 0.7% -3.0M 184.0M -1.7M 1.61 28.34 N/A N/A 3,063 4,925 45,132 55,007 2019-08-15 $106.96 $125.00 52.7% 15.2% 44.3% 27.9% 51.8% 5.2% 0.2% -3.2M 212.2M -1.5M 1.30 21.51 N/A N/A 5,720 7,426 45,793 54,712 2019-08-16 $110.09 $125.00 47.5% 13.6% 45.7% 18.7% 48.0% 4.1% 0.2% -12.7M 153.6M -1.6M 1.40 20.33 N/A N/A 1,318 1,851 48,585 53,131 2019-08-19 $112.35 $125.00 46.1% 13.3% 47.3% 16.4% 47.5% 4.5% 0.3% -1.3M 82.3M -1.6M 2.01 14.88 N/A N/A 1,526 3,061 37,024 42,063 2019-08-20 $113.03 $125.00 46.7% 13.4% 47.6% 17.3% 45.8% 4.5% -0.9% -1.3M 80.8M -1.7M 1.15 15.79 N/A N/A 1,033 1,193 37,898 43,646 2019-08-21 $115.01 $125.00 44.5% 12.8% 48.5% 13.5% 44.4% 4.0% -0.3% -1.1M 69.6M -1.7M 1.58 16.21 N/A N/A 1,590 2,507 37,951 43,843 2019-08-22 $117.69 $125.00 45.2% 13.0% 48.1% 14.7% 45.6% 4.4% -0.7% -743.3K 49.7M -1.8M 0.59 15.63 N/A N/A 3,327 1,975 38,616 45,447 2019-08-23 $110.41 $125.00 49.7% 14.2% 51.2% 22.6% 50.2% 5.3% 0.9% -2.0M 112.7M -1.7M 1.67 12.80 N/A N/A 1,947 3,242 39,692 46,410 2019-08-26 $107.99 $125.00 50.4% 14.7% 51.1% 23.9% 50.1% 5.4% 0.2% -2.0M 122.8M -1.6M 1.39 11.85 N/A N/A 1,359 1,884 38,131 45,965 2019-08-27 $107.93 $124.00 50.8% 14.5% 51.2% 24.5% 49.5% 5.1% -0.0% -2.2M 127.5M -1.6M 0.43 9.68 N/A N/A 2,346 1,009 38,937 47,534 2019-08-28 $113.52 $120.00 50.7% 14.6% 55.6% 24.4% 51.1% 4.8% 0.0% -1.2M 77.8M -1.8M 0.66 12.82 N/A N/A 4,152 2,744 40,178 47,834 2019-08-29 $114.01 $120.00 48.0% 13.4% 55.7% 19.7% 46.9% 5.2% -0.8% -990.4K 70.5M -1.8M 0.84 13.26 N/A N/A 1,669 1,400 42,082 49,167 2019-08-30 $112.19 $120.00 47.6% 13.5% 55.4% 19.0% 47.0% 4.1% -0.1% -613.9K 88.8M -1.7M 1.07 12.47 N/A N/A 1,243 1,335 42,553 49,498
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