W Options History — September 2019

In September 2019, W traded between $109.03 and $133.70. ATM implied volatility averaged 47.0%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 10.5% (HV 20d: 57.6%). Max pain ranged from $110.00 to $135.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2019-09-20: Highest Volume — 14,545 contracts
  • 2019-09-27: Largest IV spike — 9.6% change
  • 2019-09-30: Highest IV Rank — 35.0%
  • 2019-09-03: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$122.75$109.03$133.70$109.03$112.24
Max Pain$125.35$110.00$135.00$120.00$127.00
ATM IV47.0%41.8%56.8%50.7%56.8%
Expected Move13.3%12.0%14.8%14.8%13.0%
HV 20d57.6%51.4%69.3%55.1%52.5%
HV 60d48.0%43.5%50.0%43.5%48.6%
IV Rank18.0%8.8%35.0%24.4%35.0%
IV Percentile26.7%7.1%50.4%40.5%50.4%
Term Structure3.5%-1.0%15.9%0.3%1.3%
VWIV47.4%42.0%57.4%51.0%45.7%
Skew 25d4.8%3.3%6.4%5.5%6.4%
Skew 10d9.3%7.3%12.3%9.1%12.3%
Call IV 25d44.7%40.4%56.8%48.4%56.8%
Put IV 25d49.5%43.7%63.2%54.0%63.2%
Bid-Ask Spread %25.229.0537.749.0523.70
Gamma HHI0.050.040.110.050.04
Net GEX-549.6K-2.9M2.5M-1.8M-2.7M
Net DEX4.1M-144.6M116.2M116.2M115.9M
Net VEX-1.8M-2.0M-1.6M-1.7M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.572.461.351.32
Total Volume8,474.453,46214,5453,4624,562
Total OI94,170.9581,634105,28488,64086,732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$109.03$120.0050.7%14.8%55.1%24.4%51.0%5.5%0.3%-1.8M116.2M-1.7M1.359.05N/AN/A1,4751,98740,89247,748
2019-09-04$118.47$120.0048.9%13.9%63.4%21.3%48.2%5.1%0.9%-324.7K26.8M-1.8M0.6013.44N/AN/A4,6912,81141,37648,072
2019-09-05$119.35$115.0046.9%13.5%63.4%17.8%48.7%4.2%1.0%250.1K13.0M-1.8M1.4431.19N/AN/A3,3584,83542,97949,335
2019-09-06$117.01$115.0044.9%13.2%63.1%14.3%45.1%4.5%-0.3%-547.6K46.2M-1.8M0.5722.18N/AN/A3,5001,99745,14851,239
2019-09-09$123.54$110.0048.0%13.7%66.4%19.6%47.9%5.1%0.3%791.2K-22.0M-1.9M1.7528.33N/AN/A3,0865,38843,58149,189
2019-09-10$123.81$115.0047.6%13.5%66.3%18.9%48.1%4.8%-0.8%365.3K-23.1M-1.9M0.8526.44N/AN/A4,0633,47344,57851,065
2019-09-11$131.05$115.0046.2%13.4%69.3%16.5%49.8%4.5%0.5%2.2M-109.6M-1.9M1.7728.33N/AN/A2,8084,96244,95352,416
2019-09-12$133.70$115.0044.6%12.9%59.1%13.6%46.5%4.6%0.7%2.5M-144.6M-2.0M0.6629.50N/AN/A5,3983,55645,11154,265
2019-09-13$132.80$115.0043.1%12.4%54.0%11.1%43.6%4.1%0.2%123.4K-134.0M-1.9M1.7133.05N/AN/A2,5854,41246,44855,892
2019-09-16$133.22$135.0045.6%13.2%53.6%15.4%46.5%5.1%-1.0%1.7M-102.7M-1.9M0.7629.50N/AN/A2,6151,98144,21154,754
2019-09-17$133.44$135.0044.2%12.7%53.5%13.1%57.4%4.8%0.4%2.1M-110.1M-1.9M2.1825.69N/AN/A1,7843,89345,31355,671
2019-09-18$131.64$135.0044.5%12.8%54.1%13.6%47.4%4.4%-0.7%1.2M-82.6M-1.9M0.6534.92N/AN/A5,2093,38745,98455,190
2019-09-19$128.26$135.0041.8%12.0%55.2%8.8%42.0%3.3%0.1%-2.2M-31.1M-1.8M1.6635.45N/AN/A3,3785,62246,62255,897
2019-09-20$123.05$135.0044.8%12.9%57.2%14.1%45.7%4.3%-0.1%-2.7M67.6M-1.8M2.1437.74N/AN/A4,6269,91947,36057,924
2019-09-23$118.46$135.0046.6%13.4%53.9%17.2%47.1%4.8%10.7%-1.9M83.3M-1.7M2.4618.79N/AN/A3,7149,12235,06146,573
2019-09-24$116.40$135.0047.2%13.9%53.6%18.3%47.9%5.0%15.9%-2.9M104.4M-1.6M1.3218.16N/AN/A5,7777,65236,30249,092
2019-09-25$118.75$135.0046.0%13.4%53.9%16.1%45.6%3.9%11.9%-2.3M73.2M-1.7M1.2120.26N/AN/A4,1254,99737,48349,895
2019-09-26$117.12$130.0048.8%13.2%51.4%21.0%46.2%4.7%12.3%-2.5M85.5M-1.7M1.2019.84N/AN/A3,9124,69438,60250,354
2019-09-27$113.74$130.0053.4%13.9%52.6%29.2%48.2%6.4%15.8%-2.4M109.5M-1.7M1.6418.85N/AN/A5,3628,77339,88750,225
2019-09-30$112.24$127.0056.8%13.0%52.5%35.0%45.7%6.4%1.3%-2.7M115.9M-1.6M1.3223.70N/AN/A1,9672,59538,03648,696