W Options History — October 2019 In October 2019, W traded between $81.35 and $118.52. ATM implied volatility averaged 72.0%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 25.3% (HV 20d: 46.7%). Max pain ranged from $105.00 to $126.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.33.
Notable Days 2019-10-29 : Highest Volume — 57,819 contracts2019-10-31 : Largest IV drop — 37.4% change2019-10-30 : Highest IV Rank — 92.7%2019-10-30 : Largest Expected Move — 31.2%Monthly Statistics Metric Avg Min Max Open Close Price $107.07 $81.35 $118.52 $105.61 $81.35 Max Pain $115.96 $105.00 $126.00 $126.00 $105.00 ATM IV 72.0% 52.4% 85.6% 65.7% 52.4% Expected Move 21.1% 14.5% 31.2% 14.5% 15.2% HV 20d 46.7% 33.8% 96.2% 55.9% 96.2% HV 60d 50.9% 48.0% 71.2% 49.7% 71.2% IV Rank 62.2% 32.1% 92.7% 50.5% 32.1% IV Percentile 87.5% 43.3% 99.2% 74.2% 43.3% Term Structure -3.8% -6.5% 2.1% -3.0% 2.1% VWIV 72.9% 50.0% 106.8% 50.0% 54.5% Skew 25d 8.9% 1.9% 11.0% 8.4% 1.9% Skew 10d 17.0% 3.3% 20.9% 15.6% 3.3% Call IV 25d 67.4% 51.4% 81.2% 63.4% 51.4% Put IV 25d 76.3% 53.3% 88.4% 71.7% 53.3% Bid-Ask Spread % 25.98 14.36 42.66 30.66 27.60 Gamma HHI 0.05 0.04 0.08 0.05 0.08 Net GEX -1.3M -4.5M 1.3M -2.8M -4.5M Net DEX 87.5M -69.7M 355.8M 165.1M 355.8M Net VEX -1.6M -2.0M -906.8K -1.5M -906.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.33 0.51 2.95 2.95 0.94 Total Volume 13,079.957 3,639 57,819 14,159 42,723 Total OI 99,951.261 86,597 150,358 87,826 150,358
Daily Data (23 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 2019-10-01 $105.61 $126.00 65.7% 14.5% 55.9% 50.5% 50.0% 8.4% -3.0% -2.8M 165.1M -1.5M 2.95 30.66 N/A N/A 3,582 10,577 38,573 49,253 2019-10-02 $103.16 $125.00 69.4% 14.9% 46.6% 57.0% 53.0% 9.7% -3.1% -3.1M 181.5M -1.4M 2.08 37.28 N/A N/A 3,876 8,052 39,821 50,785 2019-10-03 $105.82 $115.00 69.3% 18.4% 47.7% 56.7% 65.3% 10.1% -3.5% -3.1M 142.0M -1.5M 1.45 22.64 N/A N/A 3,661 5,323 41,162 50,359 2019-10-04 $106.31 $115.00 68.3% 18.4% 47.6% 55.1% 63.1% 10.5% -3.3% -2.7M 134.3M -1.5M 1.92 24.25 N/A N/A 2,424 4,663 42,519 51,241 2019-10-07 $103.99 $115.00 70.4% 18.8% 42.4% 58.7% 64.6% 9.9% -3.9% -2.1M 125.5M -1.5M 1.55 26.40 N/A N/A 2,101 3,264 39,242 47,355 2019-10-08 $104.97 $115.00 73.3% 19.7% 42.8% 63.8% 65.9% 11.0% -4.0% -2.1M 117.0M -1.5M 1.93 28.69 N/A N/A 2,734 5,270 40,269 48,390 2019-10-09 $104.53 $115.00 71.4% 19.3% 35.3% 60.4% 67.3% 10.3% -3.8% -2.5M 118.1M -1.5M 1.24 26.93 N/A N/A 1,747 2,171 41,110 49,063 2019-10-10 $104.94 $115.00 69.6% 19.1% 33.8% 57.3% 64.6% 10.1% -3.5% -2.0M 114.3M -1.5M 0.79 28.79 N/A N/A 4,360 3,463 41,790 49,162 2019-10-11 $107.90 $115.00 65.9% 18.3% 36.6% 50.8% 61.5% 9.2% -3.3% 113.3K 70.1M -1.5M 0.84 42.66 N/A N/A 5,032 4,238 44,285 49,583 2019-10-14 $106.52 $115.00 67.5% 19.0% 36.3% 53.7% 63.0% 8.4% -3.5% -995.2K 87.2M -1.5M 0.76 33.40 N/A N/A 3,369 2,550 41,371 46,598 2019-10-15 $109.52 $115.00 66.7% 18.9% 38.6% 52.3% 66.0% 9.0% -3.2% -355.1K 53.2M -1.5M 1.30 32.74 N/A N/A 3,342 4,333 42,359 46,856 2019-10-16 $108.09 $115.00 67.8% 19.4% 38.6% 54.1% 66.8% 10.2% -1.9% -809.5K 69.6M -1.6M 2.77 30.44 N/A N/A 2,592 7,174 44,049 49,607 2019-10-17 $114.56 $115.00 70.6% 20.4% 45.0% 59.1% 71.4% 9.4% -4.4% -471.3K -5.4M -1.7M 0.89 29.95 N/A N/A 6,886 6,109 44,975 54,660 2019-10-18 $109.46 $115.00 74.6% 21.8% 45.4% 66.0% 74.2% 10.0% -4.0% -2.0M 59.7M -1.8M 1.70 32.18 N/A N/A 3,617 6,157 50,157 55,758 2019-10-21 $112.31 $120.00 76.1% 23.0% 45.1% 68.8% 80.7% 9.1% -5.1% -268.1K 27.0M -1.9M 0.65 19.15 N/A N/A 2,623 1,702 45,095 52,047 2019-10-22 $113.25 $120.00 77.5% 23.9% 44.9% 71.1% 84.6% 9.5% -5.2% -187.9K 15.0M -1.9M 0.84 17.65 N/A N/A 3,273 2,751 45,794 53,083 2019-10-23 $113.90 $120.00 75.7% 23.6% 44.3% 68.0% 82.2% 8.7% -5.6% 274.7K 6.0M -1.9M 0.68 18.38 N/A N/A 2,160 1,479 48,013 54,660 2019-10-24 $114.39 $120.00 76.3% 24.2% 44.1% 69.0% 86.1% 8.8% -4.8% 1.2M -4.9M -1.9M 1.38 17.36 N/A N/A 2,625 3,632 49,352 55,506 2019-10-25 $118.52 $115.00 78.4% 25.3% 44.6% 72.8% 88.1% 7.8% -6.5% 1.3M -69.7M -2.0M 0.85 17.09 N/A N/A 8,441 7,163 50,258 57,663 2019-10-28 $109.85 $115.00 79.2% 26.9% 52.3% 74.2% 94.6% 7.3% -3.7% -743.4K 53.2M -1.8M 1.88 18.76 N/A N/A 4,332 8,129 50,862 54,855 2019-10-29 $101.54 $115.00 85.6% 30.5% 55.3% 85.2% 103.2% 5.9% -4.4% -1.5M 119.3M -1.7M 0.51 14.36 N/A N/A 38,322 19,497 52,940 56,325 2019-10-30 $102.02 $106.00 83.7% 31.2% 54.8% 92.7% 106.8% 8.4% -5.8% 437.1K 79.1M -1.7M 0.59 20.26 N/A N/A 18,495 10,825 70,076 61,640 2019-10-31 $81.35 $105.00 52.4% 15.2% 96.2% 32.1% 54.5% 1.9% 2.1% -4.5M 355.8M -906.8K 0.94 27.60 N/A N/A 22,067 20,656 82,207 68,151
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