W Options History — November 2019 In November 2019, W traded between $81.63 and $87.57. ATM implied volatility averaged 50.5%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 44.9% (HV 20d: 95.4%). Max pain ranged from $85.00 to $104.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.57.
Notable Days 2019-11-21 : Highest Volume — 14,856 contracts2019-11-22 : Largest IV drop — 7.6% change2019-11-21 : Highest IV Rank — 37.9%2019-11-25 : Largest Expected Move — 16.0%Monthly Statistics Metric Avg Min Max Open Close Price $84.25 $81.63 $87.57 $83.81 $84.37 Max Pain $89.70 $85.00 $104.00 $104.00 $85.00 ATM IV 50.5% 46.1% 55.3% 53.5% 51.0% Expected Move 14.6% 13.4% 16.0% 15.4% 15.2% HV 20d 95.4% 43.1% 102.0% 97.2% 43.1% HV 60d 69.9% 66.3% 73.5% 71.4% 66.4% IV Rank 28.2% 19.1% 37.9% 34.4% 29.1% IV Percentile 40.1% 23.8% 53.2% 45.2% 44.4% Term Structure -0.6% -2.6% 1.1% 1.1% -0.2% VWIV 51.8% 47.3% 56.4% 54.2% 53.4% Skew 25d 2.2% 0.6% 3.2% 0.6% 2.3% Skew 10d 3.8% 1.7% 5.7% 2.0% 2.9% Call IV 25d 49.9% 45.4% 55.6% 53.0% 50.2% Put IV 25d 52.1% 47.9% 57.4% 53.5% 52.5% Bid-Ask Spread % 27.21 13.93 46.00 45.56 13.93 Gamma HHI 0.08 0.05 0.19 0.10 0.06 Net GEX -1.3M -3.7M 2.1M -3.7M -3.0M Net DEX 130.5M 62.7M 279.5M 279.5M 101.0M Net VEX -1.3M -1.4M -1.2M -1.2M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.57 0.50 3.09 1.09 1.73 Total Volume 8,362.05 3,433 14,856 13,916 3,433 Total OI 126,230.45 99,588 164,444 164,444 122,374
Daily Data (20 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 2019-11-01 $83.81 $104.00 53.5% 15.4% 97.2% 34.4% 54.2% 0.6% 1.1% -3.7M 279.5M -1.2M 1.09 45.56 N/A N/A 6,659 7,257 95,394 69,050 2019-11-04 $87.57 $100.00 51.6% 14.6% 99.1% 30.5% 53.5% 2.9% -0.8% 57.7K 150.1M -1.3M 0.65 46.00 N/A N/A 5,423 3,517 75,960 54,017 2019-11-05 $81.63 $100.00 53.6% 15.0% 101.2% 34.4% 52.9% 1.4% 0.1% -1.2M 190.4M -1.2M 0.99 40.60 N/A N/A 4,882 4,819 76,793 54,866 2019-11-06 $83.55 $95.00 50.5% 13.9% 102.0% 28.2% 51.3% 2.9% -1.5% -657.8K 166.8M -1.2M 0.92 37.44 N/A N/A 4,274 3,928 79,239 55,447 2019-11-07 $83.92 $90.00 49.5% 14.4% 102.0% 26.1% 50.6% 1.6% -1.1% -567.2K 148.5M -1.3M 1.09 44.55 N/A N/A 2,227 2,423 81,183 55,945 2019-11-08 $84.29 $90.00 47.7% 13.6% 101.1% 22.4% 48.7% 2.4% -1.3% 2.1M 146.7M -1.3M 0.93 42.85 N/A N/A 2,325 2,172 82,506 57,445 2019-11-11 $82.90 $90.00 46.7% 13.5% 101.1% 20.3% 51.5% 2.9% 0.4% -1.9M 157.7M -1.2M 1.22 42.73 N/A N/A 3,567 4,358 76,865 54,625 2019-11-12 $84.87 $90.00 46.1% 13.4% 100.9% 19.1% 47.3% 2.5% 0.8% -483.9K 132.4M -1.3M 0.50 43.20 N/A N/A 3,898 1,963 78,768 57,083 2019-11-13 $83.47 $90.00 47.4% 13.6% 100.9% 21.8% 47.7% 2.5% 0.0% -1.5M 149.9M -1.2M 0.65 21.60 N/A N/A 2,768 1,791 79,174 57,851 2019-11-14 $83.06 $90.00 47.3% 13.7% 97.5% 21.6% 47.3% 2.9% 0.8% -2.4M 158.1M -1.2M 1.47 17.06 N/A N/A 3,409 5,025 79,790 58,425 2019-11-15 $83.31 $90.00 49.0% 14.0% 97.1% 25.2% 49.6% 2.0% -0.2% -3.4M 148.1M -1.2M 2.93 28.26 N/A N/A 3,225 9,447 82,091 59,084 2019-11-18 $86.60 $85.00 52.0% 14.9% 97.9% 31.3% 51.9% 1.6% -0.9% -727.7K 75.0M -1.3M 1.07 14.69 N/A N/A 5,611 6,024 49,256 50,332 2019-11-19 $83.77 $85.00 52.3% 15.0% 97.8% 31.9% 53.1% 1.5% -1.9% -1.8M 104.3M -1.3M 3.06 15.87 N/A N/A 2,181 6,682 52,749 53,108 2019-11-20 $82.36 $85.00 53.0% 15.2% 97.5% 33.4% 53.4% 2.4% -2.6% -2.1M 115.6M -1.3M 1.80 14.61 N/A N/A 2,902 5,226 53,745 53,493 2019-11-21 $82.39 $85.00 55.3% 15.9% 97.4% 37.9% 56.4% 1.8% -1.8% -2.0M 108.9M -1.3M 3.09 15.96 N/A N/A 3,631 11,225 55,116 54,128 2019-11-22 $84.71 $85.00 51.1% 14.7% 96.9% 29.3% 51.3% 2.8% -1.3% -2.1M 77.6M -1.4M 0.92 15.31 N/A N/A 3,949 3,626 57,404 58,250 2019-11-25 $85.49 $85.00 52.9% 16.0% 94.6% 33.2% 55.4% 3.2% -0.2% -437.7K 70.6M -1.4M 2.55 15.00 N/A N/A 3,003 7,667 54,219 53,977 2019-11-26 $86.28 $85.00 50.3% 15.1% 91.6% 27.8% 53.0% 1.7% -0.9% -712.3K 66.9M -1.4M 1.58 14.00 N/A N/A 2,820 4,459 55,853 60,236 2019-11-27 $86.69 $85.00 49.5% 14.7% 91.6% 26.0% 54.3% 2.2% 0.0% -401.3K 62.7M -1.4M 3.06 14.94 N/A N/A 1,342 4,103 56,905 61,863 2019-11-29 $84.37 $85.00 51.0% 15.2% 43.1% 29.1% 53.4% 2.3% -0.2% -3.0M 101.0M -1.4M 1.73 13.93 N/A N/A 1,257 2,176 57,805 64,569
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