W Options History — December 2019

In December 2019, W traded between $79.81 and $91.79. ATM implied volatility averaged 45.5%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 5.7% (HV 20d: 39.7%). Max pain ranged from $85.00 to $105.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2019-12-04: Highest Volume — 19,635 contracts
  • 2019-12-06: Largest IV drop — 4.0% change
  • 2019-12-03: Highest IV Rank — 28.9%
  • 2019-12-03: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.82$79.81$91.79$83.25$90.85
Max Pain$98.81$85.00$105.00$85.00$95.00
ATM IV45.5%42.3%50.8%49.6%45.5%
Expected Move13.4%12.3%15.4%15.0%13.0%
HV 20d39.7%29.7%44.0%42.1%43.9%
HV 60d65.8%63.9%67.1%66.3%66.0%
IV Rank17.9%11.4%28.9%26.3%17.9%
IV Percentile22.0%9.1%44.8%40.9%26.2%
Term Structure0.8%-1.1%2.1%0.8%1.5%
VWIV47.2%43.1%54.3%53.3%47.0%
Skew 25d1.8%0.5%3.3%2.1%2.6%
Skew 10d3.5%0.2%6.7%5.2%5.2%
Call IV 25d44.9%41.5%49.8%48.8%45.1%
Put IV 25d46.8%43.4%52.9%50.9%47.8%
Bid-Ask Spread %14.6810.2323.6111.1810.23
Gamma HHI0.090.040.490.070.05
Net GEX-761.1K-9.5M9.4M-3.1M-565.9K
Net DEX71.4M16.2M182.1M117.6M42.5M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.395.331.491.26
Total Volume6,860.6191,89519,6358,4981,895
Total OI114,076.66796,296131,200118,104100,146

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$83.25$85.0049.6%15.0%42.1%26.3%53.3%2.1%0.8%-3.1M117.6M-1.3M1.4911.18N/AN/A3,4175,08155,42662,678
2019-12-03$82.94$85.0050.8%15.4%38.7%28.9%54.3%3.1%0.6%-3.0M115.9M-1.3M0.9012.65N/AN/A3,2062,87357,00762,991
2019-12-04$80.99$85.0049.2%14.9%30.6%25.4%52.7%3.3%0.8%-4.5M146.8M-1.2M2.7410.80N/AN/A5,25614,37957,50463,563
2019-12-05$79.81$105.0048.0%14.2%29.7%23.1%48.8%2.5%1.4%-9.5M182.1M-1.2M1.1419.18N/AN/A6,8017,72561,51069,471
2019-12-06$84.85$105.0046.1%13.8%37.3%19.2%48.9%1.6%1.8%9.4M51.4M-1.3M1.3817.77N/AN/A6,5679,06862,76768,433
2019-12-09$88.38$105.0046.5%13.9%39.9%20.0%48.9%1.1%1.7%136.8K35.7M-1.4M1.5615.01N/AN/A3,5205,47555,34358,974
2019-12-10$87.89$105.0045.6%13.6%39.4%18.0%47.4%1.7%1.8%109.5K43.9M-1.4M0.8116.42N/AN/A2,5812,10356,60360,136
2019-12-11$88.06$105.0044.5%13.3%38.6%15.8%48.3%1.8%1.7%459.4K41.5M-1.4M2.7619.56N/AN/A7352,03057,81961,000
2019-12-12$88.95$105.0045.1%13.4%38.1%17.1%46.9%0.8%2.1%1.3M27.2M-1.4M0.8015.28N/AN/A2,5132,01258,15360,780
2019-12-13$89.69$105.0043.6%12.8%38.0%14.1%46.2%1.4%1.5%2.8M16.2M-1.4M5.3323.61N/AN/A1,94410,35258,86560,698
2019-12-16$86.72$105.0044.6%12.9%40.3%16.1%45.4%1.4%-0.4%-1.2M76.6M-1.3M0.7015.64N/AN/A2,6991,87856,42559,162
2019-12-17$83.58$105.0044.7%12.9%40.1%16.3%45.0%1.3%-0.3%-3.0M118.3M-1.2M1.5813.77N/AN/A1,6022,53356,04159,637
2019-12-18$85.92$100.0044.3%12.7%39.6%15.4%44.4%1.9%-1.1%-2.0M84.0M-1.3M0.7313.31N/AN/A1,26592656,99660,316
2019-12-19$85.43$100.0044.4%12.8%39.1%15.6%44.6%0.9%-0.9%-2.4M87.8M-1.3M1.0014.05N/AN/A2,3782,38257,34960,313
2019-12-20$83.88$100.0043.5%12.5%39.7%13.9%44.2%0.5%-0.3%-1.3M117.0M-1.2M0.8215.26N/AN/A2,6562,18058,29460,997
2019-12-23$88.85$100.0042.3%12.3%43.6%11.4%43.1%2.0%1.5%-600.6K58.4M-1.3M0.9412.26N/AN/A3,2153,02246,62149,675
2019-12-24$90.41$95.0043.5%12.7%43.9%13.9%44.8%3.0%0.5%154.6K38.3M-1.3M0.3914.26N/AN/A2,52797448,12751,579
2019-12-26$91.69$95.0043.5%12.7%44.0%13.9%44.9%2.1%1.1%1.4M18.9M-1.3M0.9412.77N/AN/A3,8223,58949,21251,986
2019-12-27$91.79$95.0044.4%12.9%44.0%15.7%45.3%1.4%1.0%534.2K21.2M-1.4M0.5414.24N/AN/A2,5301,37250,45853,184
2019-12-30$89.31$95.0045.4%13.1%44.0%17.6%46.5%2.3%1.2%-1.2M57.8M-1.3M1.0711.10N/AN/A1,4451,54547,98451,387
2019-12-31$90.85$95.0045.5%13.0%43.9%17.9%47.0%2.6%1.5%-565.9K42.5M-1.3M1.2610.23N/AN/A8401,05548,46851,678