W Options History — January 2020 In January 2020, W traded between $92.60 and $109.97. ATM implied volatility averaged 52.0%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 15.4% (HV 20d: 36.6%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.66.
Notable Days 2020-01-13 : Highest Volume — 26,496 contracts2020-01-27 : Largest IV spike — 22.6% change2020-01-31 : Highest IV Rank — 80.2%2020-01-07 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $101.41 $92.60 $109.97 $92.60 $93.71 Max Pain $99.05 $95.00 $100.00 $95.00 $100.00 ATM IV 52.0% 41.4% 75.9% 47.1% 75.9% Expected Move 14.0% 11.8% 17.1% 13.4% 14.6% HV 20d 36.6% 30.8% 48.8% 44.1% 48.8% HV 60d 61.7% 39.3% 66.9% 66.0% 43.6% IV Rank 31.3% 9.4% 80.2% 21.2% 80.2% IV Percentile 44.0% 6.3% 97.2% 36.9% 97.2% Term Structure 4.6% -3.7% 25.1% -0.1% -3.0% VWIV 48.9% 41.8% 59.1% 48.1% 50.5% Skew 25d 2.8% -0.4% 5.5% 1.7% 4.8% Skew 10d 5.5% 1.1% 10.4% 3.8% 8.3% Call IV 25d 50.6% 41.0% 74.6% 46.1% 74.6% Put IV 25d 53.3% 43.0% 79.4% 47.8% 79.4% Bid-Ask Spread % 41.18 8.05 69.66 14.13 16.01 Gamma HHI 0.09 0.04 0.18 0.05 0.08 Net GEX 531.0K -1.7M 2.1M 558.9K -1.7M Net DEX -10.4M -83.8M 133.1M 19.5M 133.1M Net VEX -1.6M -1.8M -1.3M -1.3M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.66 0.47 4.76 0.79 1.89 Total Volume 8,305.762 2,396 26,496 6,120 18,645 Total OI 103,318.857 84,116 126,110 101,072 100,716
Daily Data (21 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 2020-01-02 $92.60 $95.00 47.1% 13.4% 44.1% 21.2% 48.1% 1.7% -0.1% 558.9K 19.5M -1.3M 0.79 14.13 N/A N/A 3,427 2,693 48,911 52,161 2020-01-03 $93.72 $95.00 46.0% 13.2% 42.7% 18.9% 46.8% 2.5% 0.7% 1.9M 3.8M -1.4M 0.75 18.42 N/A N/A 1,371 1,025 50,653 52,959 2020-01-06 $94.58 $95.00 44.5% 16.3% 41.9% 15.8% 56.9% 2.6% 1.7% -247.8K 6.1M -1.4M 1.20 62.44 N/A N/A 1,242 1,491 49,028 51,477 2020-01-07 $95.57 $95.00 45.4% 17.1% 37.0% 17.6% 59.1% 2.4% 1.4% 278.0K -5.4M -1.4M 3.26 61.63 N/A N/A 1,469 4,787 49,644 52,220 2020-01-08 $95.58 $100.00 44.8% 16.7% 34.7% 16.6% 57.3% 1.4% 1.8% -215.9K 4.8M -1.4M 4.34 64.58 N/A N/A 1,283 5,573 50,316 56,276 2020-01-09 $96.35 $100.00 44.8% 16.1% 34.5% 16.5% 56.6% 3.0% 3.2% 285.9K 524.8K -1.4M 1.48 64.71 N/A N/A 3,281 4,844 50,782 57,346 2020-01-10 $94.90 $100.00 45.9% 15.7% 35.2% 18.8% 55.6% 2.5% 0.5% 1.5M 16.8M -1.4M 4.76 66.15 N/A N/A 2,150 10,244 52,724 59,388 2020-01-13 $101.14 $100.00 47.2% 16.6% 41.2% 21.4% 58.3% 3.4% 10.7% 99.5K -19.8M -1.6M 3.44 61.72 N/A N/A 5,974 20,522 50,504 62,975 2020-01-14 $103.85 $100.00 48.2% 13.4% 41.8% 23.4% 47.9% 1.7% -1.7% -746.1K -23.6M -1.8M 1.33 59.15 N/A N/A 6,037 8,007 52,603 72,292 2020-01-15 $105.86 $100.00 44.6% 12.7% 39.0% 16.0% 44.8% -0.4% -0.1% 239.7K -59.3M -1.7M 2.15 61.96 N/A N/A 3,750 8,072 52,886 72,110 2020-01-16 $105.98 $100.00 43.5% 12.3% 35.1% 13.9% 43.4% 0.6% -1.2% 574.2K -66.0M -1.7M 0.80 69.50 N/A N/A 4,007 3,214 53,057 70,425 2020-01-17 $106.74 $100.00 41.4% 11.8% 34.6% 9.4% 41.8% 2.0% -0.3% 1.1M -83.8M -1.7M 0.47 69.66 N/A N/A 4,005 1,879 55,026 71,084 2020-01-21 $107.69 $100.00 43.3% 12.4% 34.1% 13.4% 43.7% 2.0% 23.7% 1.4M -43.2M -1.7M 0.81 41.16 N/A N/A 3,399 2,760 36,430 47,686 2020-01-22 $109.97 $100.00 44.1% 12.7% 32.3% 15.2% 44.2% 1.8% 23.9% 2.1M -75.9M -1.8M 0.84 40.19 N/A N/A 3,349 2,808 38,646 48,452 2020-01-23 $107.15 $100.00 50.2% 13.0% 30.8% 27.5% 45.1% 2.5% 23.9% 2.0M -35.4M -1.7M 1.68 37.38 N/A N/A 1,819 3,048 39,658 49,980 2020-01-24 $106.40 $100.00 54.9% 12.9% 31.2% 37.1% 44.4% 2.9% 25.1% 1.0M -23.1M -1.7M 1.14 10.85 N/A N/A 1,470 1,682 40,068 50,698 2020-01-27 $104.22 $100.00 67.3% 13.5% 32.7% 62.6% 47.2% 5.1% -3.5% -80.4K 6.1M -1.7M 1.20 11.13 N/A N/A 2,540 3,054 37,720 47,666 2020-01-28 $106.15 $100.00 69.6% 13.3% 32.9% 67.4% 46.0% 5.5% -3.2% 615.3K -15.4M -1.7M 0.75 8.05 N/A N/A 6,706 5,005 39,240 48,531 2020-01-29 $104.01 $100.00 72.0% 12.8% 32.0% 72.2% 44.5% 4.9% -3.2% 361.3K 15.5M -1.8M 0.67 14.26 N/A N/A 1,870 1,251 45,017 52,826 2020-01-30 $103.41 $100.00 72.3% 12.9% 32.1% 72.8% 45.1% 4.9% -3.7% 27.8K 25.7M -1.8M 1.08 11.67 N/A N/A 2,244 2,424 46,189 53,326 2020-01-31 $93.71 $100.00 75.9% 14.6% 48.8% 80.2% 50.5% 4.8% -3.0% -1.7M 133.1M -1.6M 1.89 16.01 N/A N/A 6,454 12,191 46,696 54,020
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