W Options History — February 2020

In February 2020, W traded between $60.91 and $100.77. ATM implied volatility averaged 82.5%, placing in the 84.6% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded above realized volatility by 21.6% (HV 20d: 60.9%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.72.

Notable Days

  • 2020-02-13: Highest Volume — 33,557 contracts
  • 2020-02-28: Largest IV drop — 13.7% change
  • 2020-02-21: Highest IV Rank — 100.0%
  • 2020-02-27: Largest Expected Move — 33.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.54$60.91$100.77$98.22$60.91
Max Pain$110.79$100.00$115.00$100.00$105.00
ATM IV82.5%73.4%107.7%75.1%92.9%
Expected Move22.6%13.4%33.9%14.3%27.9%
HV 20d60.9%46.5%81.4%51.4%81.4%
HV 60d48.1%41.9%60.5%42.0%60.5%
IV Rank84.6%75.1%100.0%78.6%79.1%
IV Percentile96.8%91.3%100.0%96.4%98.4%
Term Structure-4.5%-7.1%-1.8%-3.8%-6.0%
VWIV78.9%46.5%114.8%50.1%105.0%
Skew 25d3.3%-0.4%14.1%4.5%14.1%
Skew 10d6.8%2.1%25.2%7.7%25.2%
Call IV 25d80.3%71.5%103.4%71.5%85.3%
Put IV 25d83.6%72.5%112.3%76.0%99.4%
Bid-Ask Spread %25.438.9440.7714.4138.27
Gamma HHI0.120.060.560.080.17
Net GEX-3.2M-13.4M-110.9K-1.2M-4.2M
Net DEX175.6M34.6M334.7M75.7M334.7M
Net VEX-1.5M-1.8M-1.0M-1.7M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.643.821.073.82
Total Volume12,276.2113,03133,5578,14423,887
Total OI118,885.842101,057146,537101,057146,537

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$98.22$100.0075.1%14.3%51.4%78.6%50.1%4.5%-3.8%-1.2M75.7M-1.7M1.0714.41N/AN/A3,9404,20446,15054,907
2020-02-04$99.46$100.0075.2%13.8%51.5%78.8%48.6%2.6%-4.0%-720.6K59.6M-1.8M0.6413.07N/AN/A3,8852,49347,84856,772
2020-02-05$98.19$100.0073.4%13.4%51.7%75.1%46.5%2.1%-1.8%-1.1M78.2M-1.7M0.7117.53N/AN/A2,3811,69549,75457,956
2020-02-06$100.77$115.0076.5%19.6%52.4%81.4%69.1%1.5%-6.6%-110.9K34.6M-1.8M0.8824.19N/AN/A5,2484,60049,81358,163
2020-02-07$99.44$115.0074.7%19.4%52.6%77.7%67.4%1.1%-4.2%-1.9M57.2M-1.7M1.6923.15N/AN/A1,2442,10352,16857,563
2020-02-10$97.27$115.0074.1%19.8%53.0%76.5%69.1%0.5%-3.3%-1.8M82.4M-1.7M3.1924.79N/AN/A1,2784,08047,18655,331
2020-02-11$96.07$115.0075.8%20.6%47.7%80.1%72.1%-0.4%-3.0%-2.5M102.4M-1.7M2.2228.50N/AN/A1,2672,81147,83158,403
2020-02-12$95.37$115.0074.6%20.6%46.5%77.6%71.6%0.9%-2.9%-3.7M118.9M-1.6M1.4026.20N/AN/A1,2611,77048,32059,979
2020-02-13$82.70$115.0084.0%22.9%66.7%96.9%79.7%2.1%-4.1%-2.6M232.5M-1.3M1.9637.32N/AN/A11,34322,21448,71960,746
2020-02-14$83.12$115.0075.2%20.7%66.8%78.7%74.2%2.2%-4.0%-4.0M250.3M-1.4M1.8640.77N/AN/A5,96811,10455,87568,927
2020-02-18$81.56$115.0074.4%21.1%66.5%77.1%73.6%3.1%-4.2%-4.1M241.9M-1.3M1.7040.04N/AN/A2,7044,60352,06668,831
2020-02-19$80.58$115.0073.8%21.2%66.0%76.0%73.7%2.8%-3.0%-4.5M245.3M-1.3M2.4730.33N/AN/A5,05812,50153,90469,688
2020-02-20$82.15$115.0076.4%22.1%65.8%81.2%76.4%3.8%-4.3%-3.9M213.8M-1.4M1.0629.27N/AN/A3,5953,79355,94572,792
2020-02-21$80.06$115.0086.7%25.5%65.8%100.0%88.5%2.8%-6.4%-13.4M235.3M-1.4M2.2430.39N/AN/A5,28911,84157,75576,686
2020-02-24$75.40$115.0093.8%28.9%67.7%100.0%100.3%3.0%-4.1%-3.1M239.2M-1.4M1.428.94N/AN/A7,30410,35245,89475,905
2020-02-25$71.75$110.00103.8%32.2%68.7%100.0%111.8%2.8%-7.1%-2.8M251.3M-1.4M2.3621.31N/AN/A5,83713,75750,77379,470
2020-02-26$71.52$105.0099.2%30.7%67.5%93.1%105.8%4.0%-6.7%-2.7M241.8M-1.4M0.9111.32N/AN/A2,9342,67754,00179,352
2020-02-27$70.66$105.00107.7%33.9%67.6%100.0%114.8%8.9%-6.7%-2.6M240.8M-1.4M1.0423.34N/AN/A10,90811,31955,64581,176
2020-02-28$60.91$105.0092.9%27.9%81.4%79.1%105.0%14.1%-6.0%-4.2M334.7M-1.0M3.8238.27N/AN/A4,96018,92760,52086,017