W Options History — April 2020 In April 2020, W traded between $46.23 and $130.16. ATM implied volatility averaged 135.0%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 41.1%. IV traded below realized volatility by 76.4% (HV 20d: 211.4%). Max pain ranged from $45.00 to $80.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.58.
Notable Days 2020-04-06 : Highest Volume — 44,632 contracts2020-04-06 : Largest IV drop — 18.5% change2020-04-02 : Highest IV Rank — 86.4%2020-04-02 : Largest Expected Move — 55.7%Monthly Statistics Metric Avg Min Max Open Close Price $90.31 $46.23 $130.16 $47.62 $124.86 Max Pain $70.38 $45.00 $80.00 $45.00 $80.00 ATM IV 135.0% 109.2% 186.9% 184.9% 120.3% Expected Move 41.1% 33.9% 55.7% 50.3% 42.1% HV 20d 211.4% 150.7% 274.8% 247.6% 150.7% HV 60d 169.8% 150.5% 177.9% 150.5% 177.2% IV Rank 56.5% 41.7% 86.4% 85.3% 48.1% IV Percentile 92.4% 87.3% 98.0% 98.0% 89.7% Term Structure -2.7% -18.3% 13.8% -1.9% -5.8% VWIV 149.2% 114.7% 199.2% 195.9% 144.8% Skew 25d 35.7% 17.0% 80.4% 54.8% 17.0% Skew 10d 60.9% 22.6% 132.6% 73.7% 22.6% Call IV 25d 112.8% 89.0% 148.5% 148.5% 106.0% Put IV 25d 148.5% 116.1% 216.7% 203.3% 123.0% Bid-Ask Spread % 41.89 13.50 63.44 45.75 18.60 Gamma HHI 0.08 0.05 0.25 0.07 0.05 Net GEX 521.8K -846.8K 2.5M -534.9K 1.4M Net DEX -233.9M -560.4M 65.9M 65.9M -486.2M Net VEX -2.2M -2.9M -1.1M -1.1M -2.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.58 0.58 4.10 0.58 1.08 Total Volume 14,383.143 4,698 44,632 12,631 11,181 Total OI 165,685 139,247 182,820 145,935 172,119
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 2020-04-01 $47.62 $45.00 184.9% 50.3% 247.6% 85.3% 195.9% 54.8% -1.9% -534.9K 65.9M -1.1M 0.58 45.75 N/A N/A 7,993 4,638 58,975 86,960 2020-04-02 $46.23 $70.00 186.9% 55.7% 247.6% 86.4% 192.2% 57.4% 2.7% -549.9K 64.9M -1.2M 3.65 62.02 N/A N/A 1,285 4,691 67,663 92,193 2020-04-03 $50.03 $70.00 186.7% 55.4% 249.6% 86.3% 199.2% 80.4% 5.2% -846.8K 40.4M -1.4M 1.92 54.97 N/A N/A 3,703 7,120 68,432 94,591 2020-04-06 $71.40 $70.00 152.2% 42.1% 274.8% 66.4% 153.2% 36.5% -9.6% 82.7K -93.0M -1.8M 4.10 60.12 N/A N/A 8,754 35,878 65,591 85,926 2020-04-07 $77.28 $70.00 137.6% 38.6% 274.4% 58.1% 138.4% 24.7% -4.4% -185.4K -130.7M -2.0M 1.09 62.46 N/A N/A 6,907 7,538 68,415 102,051 2020-04-08 $76.97 $70.00 130.4% 41.7% 272.6% 53.9% 137.2% 25.9% 13.8% 41.9K -135.5M -2.0M 1.44 63.44 N/A N/A 5,397 7,791 69,963 105,476 2020-04-09 $76.63 $70.00 134.1% 41.6% 244.3% 56.0% 137.5% 33.4% 13.4% -231.6K -129.0M -2.0M 0.86 56.48 N/A N/A 7,939 6,811 71,526 107,292 2020-04-13 $81.58 $70.00 136.3% 39.0% 242.8% 57.3% 145.2% 42.0% -2.9% 617.3K -166.5M -2.0M 1.26 55.93 N/A N/A 3,120 3,928 72,121 102,720 2020-04-14 $86.67 $70.00 129.1% 36.8% 228.7% 53.1% 141.9% 43.9% -5.6% 1.2M -222.1M -2.1M 1.58 55.57 N/A N/A 3,954 6,232 73,443 104,196 2020-04-15 $80.95 $70.00 138.3% 39.6% 231.2% 58.4% 154.2% 47.0% -6.7% 734.4K -155.2M -2.1M 2.76 61.98 N/A N/A 1,248 3,450 73,758 107,458 2020-04-16 $83.61 $70.00 118.8% 33.9% 206.2% 47.2% 114.7% 39.5% 6.0% 1.3M -173.6M -2.1M 0.77 33.38 N/A N/A 3,740 2,884 73,153 107,958 2020-04-17 $89.28 $70.00 122.1% 35.6% 202.0% 49.1% 136.0% 39.1% -6.1% 2.5M -243.4M -2.2M 0.96 51.45 N/A N/A 3,541 3,405 74,002 108,818 2020-04-20 $100.94 $70.00 123.8% 37.2% 198.9% 50.1% 132.9% 25.8% -2.5% 652.2K -282.0M -2.4M 1.02 30.68 N/A N/A 11,590 11,778 64,149 75,098 2020-04-21 $96.25 $70.00 120.3% 36.9% 202.6% 48.1% 135.6% 29.9% -3.8% -322.8K -228.2M -2.3M 1.39 32.19 N/A N/A 4,935 6,844 66,976 82,380 2020-04-22 $95.78 $70.00 109.2% 34.2% 174.0% 41.7% 147.1% 32.8% -2.2% -776.7K -217.0M -2.3M 2.32 34.23 N/A N/A 3,151 7,300 68,307 86,158 2020-04-23 $104.26 $70.00 113.6% 34.3% 159.9% 44.2% 133.5% 27.4% -18.3% 262.5K -313.9M -2.4M 1.67 33.76 N/A N/A 6,231 10,405 69,510 87,999 2020-04-24 $122.59 $70.00 118.4% 39.3% 166.0% 47.0% 140.0% 27.7% -6.1% 1.4M -512.5M -2.7M 1.08 15.34 N/A N/A 15,760 16,999 71,667 90,790 2020-04-27 $129.65 $75.00 134.5% 46.5% 152.8% 56.3% 161.5% 21.7% -6.2% 1.2M -549.5M -2.9M 0.90 16.76 N/A N/A 12,970 11,647 72,549 89,698 2020-04-28 $123.83 $79.00 124.6% 41.5% 156.1% 50.6% 148.7% 24.0% -8.7% 1.1M -484.7M -2.8M 1.37 13.50 N/A N/A 3,721 5,094 75,121 93,829 2020-04-29 $130.16 $79.00 112.4% 40.8% 155.9% 43.6% 144.0% 18.4% -6.2% 1.8M -560.4M -2.8M 1.39 21.17 N/A N/A 4,391 6,102 76,011 94,343 2020-04-30 $124.86 $80.00 120.3% 42.1% 150.7% 48.1% 144.8% 17.0% -5.8% 1.4M -486.2M -2.8M 1.08 18.60 N/A N/A 5,386 5,795 76,265 95,854
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