W Options History — May 2020 In May 2020, W traded between $122.81 and $191.44. ATM implied volatility averaged 87.4%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded below realized volatility by 31.2% (HV 20d: 118.6%). Max pain ranged from $80.00 to $170.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.45.
Notable Days 2020-05-05 : Highest Volume — 93,271 contracts2020-05-05 : Largest IV drop — 14.1% change2020-05-01 : Highest IV Rank — 45.6%2020-05-01 : Largest Expected Move — 40.6%Monthly Statistics Metric Avg Min Max Open Close Price $166.43 $122.81 $191.44 $122.81 $171.56 Max Pain $155.50 $80.00 $170.00 $80.00 $165.00 ATM IV 87.4% 73.4% 116.0% 116.0% 75.5% Expected Move 25.1% 20.4% 40.6% 40.6% 20.8% HV 20d 118.6% 106.6% 150.1% 149.9% 106.6% HV 60d 181.2% 177.2% 183.7% 177.2% 179.7% IV Rank 28.5% 20.3% 45.6% 45.6% 21.5% IV Percentile 77.8% 65.5% 87.7% 87.7% 68.7% Term Structure -1.0% -8.9% 2.6% -8.9% 0.5% VWIV 91.6% 74.7% 145.0% 145.0% 75.6% Skew 25d 15.1% 8.8% 23.5% 20.6% 8.9% Skew 10d 26.1% 15.3% 36.1% 19.0% 18.8% Call IV 25d 79.6% 69.2% 105.2% 105.2% 71.2% Put IV 25d 94.7% 80.1% 125.8% 125.8% 80.1% Bid-Ask Spread % 21.92 12.72 33.00 14.94 33.00 Gamma HHI 0.11 0.04 0.57 0.06 0.21 Net GEX 2.6M -6.2M 28.9M 857.4K 8.7M Net DEX -728.4M -1.29B -350.1M -456.3M -689.0M Net VEX -3.7M -4.1M -2.8M -2.8M -4.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.45 0.76 2.90 2.81 0.99 Total Volume 36,976.8 15,317 93,271 16,456 39,848 Total OI 192,685 160,304 233,121 175,801 179,101
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 2020-05-01 $122.81 $80.00 116.0% 40.6% 149.9% 45.6% 145.0% 20.6% -8.9% 857.4K -456.3M -2.8M 2.81 14.94 N/A N/A 4,320 12,136 78,278 97,523 2020-05-04 $133.96 $125.00 108.3% 29.5% 150.1% 41.2% 105.3% 23.5% -3.2% 1.4M -561.2M -2.8M 1.07 12.72 N/A N/A 17,718 18,990 73,619 90,696 2020-05-05 $164.56 $125.00 93.1% 26.3% 114.8% 31.7% 99.9% 14.2% 1.3% 6.2M -1.01B -3.0M 1.64 14.74 N/A N/A 35,297 57,974 85,324 100,939 2020-05-06 $180.13 $145.00 94.2% 26.4% 115.4% 32.4% 100.2% 18.6% -1.2% 7.6M -1.18B -3.3M 0.97 13.37 N/A N/A 33,991 32,857 90,759 118,464 2020-05-07 $176.33 $150.00 91.9% 26.2% 116.5% 31.1% 94.3% 17.5% -1.4% 5.1M -1.08B -3.6M 1.06 15.96 N/A N/A 23,851 25,221 95,206 128,966 2020-05-08 $188.41 $150.00 85.1% 24.3% 115.5% 27.1% 88.9% 20.4% -2.6% 28.9M -1.29B -3.7M 0.83 16.41 N/A N/A 32,519 27,047 98,238 134,883 2020-05-11 $191.44 $165.00 83.1% 24.2% 115.7% 25.9% 87.3% 14.1% 2.6% 5.6M -1.17B -3.7M 1.12 17.75 N/A N/A 13,450 15,011 88,109 120,209 2020-05-12 $185.61 $165.00 87.5% 24.9% 118.4% 28.5% 88.4% 14.8% -1.7% 3.8M -1.05B -3.8M 1.05 21.75 N/A N/A 17,490 18,331 89,966 126,022 2020-05-13 $181.92 $170.00 96.6% 27.6% 113.8% 33.8% 105.2% 18.7% -0.3% -368.0K -950.8M -3.9M 2.90 22.51 N/A N/A 8,826 25,636 91,153 130,985 2020-05-14 $172.86 $170.00 94.1% 26.4% 118.3% 32.3% 101.2% 18.6% -2.6% -5.6M -732.6M -3.9M 1.80 17.51 N/A N/A 12,890 23,187 90,769 135,721 2020-05-15 $173.65 $170.00 83.7% 24.1% 118.3% 26.3% 87.6% 16.8% -0.2% -6.2M -737.0M -3.9M 1.91 19.95 N/A N/A 12,663 24,171 91,126 139,041 2020-05-18 $155.06 $170.00 81.5% 23.2% 124.1% 25.0% 81.9% 13.9% -1.8% -2.6M -350.1M -3.9M 1.61 23.92 N/A N/A 18,831 30,329 69,892 90,412 2020-05-19 $162.14 $167.50 84.4% 24.2% 121.6% 26.7% 89.1% 15.8% -0.6% -1.1M -458.2M -4.0M 1.02 25.73 N/A N/A 14,944 15,276 73,883 95,365 2020-05-20 $162.08 $167.50 85.4% 24.5% 121.5% 27.3% 91.7% 15.1% -3.2% -1.1M -449.9M -4.1M 1.77 27.61 N/A N/A 8,295 14,711 77,857 99,413 2020-05-21 $163.61 $165.00 82.0% 23.4% 119.6% 25.3% 85.3% 10.1% 2.4% 267.9K -495.3M -4.1M 1.71 26.69 N/A N/A 5,646 9,671 79,184 101,508 2020-05-22 $165.18 $165.00 78.5% 22.4% 107.7% 23.3% 80.7% 9.0% 2.2% 1.3M -527.0M -4.1M 0.76 26.64 N/A N/A 10,393 7,893 79,976 103,167 2020-05-26 $158.78 $165.00 76.9% 21.1% 108.2% 22.3% 74.7% 9.3% -1.1% -362.2K -448.8M -3.9M 0.80 28.65 N/A N/A 12,564 10,097 73,252 91,165 2020-05-27 $154.24 $165.00 73.4% 21.0% 107.2% 20.3% 74.7% 8.8% -0.7% -2.6M -375.7M -3.9M 1.90 30.56 N/A N/A 8,520 16,186 76,042 94,238 2020-05-28 $164.34 $165.00 76.0% 20.4% 107.9% 21.8% 74.8% 12.8% 0.7% 2.0M -547.1M -4.0M 1.24 28.03 N/A N/A 10,141 12,615 76,833 96,416 2020-05-29 $171.56 $165.00 75.5% 20.8% 106.6% 21.5% 75.6% 8.9% 0.5% 8.7M -689.0M -4.1M 0.99 33.00 N/A N/A 20,021 19,827 79,442 99,659
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