W Options History — June 2020 In June 2020, W traded between $167.24 and $210.25. ATM implied volatility averaged 76.1%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 1.3% (HV 20d: 74.8%). Max pain ranged from $165.00 to $205.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.02.
Notable Days 2020-06-02 : Highest Volume — 46,080 contracts2020-06-26 : Largest IV spike — 13.6% change2020-06-15 : Highest IV Rank — 24.9%2020-06-15 : Largest Expected Move — 23.3%Monthly Statistics Metric Avg Min Max Open Close Price $190.76 $167.24 $210.25 $167.24 $196.82 Max Pain $180.80 $165.00 $205.00 $167.50 $205.00 ATM IV 76.1% 72.1% 81.9% 73.4% 73.1% Expected Move 21.5% 19.2% 23.3% 20.6% 19.2% HV 20d 74.8% 49.3% 109.9% 107.0% 49.3% HV 60d 144.2% 113.7% 180.6% 179.8% 113.7% IV Rank 21.4% 18.2% 24.9% 20.3% 18.8% IV Percentile 67.1% 56.0% 75.0% 64.3% 56.0% Term Structure 1.7% -2.5% 10.0% 0.2% 10.0% VWIV 75.9% 67.6% 82.5% 73.3% 67.6% Skew 25d 7.7% -1.8% 15.8% 10.1% 8.6% Skew 10d 10.1% -2.6% 18.4% 18.4% 13.9% Call IV 25d 71.8% 62.7% 81.8% 69.4% 70.0% Put IV 25d 79.6% 69.1% 86.7% 79.4% 78.7% Bid-Ask Spread % 25.90 16.95 30.58 29.44 29.71 Gamma HHI 0.09 0.04 0.55 0.05 0.04 Net GEX 4.5M -2.9M 23.0M 2.8M 1.2M Net DEX -842.4M -1.22B -565.7M -580.0M -808.2M Net VEX -4.5M -4.8M -4.0M -4.0M -4.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.44 1.68 1.59 1.37 Total Volume 19,581.5 7,466 46,080 10,820 7,466 Total OI 181,503.5 167,893 199,912 169,619 177,423
Daily Data (22 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 2020-06-01 $167.24 $167.50 73.4% 20.6% 107.0% 20.3% 73.3% 10.1% 0.2% 2.8M -580.0M -4.0M 1.59 29.44 N/A N/A 4,182 6,638 77,687 91,932 2020-06-02 $187.67 $165.00 77.2% 22.6% 109.9% 22.5% 80.7% 10.7% -0.1% 6.3M -899.5M -4.2M 0.58 23.01 N/A N/A 29,236 16,844 79,152 93,087 2020-06-03 $181.67 $170.00 72.6% 21.0% 85.4% 19.8% 73.8% 10.4% -1.0% 6.4M -805.2M -4.3M 0.44 28.32 N/A N/A 25,652 11,319 87,505 99,108 2020-06-04 $175.64 $175.00 74.7% 21.2% 80.2% 21.0% 74.2% 12.7% 1.7% 3.4M -673.7M -4.2M 0.77 21.34 N/A N/A 13,890 10,733 89,652 101,399 2020-06-05 $170.72 $175.00 77.6% 21.6% 80.4% 22.7% 78.9% 14.3% 1.3% -2.9M -565.7M -4.2M 1.34 22.37 N/A N/A 11,520 15,450 91,277 102,170 2020-06-08 $175.16 $175.00 76.5% 21.7% 77.1% 22.1% 77.1% 15.8% -0.3% 1.8M -645.3M -4.2M 1.68 16.95 N/A N/A 4,277 7,194 78,594 95,506 2020-06-09 $172.43 $175.00 77.1% 22.0% 76.9% 22.4% 76.3% 10.8% -0.5% 1.4M -610.1M -4.2M 0.76 19.27 N/A N/A 4,980 3,800 79,871 96,425 2020-06-10 $181.43 $175.00 76.4% 22.4% 78.7% 22.0% 77.9% 8.9% 1.7% 4.5M -762.5M -4.4M 1.01 20.65 N/A N/A 10,932 11,082 81,383 97,842 2020-06-11 $178.90 $175.00 79.0% 23.3% 78.5% 23.6% 81.4% 12.1% 3.3% 2.7M -694.3M -4.4M 1.03 25.93 N/A N/A 8,662 8,882 83,945 101,870 2020-06-12 $182.63 $175.00 74.3% 21.4% 76.6% 20.8% 76.2% 9.4% 0.9% 4.8M -760.9M -4.4M 0.96 29.06 N/A N/A 8,777 8,416 84,212 103,089 2020-06-15 $194.35 $175.00 81.3% 23.3% 79.4% 24.9% 82.5% 7.4% -2.3% 4.9M -914.8M -4.4M 0.55 27.52 N/A N/A 19,059 10,514 80,155 96,988 2020-06-16 $191.25 $180.00 73.2% 20.9% 66.6% 20.2% 75.3% 6.2% -2.5% 5.8M -873.0M -4.4M 0.87 27.63 N/A N/A 9,533 8,248 85,369 101,088 2020-06-17 $202.68 $180.00 78.6% 22.5% 67.7% 23.3% 79.4% 5.3% 1.2% 9.1M -1.08B -4.5M 0.58 24.99 N/A N/A 16,068 9,398 87,545 104,010 2020-06-18 $200.96 $180.00 74.2% 21.1% 67.9% 20.8% 75.1% 3.4% 3.9% 9.9M -1.05B -4.5M 1.22 29.96 N/A N/A 7,681 9,351 90,552 106,953 2020-06-19 $210.25 $180.00 73.3% 20.9% 69.0% 18.9% 73.4% 3.6% 1.1% 23.0M -1.22B -4.5M 0.78 30.58 N/A N/A 15,498 12,135 90,887 109,025 2020-06-22 $209.34 $185.00 78.0% 21.7% 69.2% 21.7% 77.0% 2.7% 1.8% 4.3M -1.02B -4.7M 0.94 23.87 N/A N/A 8,708 8,156 79,490 88,403 2020-06-23 $207.58 $190.00 75.9% 20.4% 67.0% 20.4% 71.9% 6.0% 3.2% 3.9M -984.2M -4.7M 1.19 26.11 N/A N/A 7,970 9,514 82,123 90,863 2020-06-24 $202.04 $190.00 76.2% 21.4% 66.9% 20.6% 74.9% -1.8% 1.8% 1.3M -888.7M -4.8M 1.51 27.07 N/A N/A 5,086 7,674 82,688 93,028 2020-06-25 $205.29 $195.00 72.1% 20.6% 64.2% 18.2% 72.4% 0.4% 2.6% 3.5M -939.5M -4.8M 1.03 28.51 N/A N/A 4,640 4,790 84,324 95,122 2020-06-26 $203.05 $195.00 81.9% 22.5% 63.5% 24.0% 79.8% 4.9% 1.7% -229.6K -903.3M -4.8M 1.09 29.75 N/A N/A 6,640 7,258 85,524 96,470 2020-06-29 $199.70 $195.00 77.2% 20.5% 63.0% 21.2% 71.4% 7.8% 7.4% 2.0M -858.0M -4.7M 1.13 27.83 N/A N/A 6,087 6,853 79,619 89,722 2020-06-30 $196.82 $205.00 73.1% 19.2% 49.3% 18.8% 67.6% 8.6% 10.0% 1.2M -808.2M -4.7M 1.37 29.71 N/A N/A 3,152 4,314 83,323 94,100
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