W Options History — August 2020 In August 2020, W traded between $286.58 and $342.47. ATM implied volatility averaged 69.1%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 16.1% (HV 20d: 53.0%). Max pain ranged from $180.00 to $330.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.07.
Notable Days 2020-08-05 : Highest Volume — 50,382 contracts2020-08-05 : Largest IV drop — 21.7% change2020-08-03 : Highest IV Rank — 31.1%2020-08-03 : Largest Expected Move — 29.6%Monthly Statistics Metric Avg Min Max Open Close Price $316.03 $286.58 $342.47 $286.58 $299.45 Max Pain $285.71 $180.00 $330.00 $180.00 $330.00 ATM IV 69.1% 59.5% 93.9% 93.9% 74.1% Expected Move 20.0% 17.0% 29.6% 29.6% 21.2% HV 20d 53.0% 47.2% 56.9% 55.7% 49.7% HV 60d 60.9% 54.1% 66.6% 66.6% 55.6% IV Rank 16.4% 10.7% 31.1% 31.1% 19.4% IV Percentile 43.0% 32.9% 79.0% 79.0% 49.2% Term Structure -0.4% -5.6% 1.7% -4.2% -1.3% VWIV 70.7% 59.8% 105.4% 105.4% 75.6% Skew 25d 1.4% -4.0% 5.3% -2.7% 5.0% Skew 10d 2.6% -5.2% 10.5% -0.0% 10.5% Call IV 25d 68.8% 58.4% 96.5% 96.5% 72.2% Put IV 25d 70.2% 62.0% 93.8% 93.8% 77.2% Bid-Ask Spread % 41.20 32.47 49.49 33.57 49.49 Gamma HHI 0.08 0.04 0.31 0.05 0.06 Net GEX 8.9M -9.6M 26.9M 9.8M -4.4M Net DEX -2.14B -2.63B -1.34B -2.00B -1.34B Net VEX -5.0M -5.5M -4.6M -4.7M -5.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.74 1.59 1.00 1.59 Total Volume 21,567.19 6,403 50,382 24,204 24,245 Total OI 202,100.524 162,153 234,106 185,702 174,167
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 2020-08-03 $286.58 $180.00 93.9% 29.6% 55.7% 31.1% 105.4% -2.7% -4.2% 9.8M -2.00B -4.7M 1.00 33.57 N/A N/A 12,105 12,099 90,508 95,194 2020-08-04 $290.40 $180.00 89.2% 27.8% 55.5% 28.3% 98.0% 0.7% -5.6% 11.6M -2.08B -4.6M 1.14 40.79 N/A N/A 20,585 23,537 95,910 101,698 2020-08-05 $299.88 $190.00 69.8% 19.3% 54.3% 16.8% 68.5% -4.0% -1.0% 18.1M -2.26B -4.7M 0.76 46.21 N/A N/A 28,600 21,782 106,483 116,350 2020-08-06 $311.87 $250.00 66.8% 19.3% 54.7% 15.1% 68.1% -0.8% 0.0% 23.4M -2.50B -4.8M 0.78 42.58 N/A N/A 15,588 12,116 109,944 121,530 2020-08-07 $309.68 $260.00 70.5% 20.1% 53.1% 17.3% 71.6% 2.7% -2.5% 26.9M -2.39B -4.8M 0.91 39.49 N/A N/A 15,026 13,738 109,163 124,943 2020-08-10 $297.11 $260.00 72.5% 20.9% 53.2% 18.4% 74.0% 1.0% 0.4% 7.3M -1.97B -5.0M 1.14 36.61 N/A N/A 7,502 8,515 91,475 106,833 2020-08-11 $310.64 $270.00 76.5% 22.3% 54.1% 20.8% 78.1% 1.3% 1.5% 7.8M -2.20B -4.9M 0.77 37.48 N/A N/A 20,989 16,108 93,912 110,522 2020-08-12 $301.06 $300.00 70.8% 20.2% 56.1% 17.4% 70.7% 0.1% -0.2% 3.7M -1.98B -5.1M 1.09 40.83 N/A N/A 8,834 9,588 99,766 117,439 2020-08-13 $314.40 $300.00 70.0% 20.5% 56.9% 17.0% 72.6% 0.3% 1.7% 10.0M -2.26B -5.0M 1.20 32.47 N/A N/A 6,837 8,208 100,892 118,327 2020-08-14 $309.20 $300.00 67.3% 19.2% 56.9% 15.3% 68.1% 1.1% -0.8% 6.8M -2.13B -4.9M 1.23 37.73 N/A N/A 6,043 7,442 101,579 120,205 2020-08-17 $314.23 $300.00 63.3% 18.3% 54.7% 13.0% 64.6% 2.5% 0.6% 7.0M -2.19B -4.8M 0.74 42.74 N/A N/A 9,255 6,861 91,269 112,112 2020-08-18 $325.61 $300.00 64.0% 18.4% 54.0% 13.4% 65.2% 2.0% 1.0% 11.2M -2.40B -5.1M 0.81 39.49 N/A N/A 10,879 8,784 95,054 116,586 2020-08-19 $330.56 $300.00 63.1% 18.1% 53.5% 12.9% 63.9% 2.0% 0.5% 11.4M -2.48B -5.0M 0.86 46.51 N/A N/A 8,608 7,361 97,384 120,212 2020-08-20 $330.93 $300.00 61.3% 17.5% 50.3% 11.8% 61.0% 2.5% 1.2% 10.7M -2.46B -5.1M 1.04 46.73 N/A N/A 7,189 7,467 98,673 122,065 2020-08-21 $340.59 $330.00 61.5% 17.5% 50.3% 11.9% 61.7% 1.8% 1.1% 21.2M -2.63B -5.1M 0.79 42.78 N/A N/A 8,528 6,735 100,502 126,028 2020-08-24 $338.89 $330.00 60.0% 17.1% 50.7% 11.0% 60.1% 4.3% 0.2% 5.7M -2.05B -5.1M 1.57 38.46 N/A N/A 4,278 6,702 80,288 81,865 2020-08-25 $337.54 $330.00 59.5% 17.0% 49.8% 10.7% 59.8% 5.3% -0.0% 3.7M -2.01B -5.2M 1.30 44.80 N/A N/A 2,780 3,623 81,947 85,572 2020-08-26 $342.47 $330.00 62.0% 17.7% 47.2% 12.2% 63.0% 1.7% -0.5% 5.6M -2.09B -5.2M 1.34 42.21 N/A N/A 5,100 6,854 83,196 87,117 2020-08-27 $331.53 $330.00 65.4% 18.7% 48.5% 14.2% 66.5% 0.7% 0.8% -1.8M -1.89B -5.3M 1.09 43.03 N/A N/A 9,695 10,543 84,807 90,345 2020-08-28 $313.91 $330.00 69.0% 19.5% 53.0% 16.4% 68.6% 2.4% -2.0% -9.6M -1.55B -5.4M 1.33 41.27 N/A N/A 9,528 12,654 87,097 95,152 2020-08-31 $299.45 $330.00 74.1% 21.2% 49.7% 19.4% 75.6% 5.0% -1.3% -4.4M -1.34B -5.5M 1.59 49.49 N/A N/A 9,357 14,888 82,718 91,449
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