W Options History — September 2020 In September 2020, W traded between $252.19 and $307.40. ATM implied volatility averaged 76.7%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 16.2% (HV 20d: 60.5%). Max pain ranged from $270.00 to $330.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.93.
Notable Days 2020-09-04 : Highest Volume — 36,242 contracts2020-09-09 : Largest IV drop — 11.7% change2020-09-08 : Highest IV Rank — 27.6%2020-09-08 : Largest Expected Move — 25.0%Monthly Statistics Metric Avg Min Max Open Close Price $280.59 $252.19 $307.40 $307.40 $289.38 Max Pain $288.10 $270.00 $330.00 $330.00 $270.00 ATM IV 76.7% 70.0% 88.1% 75.2% 75.8% Expected Move 21.9% 19.7% 25.0% 21.4% 19.7% HV 20d 60.5% 50.0% 68.3% 50.3% 64.4% HV 60d 59.0% 55.6% 62.1% 55.6% 57.0% IV Rank 20.9% 16.9% 27.6% 20.0% 20.4% IV Percentile 52.6% 33.7% 73.0% 52.8% 51.2% Term Structure 1.8% -1.5% 11.6% -0.1% 8.9% VWIV 77.2% 67.9% 87.8% 75.6% 67.9% Skew 25d 5.8% 0.7% 9.3% 4.9% 9.3% Skew 10d 10.3% 3.9% 17.0% 8.6% 7.9% Call IV 25d 73.6% 65.2% 85.3% 73.5% 67.6% Put IV 25d 79.4% 69.6% 91.5% 78.4% 76.8% Bid-Ask Spread % 44.18 31.98 53.54 47.03 53.54 Gamma HHI 0.04 0.03 0.09 0.04 0.04 Net GEX 3.6M -5.8M 12.3M -2.2M 8.3M Net DEX -1.34B -1.85B -824.9M -1.52B -1.61B Net VEX -5.8M -6.0M -5.5M -5.7M -5.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.36 1.76 0.72 0.77 Total Volume 13,323.381 4,496 36,242 9,420 11,441 Total OI 183,042.238 171,538 195,157 182,480 175,023
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 2020-09-01 $307.40 $330.00 75.2% 21.4% 50.3% 20.0% 75.6% 4.9% -0.1% -2.2M -1.52B -5.7M 0.72 47.03 N/A N/A 5,485 3,935 86,808 95,672 2020-09-02 $299.80 $320.00 79.5% 22.8% 50.0% 22.6% 81.5% 3.8% 0.4% -2.5M -1.39B -5.8M 1.03 45.77 N/A N/A 7,533 7,786 88,318 96,133 2020-09-03 $276.46 $320.00 83.0% 24.1% 55.4% 24.7% 86.0% 4.5% -1.5% -4.3M -1.02B -5.8M 1.08 31.98 N/A N/A 8,598 9,327 90,903 97,546 2020-09-04 $261.96 $310.00 86.0% 24.4% 57.9% 26.4% 86.7% 3.9% 0.5% -5.8M -824.9M -5.8M 1.68 34.60 N/A N/A 13,502 22,740 95,448 97,387 2020-09-08 $252.19 $300.00 88.1% 25.0% 57.7% 27.6% 87.8% 6.2% -0.3% -137.2K -876.7M -5.9M 1.25 37.88 N/A N/A 3,843 4,810 92,879 91,929 2020-09-09 $256.79 $300.00 77.8% 22.0% 55.2% 21.5% 77.5% 4.8% -1.3% -135.5K -918.7M -5.7M 1.76 41.95 N/A N/A 3,872 6,821 93,684 92,561 2020-09-10 $266.26 $300.00 78.4% 22.3% 56.8% 21.9% 77.2% 7.1% -1.3% 1.2M -1.05B -5.7M 0.81 46.66 N/A N/A 13,166 10,622 93,574 92,923 2020-09-11 $252.92 $300.00 76.6% 22.0% 55.8% 20.9% 76.9% 6.9% 0.4% -2.3M -831.6M -5.5M 1.20 43.98 N/A N/A 5,965 7,146 96,159 94,075 2020-09-14 $265.22 $300.00 75.5% 21.4% 59.5% 20.2% 77.0% 6.0% 2.4% 1.2M -1.07B -5.5M 1.13 45.33 N/A N/A 4,581 5,185 90,845 89,225 2020-09-15 $269.03 $300.00 73.1% 20.9% 59.4% 18.8% 73.1% 7.0% 0.8% 1.9M -1.12B -5.5M 0.75 51.31 N/A N/A 10,214 7,637 92,344 91,242 2020-09-16 $268.93 $270.00 73.6% 21.1% 57.2% 19.1% 74.8% 6.9% -0.6% 3.6M -1.15B -5.6M 0.81 50.30 N/A N/A 5,230 4,213 95,163 92,954 2020-09-17 $267.18 $270.00 74.4% 21.3% 56.5% 19.5% 74.7% 7.0% -0.1% 3.3M -1.13B -5.7M 0.36 48.28 N/A N/A 9,223 3,336 96,482 94,440 2020-09-18 $291.29 $270.00 75.8% 21.7% 66.2% 20.3% 75.8% 6.0% -0.6% 5.0M -1.61B -5.8M 0.75 50.84 N/A N/A 14,532 10,970 99,926 95,231 2020-09-21 $299.64 $270.00 79.3% 23.1% 66.1% 22.4% 81.5% 5.8% 1.1% 9.0M -1.77B -5.8M 0.65 40.34 N/A N/A 6,686 4,367 88,931 82,665 2020-09-22 $303.09 $270.00 74.5% 21.8% 66.4% 19.6% 77.1% 0.7% 0.7% 10.9M -1.85B -5.9M 0.82 41.63 N/A N/A 4,358 3,571 91,922 83,880 2020-09-23 $288.11 $270.00 75.4% 21.9% 68.3% 20.2% 76.2% 7.5% 0.6% 8.3M -1.60B -6.0M 0.64 44.85 N/A N/A 5,857 3,724 92,878 85,344 2020-09-24 $286.10 $270.00 74.1% 21.8% 67.8% 19.3% 76.7% 5.1% 3.4% 9.4M -1.57B -6.0M 0.78 46.47 N/A N/A 4,294 3,369 94,761 86,119 2020-09-25 $293.77 $270.00 70.0% 20.9% 68.3% 16.9% 73.3% 4.3% 4.8% 12.3M -1.71B -6.0M 0.56 45.00 N/A N/A 6,838 3,798 95,736 87,259 2020-09-28 $301.14 $270.00 73.3% 20.5% 66.6% 18.9% 72.4% 8.0% 7.3% 9.9M -1.80B -5.7M 0.96 38.18 N/A N/A 3,437 3,283 89,834 81,704 2020-09-29 $295.80 $270.00 72.3% 20.4% 64.8% 18.3% 71.3% 5.9% 11.6% 9.5M -1.71B -5.8M 0.98 41.77 N/A N/A 2,267 2,229 91,013 82,967 2020-09-30 $289.38 $270.00 75.8% 19.7% 64.4% 20.4% 67.9% 9.3% 8.9% 8.3M -1.61B -5.7M 0.77 53.54 N/A N/A 6,446 4,995 91,420 83,603
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