W Options History — October 2020 In October 2020, W traded between $246.74 and $316.78. ATM implied volatility averaged 84.9%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 24.6% (HV 20d: 60.3%). Max pain ranged from $250.00 to $270.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2020-10-16 : Highest Volume — 39,296 contracts2020-10-28 : Largest IV spike — 13.2% change2020-10-30 : Highest IV Rank — 32.0%2020-10-30 : Largest Expected Move — 30.0%Monthly Statistics Metric Avg Min Max Open Close Price $289.35 $246.74 $316.78 $316.78 $246.74 Max Pain $260.91 $250.00 $270.00 $270.00 $270.00 ATM IV 84.9% 77.8% 95.5% 77.8% 95.5% Expected Move 24.1% 20.2% 30.0% 20.8% 30.0% HV 20d 60.3% 53.8% 71.8% 71.8% 58.6% HV 60d 59.5% 57.1% 61.5% 59.4% 60.1% IV Rank 25.7% 21.6% 32.0% 21.6% 32.0% IV Percentile 67.4% 56.3% 80.2% 59.5% 80.2% Term Structure -1.9% -6.6% 9.3% 8.9% -2.0% VWIV 83.9% 71.3% 105.1% 72.7% 105.1% Skew 25d 4.2% -3.6% 7.7% 5.5% 5.8% Skew 10d 10.3% 2.1% 22.0% 6.9% 17.8% Call IV 25d 80.7% 69.2% 91.5% 72.8% 89.7% Put IV 25d 84.9% 76.9% 95.5% 78.3% 95.5% Bid-Ask Spread % 30.76 15.64 42.16 16.69 42.16 Gamma HHI 0.04 0.03 0.09 0.04 0.07 Net GEX 4.8M -4.5M 12.9M 12.9M -3.7M Net DEX -1.53B -2.08B -800.5M -2.08B -800.5M Net VEX -6.3M -6.8M -5.8M -5.8M -6.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.19 1.48 0.73 1.48 Total Volume 17,096.364 6,074 39,296 26,782 14,923 Total OI 201,252.636 177,576 233,935 179,977 216,753
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 2020-10-01 $316.78 $270.00 77.8% 20.8% 71.8% 21.6% 72.7% 5.5% 8.9% 12.9M -2.08B -5.8M 0.73 16.69 N/A N/A 15,446 11,336 93,692 86,285 2020-10-02 $306.86 $270.00 79.8% 20.2% 66.1% 22.7% 71.3% 7.7% 9.3% 12.5M -1.85B -6.0M 0.73 15.64 N/A N/A 8,749 6,413 96,770 88,945 2020-10-05 $311.43 $250.00 81.6% 22.7% 62.3% 23.8% 78.7% 6.8% -3.2% 8.6M -1.90B -6.0M 0.69 24.33 N/A N/A 4,755 3,259 91,873 85,703 2020-10-06 $297.69 $250.00 85.0% 23.9% 63.1% 25.8% 83.2% 5.9% -0.4% 5.3M -1.67B -6.1M 1.11 22.03 N/A N/A 4,292 4,757 93,709 87,146 2020-10-07 $309.14 $250.00 84.5% 23.2% 63.8% 25.5% 81.1% 5.3% -2.5% 8.0M -1.87B -6.0M 1.43 17.79 N/A N/A 4,140 5,911 94,801 89,250 2020-10-08 $304.43 $250.00 79.5% 22.5% 63.6% 22.6% 77.1% 5.3% 0.2% 5.8M -1.76B -6.2M 0.89 25.64 N/A N/A 3,208 2,866 96,165 92,720 2020-10-09 $297.22 $250.00 82.8% 22.3% 61.0% 24.5% 78.8% 5.3% -1.1% 1.3M -1.63B -6.2M 0.77 25.21 N/A N/A 10,137 7,783 96,925 93,614 2020-10-12 $295.51 $250.00 83.8% 22.4% 59.3% 25.1% 76.3% 0.2% -4.7% 4.5M -1.64B -6.2M 0.77 29.55 N/A N/A 7,253 5,613 93,560 90,470 2020-10-13 $306.88 $250.00 83.2% 22.4% 60.3% 24.7% 78.8% 5.4% -5.0% 8.7M -1.86B -6.2M 0.54 22.65 N/A N/A 10,050 5,452 96,751 93,199 2020-10-14 $294.41 $250.00 90.0% 24.2% 62.7% 28.8% 83.9% 7.3% -5.6% 3.8M -1.63B -6.3M 0.69 29.88 N/A N/A 12,429 8,623 99,475 94,625 2020-10-15 $296.20 $250.00 90.2% 24.0% 62.5% 28.9% 84.1% -3.6% -6.6% 4.8M -1.68B -6.4M 0.61 23.14 N/A N/A 7,519 4,558 102,143 98,913 2020-10-16 $298.30 $250.00 82.6% 22.8% 54.7% 24.4% 79.8% -1.8% -4.1% 8.8M -1.74B -6.4M 0.54 27.26 N/A N/A 25,531 13,765 104,271 99,604 2020-10-19 $299.20 $270.00 88.9% 25.1% 53.8% 28.1% 85.4% 6.1% -4.8% 11.0M -1.72B -6.6M 0.28 40.95 N/A N/A 26,103 7,358 110,604 93,292 2020-10-20 $295.51 $270.00 84.0% 24.0% 53.8% 25.2% 83.4% 4.0% -5.7% 8.0M -1.62B -6.5M 0.19 40.03 N/A N/A 23,894 4,540 120,747 96,657 2020-10-21 $272.26 $270.00 86.9% 24.9% 58.5% 26.9% 86.3% 4.5% -4.4% -1.9M -1.15B -6.4M 0.69 35.96 N/A N/A 17,359 11,967 125,249 98,702 2020-10-22 $265.81 $270.00 83.0% 24.0% 59.0% 24.6% 85.1% 6.3% -3.6% -4.5M -1.03B -6.3M 1.11 37.96 N/A N/A 9,618 10,689 126,888 100,527 2020-10-23 $264.72 $270.00 80.8% 23.6% 57.9% 23.3% 82.7% 1.5% -4.9% -614.1K -1.02B -6.6M 1.14 40.74 N/A N/A 6,489 7,417 129,220 104,715 2020-10-26 $272.37 $270.00 86.2% 26.1% 58.2% 26.5% 90.8% 3.0% 0.7% 3.6M -1.28B -6.8M 0.45 41.47 N/A N/A 6,076 2,760 108,272 100,475 2020-10-27 $275.63 $270.00 79.4% 25.0% 58.3% 22.5% 87.2% 1.3% -0.4% 3.9M -1.34B -6.7M 0.55 38.81 N/A N/A 4,545 2,502 109,324 100,811 2020-10-28 $282.86 $270.00 89.9% 27.5% 58.7% 28.7% 96.3% 6.2% -2.1% 6.8M -1.50B -6.8M 0.71 39.30 N/A N/A 5,921 4,180 110,322 101,170 2020-10-29 $255.84 $270.00 92.2% 28.3% 58.3% 30.1% 98.0% 4.7% 0.6% -1.2M -974.9M -6.5M 0.98 39.60 N/A N/A 8,065 7,869 110,900 102,321 2020-10-30 $246.74 $270.00 95.5% 30.0% 58.6% 32.0% 105.1% 5.8% -2.0% -3.7M -800.5M -6.4M 1.48 42.16 N/A N/A 6,009 8,914 113,113 103,640
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