W Options History — November 2020 In November 2020, W traded between $234.31 and $301.17. ATM implied volatility averaged 64.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded below realized volatility by 34.7% (HV 20d: 98.9%). Max pain ranged from $250.00 to $280.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.84.
Notable Days 2020-11-03 : Highest Volume — 44,727 contracts2020-11-03 : Largest IV drop — 28.3% change2020-11-02 : Highest IV Rank — 27.1%2020-11-02 : Largest Expected Move — 28.2%Monthly Statistics Metric Avg Min Max Open Close Price $254.43 $234.31 $301.17 $255.85 $253.01 Max Pain $257.25 $250.00 $280.00 $270.00 $250.00 ATM IV 64.3% 55.6% 87.2% 87.2% 63.7% Expected Move 18.8% 16.9% 28.2% 28.2% 19.7% HV 20d 98.9% 60.3% 111.9% 60.3% 107.0% HV 60d 75.5% 60.7% 80.9% 60.7% 79.5% IV Rank 13.6% 8.4% 27.1% 27.1% 13.2% IV Percentile 25.2% 17.1% 69.4% 69.4% 21.4% Term Structure -0.9% -4.1% 3.1% -4.1% 1.7% VWIV 66.8% 59.6% 97.5% 97.5% 69.6% Skew 25d -1.3% -11.4% 5.3% 4.8% -3.8% Skew 10d 1.6% -13.8% 17.0% 13.4% 0.8% Call IV 25d 66.1% 53.8% 83.1% 83.1% 68.4% Put IV 25d 64.8% 56.6% 87.9% 87.9% 64.6% Bid-Ask Spread % 47.30 33.81 55.34 42.28 45.54 Gamma HHI 0.07 0.03 0.39 0.03 0.05 Net GEX 6.6M -1.5M 34.2M 3.4M 6.1M Net DEX -1.08B -2.00B -693.6M -1.07B -1.14B Net VEX -6.2M -6.4M -5.7M -6.4M -6.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.31 1.16 0.83 0.95 Total Volume 15,755 6,037 44,727 21,761 6,037 Total OI 210,882.1 184,777 227,766 200,180 193,287
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 2020-11-02 $255.85 $270.00 87.2% 28.2% 60.3% 27.1% 97.5% 4.8% -4.1% 3.4M -1.07B -6.4M 0.83 42.28 N/A N/A 11,920 9,841 102,887 97,293 2020-11-03 $273.80 $270.00 62.6% 18.9% 64.7% 12.5% 67.7% 3.5% 2.8% 5.3M -1.34B -6.1M 0.88 43.83 N/A N/A 23,782 20,945 102,887 97,293 2020-11-04 $268.95 $265.00 60.8% 17.1% 62.9% 11.5% 59.9% 5.3% -1.2% 6.2M -1.26B -6.1M 0.87 55.34 N/A N/A 8,577 7,474 114,036 108,295 2020-11-05 $295.97 $280.00 62.3% 17.9% 72.5% 12.4% 63.1% 2.5% -1.0% 22.2M -1.89B -6.3M 1.14 55.27 N/A N/A 10,547 12,006 113,757 108,561 2020-11-06 $301.17 $280.00 55.6% 16.9% 72.3% 8.4% 59.6% 0.8% -0.8% 34.2M -2.00B -6.4M 0.93 49.39 N/A N/A 8,546 7,974 114,649 113,117 2020-11-09 $238.63 $280.00 62.0% 18.2% 110.0% 12.2% 64.6% 1.2% 3.1% -499.4K -707.5M -5.7M 0.91 52.90 N/A N/A 13,872 12,628 101,088 101,681 2020-11-10 $242.86 $250.00 64.4% 18.5% 109.1% 13.6% 66.8% -4.8% 0.8% -26.0K -784.2M -6.2M 0.92 44.37 N/A N/A 9,478 8,744 108,145 108,187 2020-11-11 $250.84 $250.00 65.3% 18.1% 109.6% 14.2% 64.4% -3.7% -2.7% 3.5M -948.4M -6.2M 0.61 43.80 N/A N/A 6,570 4,003 111,774 110,154 2020-11-12 $250.67 $250.00 65.9% 18.5% 109.5% 14.5% 65.8% -5.5% -2.4% 4.4M -946.1M -6.2M 0.78 48.59 N/A N/A 3,967 3,098 112,110 110,475 2020-11-13 $237.17 $250.00 65.2% 18.3% 110.6% 14.1% 65.6% -1.6% -2.2% -1.5M -693.6M -6.0M 1.16 51.37 N/A N/A 6,893 8,027 112,507 111,049 2020-11-16 $234.31 $250.00 64.8% 18.5% 110.4% 13.8% 67.1% -0.8% -4.0% 942.8K -722.8M -5.9M 1.11 49.73 N/A N/A 3,816 4,244 107,628 105,720 2020-11-17 $239.89 $250.00 64.4% 18.4% 111.1% 13.6% 66.3% 2.1% 0.2% 1.7M -807.1M -6.1M 0.71 53.26 N/A N/A 4,184 2,978 109,139 106,870 2020-11-18 $235.32 $250.00 65.6% 18.8% 108.0% 14.3% 67.7% 2.2% -3.0% 881.6K -740.9M -5.9M 0.95 49.94 N/A N/A 6,153 5,836 110,521 107,476 2020-11-19 $248.58 $250.00 64.6% 18.5% 110.0% 13.8% 68.2% -1.1% 0.4% 4.7M -1.00B -6.3M 0.50 48.16 N/A N/A 8,174 4,119 112,958 111,152 2020-11-20 $252.75 $250.00 62.9% 18.0% 110.2% 12.7% 65.4% -1.0% -0.2% 9.7M -1.09B -6.2M 0.55 53.03 N/A N/A 11,718 6,410 113,857 110,511 2020-11-23 $256.40 $250.00 59.4% 17.7% 109.8% 10.7% 63.3% -1.8% 0.2% 6.1M -1.18B -6.2M 1.11 33.81 N/A N/A 4,892 5,440 96,195 88,582 2020-11-24 $241.44 $250.00 63.0% 17.8% 111.5% 12.8% 63.5% -7.5% -1.2% 3.2M -916.8M -6.2M 0.92 39.82 N/A N/A 5,514 5,059 98,457 91,711 2020-11-25 $250.26 $250.00 60.7% 18.0% 111.9% 11.4% 62.3% -4.7% -2.7% 6.3M -1.08B -6.2M 0.66 40.07 N/A N/A 7,508 4,991 99,967 94,664 2020-11-27 $260.74 $250.00 65.2% 19.0% 107.3% 14.1% 67.1% -11.4% -2.4% 15.0M -1.34B -6.3M 0.31 45.41 N/A N/A 14,596 4,539 102,864 96,138 2020-11-30 $253.01 $250.00 63.7% 19.7% 107.0% 13.2% 69.6% -3.8% 1.7% 6.1M -1.14B -6.2M 0.95 45.54 N/A N/A 3,094 2,943 99,443 93,844
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