W Options History — December 2020 In December 2020, W traded between $225.14 and $283.95. ATM implied volatility averaged 60.6%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 3.0% (HV 20d: 63.6%). Max pain ranged from $180.00 to $250.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.07.
Notable Days 2020-12-23 : Highest Volume — 26,823 contracts2020-12-02 : Largest IV drop — 5.9% change2020-12-01 : Highest IV Rank — 14.0%2020-12-01 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $251.67 $225.14 $283.95 $246.42 $225.14 Max Pain $200.23 $180.00 $250.00 $250.00 $200.00 ATM IV 60.6% 58.5% 65.1% 65.1% 59.9% Expected Move 17.6% 16.9% 18.8% 18.8% 17.0% HV 20d 63.6% 47.4% 106.6% 106.6% 56.8% HV 60d 77.3% 75.7% 78.9% 78.9% 76.4% IV Rank 11.4% 10.2% 14.0% 14.0% 10.9% IV Percentile 14.6% 8.3% 23.4% 23.4% 9.9% Term Structure 0.1% -1.9% 2.0% -1.2% -0.2% VWIV 62.9% 59.3% 68.8% 67.9% 60.2% Skew 25d -2.3% -7.4% 2.1% -5.7% 2.1% Skew 10d -6.0% -19.8% 19.8% -4.9% 2.1% Call IV 25d 63.1% 58.4% 69.3% 68.1% 59.4% Put IV 25d 60.8% 58.5% 62.4% 62.4% 61.5% Bid-Ask Spread % 54.37 41.77 62.49 43.37 52.61 Gamma HHI 0.06 0.04 0.11 0.04 0.10 Net GEX 3.0M -5.0M 13.6M 4.7M -4.2M Net DEX -1.05B -1.74B -445.4M -1.02B -445.4M Net VEX -6.1M -6.4M -5.5M -6.2M -5.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.41 2.57 0.52 0.89 Total Volume 11,033.091 3,542 26,823 6,677 9,720 Total OI 203,798.5 195,178 217,561 195,935 210,667
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 2020-12-01 $246.42 $250.00 65.1% 18.8% 106.6% 14.0% 67.9% -5.7% -1.2% 4.7M -1.02B -6.2M 0.52 43.37 N/A N/A 4,393 2,284 100,945 94,990 2020-12-02 $242.17 $250.00 61.3% 18.6% 103.4% 11.8% 68.8% -7.4% 2.0% 2.1M -925.4M -6.2M 1.41 41.77 N/A N/A 1,908 2,691 100,534 96,463 2020-12-03 $239.94 $180.00 59.9% 17.9% 103.4% 11.0% 63.8% -6.3% 1.2% 191.4K -866.9M -6.0M 0.85 54.66 N/A N/A 2,613 2,210 101,064 97,419 2020-12-04 $238.65 $185.00 60.3% 17.6% 96.2% 11.2% 64.4% -3.5% -1.9% 1.8M -832.3M -6.1M 1.01 55.80 N/A N/A 5,174 5,243 102,025 98,683 2020-12-07 $236.76 $190.00 60.0% 17.6% 95.6% 11.0% 63.9% -0.1% 0.7% 1.0M -822.1M -5.9M 0.70 50.86 N/A N/A 4,192 2,940 99,119 96,059 2020-12-08 $244.00 $190.00 58.9% 17.5% 49.6% 10.3% 62.7% -4.0% 1.9% 3.7M -963.2M -6.0M 0.84 53.17 N/A N/A 5,334 4,457 101,006 97,760 2020-12-09 $239.28 $190.00 59.3% 17.5% 49.7% 10.6% 64.3% -3.7% 0.8% 2.1M -861.1M -6.2M 0.41 55.41 N/A N/A 7,589 3,135 102,377 100,476 2020-12-10 $244.28 $190.00 59.5% 17.3% 48.8% 10.7% 59.3% -3.3% -0.0% 7.1M -969.1M -6.1M 0.62 60.59 N/A N/A 2,185 1,357 106,119 101,675 2020-12-11 $242.08 $190.00 60.0% 17.2% 48.9% 11.0% 61.0% -4.3% -0.7% 5.1M -910.7M -6.1M 1.41 61.05 N/A N/A 4,097 5,768 106,467 102,177 2020-12-14 $253.50 $190.00 59.6% 17.1% 47.4% 10.8% 59.9% 0.0% 0.2% 6.6M -1.12B -6.0M 0.88 57.56 N/A N/A 10,717 9,474 100,412 99,025 2020-12-15 $271.64 $200.00 61.2% 17.6% 52.4% 11.7% 63.0% -2.9% 0.5% 12.4M -1.53B -6.3M 0.53 55.17 N/A N/A 10,511 5,541 103,385 103,222 2020-12-16 $272.42 $200.00 62.4% 17.9% 52.0% 12.4% 63.7% -3.5% -1.4% 13.6M -1.53B -6.3M 2.57 62.49 N/A N/A 3,604 9,277 104,967 104,613 2020-12-17 $283.95 $200.00 61.2% 17.5% 52.5% 11.7% 63.0% -1.3% 0.7% 12.0M -1.74B -6.3M 0.70 54.93 N/A N/A 8,281 5,792 105,015 109,199 2020-12-18 $277.99 $200.00 60.5% 17.3% 50.7% 11.3% 62.4% -1.9% 0.0% 5.2M -1.59B -6.3M 1.04 56.24 N/A N/A 5,055 5,241 106,551 111,010 2020-12-21 $281.54 $200.00 63.3% 18.0% 50.6% 13.0% 63.6% 0.0% -0.4% 5.0M -1.55B -6.3M 1.14 52.30 N/A N/A 3,823 4,371 96,281 100,480 2020-12-22 $283.04 $200.00 61.9% 18.0% 50.5% 12.2% 64.2% -1.8% -1.5% 6.0M -1.57B -6.4M 2.01 51.21 N/A N/A 2,703 5,444 97,626 101,287 2020-12-23 $258.38 $200.00 60.0% 17.6% 56.7% 11.0% 62.7% -0.8% 0.3% -176.7K -1.05B -6.2M 1.75 52.27 N/A N/A 9,766 17,057 98,716 103,245 2020-12-24 $253.04 $200.00 58.5% 16.9% 55.9% 10.2% 60.7% 0.9% 0.6% -5.0M -901.7M -6.1M 1.82 59.11 N/A N/A 3,284 5,964 101,554 106,737 2020-12-28 $238.64 $200.00 59.2% 17.6% 57.5% 10.5% 62.5% -0.8% 0.0% -3.3M -680.9M -5.7M 1.00 54.06 N/A N/A 7,813 7,805 97,206 102,999 2020-12-29 $233.82 $200.00 60.2% 17.4% 57.0% 11.1% 61.7% -2.3% 0.2% -4.7M -582.9M -5.7M 0.84 56.68 N/A N/A 7,088 5,940 100,141 105,732 2020-12-30 $230.11 $200.00 61.1% 17.1% 56.6% 11.7% 60.6% 0.1% 0.6% -4.4M -537.1M -5.6M 0.58 54.87 N/A N/A 6,893 3,994 102,503 105,636 2020-12-31 $225.14 $200.00 59.9% 17.0% 56.8% 10.9% 60.2% 2.1% -0.2% -4.2M -445.4M -5.5M 0.89 52.61 N/A N/A 5,131 4,589 104,201 106,466
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