W Options History — January 2021

In January 2021, W traded between $235.61 and $333.73. ATM implied volatility averaged 72.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 1.5% (HV 20d: 71.4%). Max pain ranged from $260.00 to $300.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2021-01-14: Highest Volume — 80,661 contracts
2021-01-25: Largest IV spike — 18.1% change
2021-01-27: Highest IV Rank — 27.7%
2021-01-27: Largest Expected Move — 22.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$278.75	$235.61	$333.73	$235.61	$271.70
Max Pain	$281.45	$260.00	$300.00	$260.00	$297.50
ATM IV	72.9%	59.0%	98.5%	66.3%	95.5%
Expected Move	19.4%	17.2%	22.8%	18.4%	21.4%
HV 20d	71.4%	59.3%	83.7%	59.3%	74.3%
HV 60d	80.5%	76.5%	85.2%	76.6%	80.9%
IV Rank	16.6%	10.5%	27.7%	14.8%	25.8%
IV Percentile	36.1%	6.0%	81.3%	25.8%	79.8%
Term Structure	1.1%	-6.1%	13.5%	2.4%	-3.1%
VWIV	68.8%	59.8%	80.8%	64.9%	76.9%
Skew 25d	2.2%	-2.8%	12.9%	0.7%	12.9%
Skew 10d	3.9%	-7.1%	28.5%	3.0%	13.2%
Call IV 25d	71.5%	58.9%	90.7%	67.4%	80.9%
Put IV 25d	73.7%	59.6%	100.0%	68.1%	93.9%
Bid-Ask Spread %	44.91	34.04	57.16	47.42	45.53
Gamma HHI	0.05	0.03	0.09	0.07	0.05
Net GEX	1.8M	-5.7M	12.0M	571.7K	-5.5M
Net DEX	-1.10B	-2.57B	-458.7M	-741.2M	-458.7M
Net VEX	-6.7M	-8.2M	-5.7M	-5.7M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.30	2.57	0.30	1.72
Total Volume	18,268.105	5,066	80,661	13,637	10,504
Total OI	188,411.158	149,056	241,264	204,411	170,922

Daily Data (19 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
2021-01-04	$235.61	$260.00	66.3%	18.4%	59.3%	14.8%	64.9%	0.7%	2.4%	571.7K	-741.2M	-5.7M	0.30	47.42	N/A	N/A	10,522	3,115	101,784	102,627
2021-01-05	$240.45	$270.00	64.6%	18.3%	59.8%	13.7%	63.9%	1.6%	-0.5%	3.6M	-890.0M	-5.7M	0.42	49.17	N/A	N/A	4,570	1,899	105,751	103,562
2021-01-06	$241.51	$260.00	62.2%	17.8%	59.7%	12.3%	62.6%	2.6%	1.0%	4.5M	-911.6M	-5.7M	1.19	54.26	N/A	N/A	2,612	3,107	106,651	103,962
2021-01-07	$250.35	$260.00	59.0%	17.2%	60.1%	10.5%	59.8%	0.7%	1.4%	7.0M	-1.11B	-5.7M	0.50	57.16	N/A	N/A	6,676	3,353	107,075	104,924
2021-01-08	$257.77	$260.00	64.6%	17.9%	60.4%	13.7%	63.9%	-2.8%	-2.9%	8.0M	-1.26B	-5.8M	0.62	56.41	N/A	N/A	9,504	5,861	105,957	106,059
2021-01-11	$259.24	$270.00	64.8%	18.4%	60.0%	13.8%	66.6%	-0.6%	-1.3%	5.8M	-1.27B	-5.7M	1.10	50.52	N/A	N/A	2,414	2,652	101,885	101,572
2021-01-12	$281.02	$270.00	69.1%	19.2%	65.8%	16.4%	68.0%	-0.4%	-2.4%	9.9M	-1.73B	-5.7M	0.82	47.02	N/A	N/A	8,384	6,842	102,211	102,656
2021-01-13	$307.04	$260.00	63.1%	18.9%	70.7%	12.9%	66.9%	1.4%	1.9%	11.3M	-2.17B	-5.8M	0.81	40.97	N/A	N/A	14,518	11,746	102,136	106,036
2021-01-14	$333.73	$260.00	71.3%	20.1%	72.4%	17.7%	70.9%	-1.6%	-2.9%	12.0M	-2.57B	-6.1M	0.75	40.69	N/A	N/A	46,205	34,456	103,996	113,313
2021-01-15	$299.56	$290.00	71.8%	19.3%	83.7%	18.0%	68.1%	0.4%	-6.1%	-18.3K	-1.65B	-6.6M	1.08	48.14	N/A	N/A	16,600	17,988	111,540	129,724
2021-01-19	$299.70	$290.00	68.8%	19.7%	82.6%	16.2%	69.4%	1.3%	11.0%	-969.0K	-951.7M	-6.8M	1.21	35.06	N/A	N/A	7,377	8,920	75,572	73,484
2021-01-20	$294.17	$300.00	66.9%	19.2%	82.5%	14.1%	68.3%	1.9%	9.6%	-2.8M	-861.8M	-6.8M	2.57	34.04	N/A	N/A	5,349	13,766	77,696	77,989
2021-01-21	$293.30	$300.00	68.8%	19.0%	82.5%	14.8%	67.4%	0.9%	13.5%	-4.9M	-807.7M	-7.6M	0.69	36.50	N/A	N/A	9,637	6,655	79,266	86,967
2021-01-22	$299.01	$300.00	70.1%	18.9%	82.7%	12.4%	67.8%	0.9%	11.0%	378.4K	-907.4M	-7.8M	1.32	40.95	N/A	N/A	9,208	12,151	82,170	88,595
2021-01-25	$294.42	$300.00	82.8%	20.2%	75.3%	17.9%	71.4%	2.7%	-3.3%	-1.9M	-822.4M	-7.6M	0.62	34.62	N/A	N/A	8,017	4,950	72,057	81,225
2021-01-26	$280.56	$300.00	87.5%	20.4%	77.2%	20.6%	74.0%	7.5%	-3.0%	-3.8M	-624.2M	-7.6M	1.20	44.54	N/A	N/A	7,084	8,486	75,211	82,602
2021-01-27	$276.27	$300.00	98.5%	22.8%	74.0%	27.7%	80.8%	11.3%	-5.5%	-3.4M	-575.2M	-7.8M	1.01	45.50	N/A	N/A	7,445	7,539	77,537	84,552
2021-01-28	$280.83	$300.00	89.0%	21.0%	73.3%	21.6%	75.9%	-0.4%	-0.3%	-5.7M	-597.9M	-8.2M	1.16	44.85	N/A	N/A	3,234	3,748	80,797	89,749
2021-01-29	$271.70	$297.50	95.5%	21.4%	74.3%	25.8%	76.9%	12.9%	-3.1%	-5.5M	-458.7M	-7.9M	1.72	45.53	N/A	N/A	3,866	6,638	81,441	89,481