W Options History — February 2021

In February 2021, W traded between $257.49 and $293.07. ATM implied volatility averaged 81.9%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 23.2% (HV 20d: 58.7%). Max pain ranged from $280.00 to $300.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.80.

Notable Days

  • 2021-02-25: Highest Volume — 27,848 contracts
  • 2021-02-10: Largest IV spike — 8.5% change
  • 2021-02-02: Highest IV Rank — 21.8%
  • 2021-02-24: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$280.35$257.49$293.07$278.81$289.21
Max Pain$283.82$280.00$300.00$300.00$280.00
ATM IV81.9%70.6%89.3%89.2%70.6%
Expected Move22.3%18.4%24.6%20.4%19.7%
HV 20d58.7%34.2%73.7%73.7%68.1%
HV 60d64.7%58.6%79.8%79.8%65.9%
IV Rank17.0%9.7%21.8%21.7%9.7%
IV Percentile54.7%27.4%72.2%71.8%27.4%
Term Structure-2.7%-8.7%0.9%0.9%0.8%
VWIV78.3%65.0%85.0%72.5%72.0%
Skew 25d4.6%-2.6%10.0%6.5%3.6%
Skew 10d7.4%-8.2%24.9%24.9%9.2%
Call IV 25d78.1%68.2%83.7%77.1%68.2%
Put IV 25d82.7%71.8%89.0%83.6%71.8%
Bid-Ask Spread %39.4725.1853.8950.1943.06
Gamma HHI0.040.030.070.030.07
Net GEX1.7M-4.5M8.1M-1.3M8.1M
Net DEX-692.2M-990.7M-433.8M-633.2M-878.2M
Net VEX-8.3M-8.9M-7.8M-7.8M-8.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.331.580.610.80
Total Volume13,652.2637,28827,8488,27224,378
Total OI161,127.263142,650175,472153,653163,400

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$278.81$300.0089.2%20.4%73.7%21.7%72.5%6.5%0.9%-1.3M-633.2M-7.8M0.6150.19N/AN/A5,1533,11972,44081,213
2021-02-02$282.57$297.5089.3%18.8%72.5%21.8%66.3%7.7%-4.4%-793.8K-661.6M-7.9M1.5850.71N/AN/A3,3365,25574,46182,759
2021-02-03$285.46$295.0083.3%18.4%72.4%17.9%65.0%-1.3%-2.9%-335.2K-710.5M-7.9M0.8752.25N/AN/A4,5573,96475,41384,487
2021-02-04$290.93$280.0084.3%22.7%72.5%18.6%78.1%4.3%-1.7%1.3M-795.8M-7.9M1.2538.44N/AN/A9,41111,77276,27684,814
2021-02-05$289.81$280.0081.9%21.7%71.9%17.0%77.5%10.0%-4.8%4.0M-773.9M-7.9M1.0435.10N/AN/A4,1804,34879,15085,682
2021-02-08$287.64$280.0081.2%22.2%71.6%16.6%77.4%1.1%-2.0%3.3M-754.8M-7.8M0.6029.72N/AN/A6,9864,16975,31277,322
2021-02-09$288.35$280.0081.0%22.1%71.6%16.4%77.6%-2.6%-2.2%5.0M-795.2M-7.9M0.9127.75N/AN/A6,1565,60778,26879,595
2021-02-10$286.11$280.0087.8%23.0%65.9%20.8%81.7%2.4%-8.7%3.5M-756.6M-8.7M0.4425.18N/AN/A7,0763,11781,04884,319
2021-02-11$291.66$280.0085.9%23.2%57.8%19.6%80.6%7.1%-8.0%5.5M-837.2M-8.8M0.3329.26N/AN/A15,4265,07482,66885,677
2021-02-12$292.79$280.0083.5%23.0%48.2%18.0%82.0%7.2%-2.6%6.1M-827.1M-8.7M0.5829.33N/AN/A7,0824,11784,45386,200
2021-02-16$278.70$280.0083.5%23.8%34.3%18.1%84.4%3.9%-1.6%1.8M-641.6M-8.4M0.7132.40N/AN/A5,6173,97182,24882,564
2021-02-17$274.90$280.0082.9%23.8%34.5%17.6%82.5%2.5%-1.0%-57.1K-565.9M-8.4M0.7744.39N/AN/A7,0225,38484,57984,943
2021-02-18$272.14$280.0081.5%23.4%34.2%16.7%81.5%1.8%0.5%-1.4M-566.3M-8.5M0.6839.74N/AN/A7,2554,95786,23985,813
2021-02-19$293.07$290.0080.2%23.4%44.0%15.9%82.6%4.7%-5.8%7.3M-990.7M-8.8M0.4245.11N/AN/A14,1305,91388,69286,780
2021-02-22$264.29$290.0079.7%24.3%56.6%15.6%84.8%9.0%-3.1%-415.8K-568.2M-8.3M1.3438.09N/AN/A5,5717,48970,23472,416
2021-02-23$264.18$280.0076.8%24.0%56.5%13.7%81.8%8.3%-1.3%-1.7M-514.9M-8.5M0.7437.53N/AN/A4,1873,10172,89077,590
2021-02-24$257.49$280.0080.0%24.6%54.8%15.8%85.0%8.2%-3.0%-2.4M-446.8M-8.4M1.0547.77N/AN/A6,1736,49273,48878,753
2021-02-25$258.60$280.0074.2%21.5%54.7%12.0%74.1%3.4%-0.4%-4.5M-433.8M-8.4M0.4953.89N/AN/A18,7179,13176,44482,788
2021-02-26$289.21$280.0070.6%19.7%68.1%9.7%72.0%3.6%0.8%8.1M-878.2M-8.9M0.8043.06N/AN/A13,52310,85580,27583,125