W Options History — March 2021 In March 2021, W traded between $287.28 and $346.06. ATM implied volatility averaged 64.5%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 22.5% (HV 20d: 87.0%). Max pain ranged from $280.00 to $320.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.76.
Notable Days 2021-03-01 : Highest Volume — 38,523 contracts2021-03-03 : Largest IV spike — 11.9% change2021-03-08 : Highest IV Rank — 10.8%2021-03-03 : Largest Expected Move — 20.6%Monthly Statistics Metric Avg Min Max Open Close Price $320.62 $287.28 $346.06 $338.70 $316.86 Max Pain $310.22 $280.00 $320.00 $280.00 $320.00 ATM IV 64.5% 57.0% 72.4% 69.1% 59.0% Expected Move 18.3% 15.9% 20.6% 19.0% 16.6% HV 20d 87.0% 42.5% 97.7% 86.5% 42.5% HV 60d 74.7% 72.1% 76.7% 72.9% 72.2% IV Rank 5.8% 0.9% 10.8% 8.7% 2.6% IV Percentile 16.8% 0.4% 31.7% 25.0% 2.0% Term Structure 0.3% -6.4% 13.2% -0.9% 13.2% VWIV 64.2% 56.8% 72.6% 67.7% 60.0% Skew 25d 4.0% -2.0% 7.9% 6.4% 6.5% Skew 10d 9.2% 5.0% 18.4% 6.2% 12.1% Call IV 25d 62.3% 54.8% 70.7% 62.7% 56.4% Put IV 25d 66.3% 57.0% 73.4% 69.0% 62.9% Bid-Ask Spread % 52.86 43.40 68.85 43.40 54.90 Gamma HHI 0.05 0.04 0.20 0.04 0.04 Net GEX 4.8M -2.5M 12.7M 8.2M 862.9K Net DEX -1.11B -1.49B -685.1M -1.49B -948.5M Net VEX -8.8M -9.0M -8.6M -8.9M -8.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.32 1.48 0.32 0.53 Total Volume 12,952.739 4,766 38,523 38,523 6,702 Total OI 156,087 145,614 168,780 147,509 153,267
Daily Data (23 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 2021-03-01 $338.70 $280.00 69.1% 19.0% 86.5% 8.7% 67.7% 6.4% -0.9% 8.2M -1.49B -8.9M 0.32 43.40 N/A N/A 29,163 9,360 72,196 75,313 2021-03-02 $322.05 $285.00 63.5% 19.2% 89.0% 5.1% 64.9% 0.3% -0.3% 7.5M -1.26B -8.9M 0.98 49.85 N/A N/A 6,678 6,561 81,954 79,971 2021-03-03 $294.75 $290.00 71.1% 20.6% 95.2% 10.0% 72.6% 5.9% -4.2% -251.1K -804.3M -8.9M 1.17 49.87 N/A N/A 6,815 7,964 83,530 81,801 2021-03-04 $287.28 $300.00 71.7% 19.9% 95.6% 10.4% 69.4% 6.9% -5.4% -2.5M -685.1M -8.7M 1.23 68.85 N/A N/A 5,165 6,358 84,888 83,045 2021-03-05 $296.96 $300.00 65.3% 18.8% 96.1% 6.3% 65.7% 7.9% 2.1% 1.5M -834.0M -8.8M 1.24 55.48 N/A N/A 9,454 11,768 85,405 83,375 2021-03-08 $308.17 $300.00 72.4% 20.2% 97.0% 10.8% 69.6% 2.6% -2.2% 2.7M -1.02B -8.7M 0.62 50.20 N/A N/A 8,213 5,085 71,810 79,447 2021-03-09 $315.98 $300.00 68.9% 19.3% 97.2% 8.6% 68.2% 1.0% -1.3% 4.1M -1.12B -8.8M 0.74 50.45 N/A N/A 3,327 2,450 74,378 81,588 2021-03-10 $310.68 $300.00 70.6% 19.6% 97.5% 9.7% 66.4% 5.1% -2.1% 1.7M -1.03B -8.7M 1.48 55.92 N/A N/A 2,514 3,718 74,867 82,639 2021-03-11 $318.12 $300.00 66.2% 19.3% 97.6% 6.9% 67.1% 0.5% 0.0% 1.3M -1.13B -8.7M 0.64 53.50 N/A N/A 7,570 4,819 75,150 84,605 2021-03-12 $316.73 $320.00 66.2% 18.8% 97.5% 6.8% 66.2% 1.7% -0.6% 5.2M -1.08B -8.8M 0.71 51.30 N/A N/A 6,750 4,798 77,107 84,543 2021-03-15 $323.64 $320.00 65.0% 18.6% 97.7% 6.1% 64.4% 4.3% -1.6% 5.4M -1.18B -8.7M 0.69 50.82 N/A N/A 7,993 5,537 71,646 78,977 2021-03-16 $314.99 $320.00 63.3% 18.1% 96.4% 5.0% 61.8% 4.0% -0.7% 4.5M -1.02B -8.9M 0.62 57.56 N/A N/A 2,999 1,856 73,453 79,543 2021-03-17 $321.74 $320.00 62.5% 17.9% 96.2% 4.5% 62.4% 6.5% 0.0% 6.7M -1.13B -8.8M 0.44 63.21 N/A N/A 3,310 1,456 74,788 79,960 2021-03-18 $323.06 $320.00 64.3% 18.4% 96.0% 5.6% 65.5% 4.6% 2.1% 8.3M -1.16B -8.8M 0.98 49.56 N/A N/A 12,814 12,581 75,736 80,390 2021-03-19 $336.80 $320.00 62.8% 17.9% 93.8% 4.7% 61.3% 3.7% 1.1% 12.2M -1.34B -8.7M 0.65 53.49 N/A N/A 18,406 12,049 77,345 82,481 2021-03-22 $346.06 $320.00 57.0% 15.9% 84.4% 0.9% 56.8% 3.0% -0.3% 9.3M -1.36B -8.9M 0.97 46.35 N/A N/A 5,059 4,884 71,439 74,175 2021-03-23 $333.22 $320.00 58.9% 16.7% 86.2% 2.2% 59.0% 1.7% -2.3% 5.2M -1.20B -8.6M 0.40 52.84 N/A N/A 11,721 4,687 73,308 76,562 2021-03-24 $326.57 $320.00 59.4% 16.5% 85.9% 2.5% 61.5% -2.0% -2.9% 3.0M -1.09B -8.8M 0.61 52.53 N/A N/A 5,285 3,230 76,236 78,039 2021-03-25 $328.86 $320.00 59.3% 17.6% 85.9% 2.4% 62.8% 4.2% 2.1% 3.0M -1.12B -8.9M 0.50 51.96 N/A N/A 4,792 2,381 77,561 79,076 2021-03-26 $339.69 $320.00 63.6% 17.1% 77.9% 5.7% 61.5% 7.2% -6.4% 12.7M -1.31B -9.0M 0.51 52.31 N/A N/A 7,260 3,667 78,364 79,393 2021-03-29 $333.61 $320.00 61.3% 18.0% 54.5% 4.1% 61.3% 1.9% 8.6% 6.3M -1.20B -8.9M 0.83 50.98 N/A N/A 2,683 2,227 73,209 76,026 2021-03-30 $319.79 $320.00 61.8% 17.3% 53.6% 4.8% 60.3% 7.4% 8.6% 2.2M -988.0M -8.8M 0.72 50.55 N/A N/A 3,366 2,438 74,401 77,014 2021-03-31 $316.86 $320.00 59.0% 16.6% 42.5% 2.6% 60.0% 6.5% 13.2% 862.9K -948.5M -8.8M 0.53 54.90 N/A N/A 4,369 2,333 75,430 77,837
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