W Options History — May 2021

In May 2021, W traded between $270.51 and $326.60. ATM implied volatility averaged 54.9%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 4.5% (HV 20d: 50.4%). Max pain ranged from $300.00 to $315.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2021-05-06: Highest Volume — 29,277 contracts
  • 2021-05-06: Largest IV drop — 16.0% change
  • 2021-05-04: Highest IV Rank — 26.5%
  • 2021-05-04: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$303.23$270.51$326.60$278.50$306.82
Max Pain$306.25$300.00$315.00$315.00$310.00
ATM IV54.9%46.4%70.7%70.7%47.2%
Expected Move16.1%13.3%23.3%22.9%13.7%
HV 20d50.4%29.7%58.8%38.1%58.8%
HV 60d62.4%46.2%69.2%64.7%47.0%
IV Rank8.1%0.0%26.5%25.0%1.3%
IV Percentile6.8%0.0%39.7%39.7%0.4%
Term Structure0.1%-4.2%2.7%-3.1%0.7%
VWIV57.0%47.9%81.9%78.6%48.3%
Skew 25d4.2%1.5%7.2%3.2%4.3%
Skew 10d7.7%-2.2%15.3%8.4%-2.2%
Call IV 25d53.2%43.9%67.3%67.3%44.8%
Put IV 25d57.4%49.0%72.2%70.5%49.1%
Bid-Ask Spread %46.5233.9359.4533.9347.55
Gamma HHI0.070.030.250.050.07
Net GEX1.5M-8.7M29.5M-6.4M-6.8M
Net DEX-799.4M-1.26B-260.4M-407.4M-802.0M
Net VEX-9.6M-10.4M-9.1M-9.1M-10.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.543.161.330.68
Total Volume13,310.653,23329,27712,6758,736
Total OI179,171.8148,438195,282171,122171,424

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$278.50$315.0070.7%22.9%38.1%25.0%78.6%3.2%-3.1%-6.4M-407.4M-9.1M1.3333.93N/AN/A5,4457,23079,55191,571
2021-05-04$272.82$315.0070.4%23.3%31.4%26.5%81.9%7.2%-4.2%-7.7M-314.6M-9.1M0.8141.88N/AN/A4,8193,90282,22995,883
2021-05-05$270.51$315.0065.8%22.9%29.7%18.2%78.5%2.7%-0.0%-8.7M-260.4M-9.1M1.0145.61N/AN/A12,67912,84183,80996,993
2021-05-06$283.85$310.0055.2%15.3%34.5%0.0%53.0%4.7%-2.7%-6.1M-463.8M-9.1M0.8345.78N/AN/A15,97813,29988,991101,421
2021-05-07$306.56$310.0049.3%14.2%45.4%0.0%50.1%2.8%1.7%29.5M-1.02B-9.4M0.7241.26N/AN/A16,31911,69992,590102,692
2021-05-10$321.32$300.0053.2%15.5%48.0%6.3%55.0%5.6%1.1%8.4M-1.17B-9.7M0.5943.45N/AN/A13,7338,05882,72694,115
2021-05-11$326.60$300.0056.4%15.8%48.4%11.5%57.5%1.5%-0.0%9.4M-1.26B-9.9M1.1541.16N/AN/A6,6107,58186,28597,486
2021-05-12$302.93$300.0062.3%17.2%55.1%21.0%59.8%4.4%-2.3%-2.2M-765.8M-9.8M1.7841.77N/AN/A5,67310,11788,514100,236
2021-05-13$297.31$300.0059.0%17.1%55.4%15.7%59.9%5.7%0.6%-6.9M-638.9M-9.6M0.9135.80N/AN/A4,9564,50289,161102,029
2021-05-14$298.58$300.0054.1%15.3%55.5%7.8%53.6%4.3%-0.5%-6.5M-659.0M-9.4M0.7647.26N/AN/A4,9043,72790,273102,499
2021-05-17$301.83$300.0055.2%15.9%55.3%9.6%57.2%4.6%-3.4%2.8M-760.2M-9.4M0.7454.64N/AN/A6,0814,50284,37796,432
2021-05-18$305.74$300.0052.9%15.2%55.6%5.8%54.3%4.0%1.9%5.1M-861.1M-9.6M0.6752.14N/AN/A5,0103,35884,39497,662
2021-05-19$300.87$300.0054.0%15.5%55.7%7.6%54.3%4.9%1.8%-1.9M-737.4M-9.6M1.3756.39N/AN/A1,3641,86985,20599,304
2021-05-20$309.96$300.0050.8%14.5%56.3%2.5%50.7%3.1%1.8%10.6M-935.0M-9.6M0.7456.19N/AN/A6,6954,94785,57399,924
2021-05-21$310.20$310.0049.3%13.9%56.3%0.0%49.7%3.3%2.7%9.1M-907.3M-9.6M0.9359.45N/AN/A4,1863,89585,927100,594
2021-05-24$314.57$310.0050.0%13.8%56.5%1.2%51.9%5.3%1.7%1.5M-991.4M-9.6M3.1644.97N/AN/A3,82612,09670,13878,300
2021-05-25$311.91$310.0047.5%13.7%56.6%0.0%48.2%3.7%2.2%-565.4K-903.4M-10.3M1.5344.05N/AN/A2,7034,14672,36688,448
2021-05-26$322.03$310.0048.5%13.3%57.7%1.6%47.9%4.0%0.9%3.3M-1.07B-10.4M0.5448.40N/AN/A5,8793,18273,53691,523
2021-05-27$321.71$310.0046.4%13.7%57.4%0.0%49.6%5.1%0.3%4.9M-1.07B-10.4M0.7748.63N/AN/A5,4634,20376,23393,022
2021-05-28$306.82$310.0047.2%13.7%58.8%1.3%48.3%4.3%0.7%-6.8M-802.0M-10.3M0.6847.55N/AN/A5,2073,52977,97693,448