W Options History — September 2021 In September 2021, W traded between $257.24 and $286.04. ATM implied volatility averaged 46.2%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 12.0% (HV 20d: 34.2%). Max pain ranged from $270.00 to $290.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.23.
Notable Days 2021-09-17 : Highest Volume — 19,944 contracts2021-09-20 : Largest IV spike — 13.6% change2021-09-30 : Highest IV Rank — 18.0%2021-09-20 : Largest Expected Move — 15.2%Monthly Statistics Metric Avg Min Max Open Close Price $273.59 $257.24 $286.04 $279.33 $257.24 Max Pain $273.81 $270.00 $290.00 $280.00 $270.00 ATM IV 46.2% 42.8% 52.8% 44.3% 52.8% Expected Move 13.4% 12.3% 15.2% 12.3% 14.7% HV 20d 34.2% 25.8% 61.4% 61.4% 35.7% HV 60d 47.9% 47.3% 49.1% 47.9% 49.1% IV Rank 5.9% 0.0% 18.0% 0.0% 18.0% IV Percentile 8.4% 0.0% 28.2% 0.0% 28.2% Term Structure 2.7% -1.5% 14.3% 1.2% 14.3% VWIV 47.3% 43.6% 53.9% 43.6% 53.2% Skew 25d 3.1% 1.7% 4.6% 3.1% 2.4% Skew 10d 6.0% 0.6% 8.4% 7.0% 4.8% Call IV 25d 45.3% 42.2% 51.8% 43.2% 50.2% Put IV 25d 48.4% 45.3% 53.5% 46.3% 52.6% Bid-Ask Spread % 52.14 42.18 61.24 42.52 52.05 Gamma HHI 0.07 0.05 0.33 0.05 0.06 Net GEX -5.1M -15.6M 21.7M -8.6M -11.4M Net DEX -439.5M -816.2M -121.3M -451.5M -121.3M Net VEX -9.9M -10.6M -9.2M -9.7M -9.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.23 0.22 8.24 0.56 1.29 Total Volume 8,013.762 2,342 19,944 8,268 11,972 Total OI 194,609.667 181,606 206,966 186,407 198,841
Daily Data (21 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 2021-09-01 $279.33 $280.00 44.3% 12.3% 61.4% 0.0% 43.6% 3.1% 1.2% -8.6M -451.5M -9.7M 0.56 42.52 N/A N/A 5,284 2,984 82,847 103,560 2021-09-02 $274.30 $290.00 44.2% 12.9% 51.3% 0.0% 45.4% 2.5% 3.2% -11.7M -345.5M -9.6M 0.99 54.68 N/A N/A 3,648 3,613 86,539 105,482 2021-09-03 $273.14 $290.00 42.8% 12.9% 47.6% 0.0% 44.8% 2.8% 0.8% -9.3M -305.7M -9.7M 0.71 45.53 N/A N/A 4,377 3,122 87,671 107,648 2021-09-07 $269.82 $280.00 45.4% 13.3% 43.0% 4.8% 46.6% 2.1% 1.9% -8.4M -304.1M -9.4M 0.55 59.97 N/A N/A 3,528 1,957 83,961 103,955 2021-09-08 $263.75 $280.00 46.1% 13.5% 41.9% 6.0% 46.5% 2.1% 0.7% -11.5M -183.8M -9.2M 0.66 60.25 N/A N/A 3,412 2,254 85,196 104,774 2021-09-09 $266.67 $280.00 45.0% 13.2% 30.7% 4.1% 46.0% 2.5% 1.2% -11.2M -226.7M -9.3M 0.75 51.98 N/A N/A 9,093 6,847 86,534 105,549 2021-09-10 $264.15 $270.00 46.2% 13.4% 29.0% 6.1% 46.1% 3.4% 0.8% -15.6M -194.7M -9.3M 1.05 55.79 N/A N/A 3,053 3,200 87,881 106,327 2021-09-13 $266.54 $270.00 46.3% 13.3% 29.2% 6.4% 47.1% 3.0% -0.2% -8.3M -246.7M -9.5M 0.69 60.59 N/A N/A 3,034 2,090 89,716 108,116 2021-09-14 $267.11 $270.00 45.7% 13.1% 28.6% 5.3% 46.3% 3.1% 0.6% -9.5M -242.9M -9.5M 0.65 61.20 N/A N/A 2,325 1,505 90,403 109,260 2021-09-15 $277.81 $270.00 44.9% 12.9% 32.8% 3.8% 45.2% 2.7% 0.5% -1.1M -495.8M -9.7M 0.22 59.43 N/A N/A 7,436 1,608 91,385 109,727 2021-09-16 $277.29 $270.00 45.1% 12.9% 25.8% 4.2% 45.5% 2.7% 0.8% -594.5K -496.2M -9.6M 1.23 61.24 N/A N/A 5,240 6,434 92,226 110,113 2021-09-17 $286.04 $270.00 45.9% 13.2% 28.1% 5.6% 46.9% 2.8% -0.9% 21.7M -816.2M -10.2M 0.42 59.04 N/A N/A 14,073 5,871 96,412 110,554 2021-09-20 $279.05 $270.00 52.1% 15.2% 27.9% 16.8% 53.9% 1.7% -1.0% -1.5M -594.5M -10.1M 1.03 42.18 N/A N/A 2,672 2,755 84,353 97,253 2021-09-21 $279.64 $270.00 48.6% 14.1% 27.8% 10.4% 49.7% 4.5% -1.5% 1.1M -667.5M -10.6M 0.74 44.10 N/A N/A 2,574 1,893 92,020 99,974 2021-09-22 $279.52 $270.00 47.2% 13.6% 27.8% 8.0% 47.9% 4.2% -0.8% -514.2K -647.4M -10.5M 1.42 46.07 N/A N/A 966 1,376 92,062 101,321 2021-09-23 $275.11 $270.00 44.0% 12.8% 28.2% 2.2% 45.4% 3.4% -1.1% -3.2M -544.9M -10.4M 0.73 47.22 N/A N/A 3,693 2,713 92,969 102,319 2021-09-24 $274.46 $270.00 43.2% 12.4% 27.9% 0.7% 45.4% 3.4% 0.6% -5.0M -519.9M -10.3M 1.13 47.97 N/A N/A 3,070 3,475 93,337 102,949 2021-09-27 $284.57 $270.00 45.1% 13.0% 31.2% 4.3% 47.6% 4.1% 11.2% -305.2K -741.6M -10.5M 1.48 47.74 N/A N/A 3,110 4,589 90,815 100,317 2021-09-28 $278.78 $270.00 47.3% 14.2% 31.9% 8.1% 49.8% 4.0% 13.9% -2.5M -631.6M -10.4M 1.24 48.63 N/A N/A 1,221 1,518 92,192 102,251 2021-09-29 $271.14 $270.00 48.0% 14.3% 30.9% 9.4% 49.9% 4.6% 10.7% -8.8M -449.9M -10.2M 8.24 46.67 N/A N/A 1,592 13,112 93,729 104,265 2021-09-30 $257.24 $270.00 52.8% 14.7% 35.7% 18.0% 53.2% 2.4% 14.3% -11.4M -121.3M -9.8M 1.29 52.05 N/A N/A 5,230 6,742 94,098 104,743
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