W Options History — November 2021 In November 2021, W traded between $240.00 and $279.42. ATM implied volatility averaged 55.7%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 2.5% (HV 20d: 53.2%). Max pain ranged from $250.00 to $260.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.05.
Notable Days 2021-11-04 : Highest Volume — 35,348 contracts2021-11-04 : Largest IV drop — 20.1% change2021-11-02 : Highest IV Rank — 43.0%2021-11-03 : Largest Expected Move — 22.7%Monthly Statistics Metric Avg Min Max Open Close Price $259.00 $240.00 $279.42 $252.29 $252.45 Max Pain $251.43 $250.00 $260.00 $260.00 $250.00 ATM IV 55.7% 49.2% 66.8% 63.1% 61.0% Expected Move 16.6% 14.6% 22.7% 21.1% 18.6% HV 20d 53.2% 38.4% 65.4% 38.4% 65.4% HV 60d 42.8% 39.5% 49.3% 42.2% 49.3% IV Rank 23.2% 11.6% 43.0% 36.4% 32.7% IV Percentile 40.1% 23.0% 75.8% 59.1% 52.4% Term Structure -0.2% -7.4% 3.0% -1.4% 1.3% VWIV 58.7% 50.2% 80.2% 74.4% 66.9% Skew 25d 1.0% -3.3% 3.2% 2.3% -3.3% Skew 10d 3.2% -4.7% 20.3% 7.0% 20.3% Call IV 25d 56.2% 50.6% 67.6% 62.8% 65.0% Put IV 25d 57.2% 51.4% 68.2% 65.1% 61.7% Bid-Ask Spread % 54.60 36.72 68.15 43.14 47.49 Gamma HHI 0.06 0.05 0.10 0.05 0.06 Net GEX -2.5M -10.4M 8.5M -6.7M -4.2M Net DEX -407.9M -910.9M 106.5M -230.0M -287.0M Net VEX -10.5M -11.4M -9.9M -10.6M -9.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.55 1.56 0.58 1.13 Total Volume 17,586.286 8,579 35,348 25,207 11,151 Total OI 233,501.286 210,936 251,281 226,184 213,181
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 2021-11-01 $252.29 $260.00 63.1% 21.1% 38.4% 36.4% 74.4% 2.3% -1.4% -6.7M -230.0M -10.6M 0.58 43.14 N/A N/A 15,973 9,234 103,082 123,102 2021-11-02 $257.37 $260.00 66.8% 22.4% 38.8% 43.0% 79.3% 0.3% -7.4% -5.5M -357.9M -11.0M 0.55 43.86 N/A N/A 16,124 8,805 106,976 126,383 2021-11-03 $269.92 $260.00 64.6% 22.7% 41.8% 39.1% 80.2% 1.2% 0.5% -1.5M -677.2M -11.4M 0.74 36.72 N/A N/A 19,183 14,133 110,489 128,100 2021-11-04 $256.34 $250.00 51.6% 15.5% 46.4% 15.8% 54.2% 0.9% 2.3% -5.2M -320.3M -10.8M 0.74 62.26 N/A N/A 20,361 14,987 114,606 132,158 2021-11-05 $246.00 $250.00 52.4% 14.8% 48.9% 17.2% 52.4% 2.7% 0.8% -7.2M -21.6M -10.5M 1.31 60.24 N/A N/A 9,703 12,723 116,635 134,646 2021-11-08 $243.76 $250.00 50.8% 15.2% 47.6% 14.5% 54.9% 2.6% 2.7% -8.5M -2.9M -10.3M 1.29 61.33 N/A N/A 7,322 9,416 109,994 126,790 2021-11-09 $249.83 $250.00 51.6% 15.2% 48.3% 15.8% 53.0% 1.8% 0.6% -7.1M -153.9M -10.4M 0.93 62.21 N/A N/A 7,198 6,682 111,477 128,668 2021-11-10 $240.00 $250.00 51.4% 15.3% 50.7% 15.5% 52.6% 3.2% 1.6% -10.4M 106.5M -10.0M 1.05 61.67 N/A N/A 6,432 6,729 112,387 128,914 2021-11-11 $244.61 $250.00 49.2% 14.7% 50.0% 11.6% 50.2% -0.4% 2.5% -9.4M 13.1M -10.2M 1.15 60.04 N/A N/A 6,424 7,363 113,378 129,753 2021-11-12 $257.20 $250.00 50.0% 14.7% 52.9% 12.9% 51.0% 0.6% 1.8% -1.9M -356.6M -10.5M 0.97 62.27 N/A N/A 8,806 8,539 113,689 131,188 2021-11-15 $254.05 $250.00 51.4% 14.8% 53.1% 15.4% 51.9% 2.5% 0.0% -4.7M -270.6M -10.4M 1.01 58.03 N/A N/A 6,723 6,818 111,382 126,847 2021-11-16 $268.57 $250.00 50.7% 14.6% 55.9% 14.3% 51.7% 1.1% -0.6% 4.1M -729.5M -10.5M 1.20 62.70 N/A N/A 9,875 11,878 115,206 127,037 2021-11-17 $263.49 $250.00 51.6% 14.8% 56.5% 15.8% 52.4% 2.2% -2.9% -56.0K -569.4M -10.4M 1.44 63.33 N/A N/A 4,494 6,461 115,975 128,927 2021-11-18 $258.74 $250.00 50.7% 14.6% 56.6% 14.2% 50.9% 1.6% -0.9% -3.7M -412.8M -10.2M 1.13 68.15 N/A N/A 7,806 8,852 116,291 129,722 2021-11-19 $274.69 $250.00 53.6% 15.4% 58.5% 19.5% 55.0% 0.9% -0.1% 6.5M -907.6M -10.7M 1.00 58.50 N/A N/A 8,857 8,859 116,265 129,948 2021-11-22 $262.21 $250.00 54.4% 15.8% 61.4% 20.9% 56.5% -0.4% -1.4% -527.5K -515.8M -10.2M 1.10 48.13 N/A N/A 5,968 6,585 98,723 112,213 2021-11-23 $260.27 $250.00 55.3% 16.2% 61.5% 22.5% 57.9% 0.2% 0.3% -2.0M -454.7M -10.3M 1.56 45.53 N/A N/A 3,351 5,228 100,266 114,140 2021-11-24 $279.42 $250.00 61.5% 16.7% 64.6% 33.6% 59.4% 1.3% -4.9% 8.5M -910.9M -10.7M 0.71 47.70 N/A N/A 11,339 8,017 100,734 115,132 2021-11-26 $278.83 $250.00 66.4% 18.4% 59.4% 42.3% 65.2% -1.1% -1.2% 8.5M -867.1M -10.6M 1.25 44.04 N/A N/A 5,430 6,762 100,703 116,690 2021-11-29 $268.95 $250.00 61.7% 17.4% 61.2% 34.0% 61.9% 1.1% 3.0% -597.5K -640.2M -10.3M 1.28 49.18 N/A N/A 3,822 4,899 97,183 114,547 2021-11-30 $252.45 $250.00 61.0% 18.6% 65.4% 32.7% 66.9% -3.3% 1.3% -4.2M -287.0M -9.9M 1.13 47.49 N/A N/A 5,242 5,909 98,233 114,948
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