W Options History — January 2022

In January 2022, W traded between $140.60 and $195.83. ATM implied volatility averaged 71.2%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded above realized volatility by 8.6% (HV 20d: 62.5%). Max pain ranged from $200.00 to $250.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2022-01-28: Highest Volume — 21,645 contracts
  • 2022-01-21: Largest IV spike — 15.5% change
  • 2022-01-27: Highest IV Rank — 100.0%
  • 2022-01-27: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$164.15$140.60$195.83$195.83$154.72
Max Pain$228.00$200.00$250.00$200.00$200.00
ATM IV71.2%51.4%97.3%51.4%87.7%
Expected Move19.8%14.3%25.7%14.3%22.4%
HV 20d62.5%50.9%71.4%68.3%70.5%
HV 60d63.5%59.1%67.0%59.1%66.1%
IV Rank51.2%15.5%100.0%15.5%82.5%
IV Percentile68.7%29.4%100.0%29.4%96.8%
Term Structure-0.2%-8.3%13.2%-0.1%-2.3%
VWIV69.4%50.9%90.8%50.9%80.6%
Skew 25d6.4%2.7%11.1%4.2%5.9%
Skew 10d12.4%5.7%18.0%9.7%17.0%
Call IV 25d69.4%51.3%96.4%51.3%86.7%
Put IV 25d75.8%55.5%105.7%55.5%92.6%
Bid-Ask Spread %52.1040.8163.3451.8440.81
Gamma HHI0.060.040.110.050.05
Net GEX-5.4M-7.6M-1.9M-6.5M-4.3M
Net DEX612.0M420.9M779.6M420.9M569.0M
Net VEX-5.0M-6.5M-3.8M-6.5M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.691.920.690.78
Total Volume12,885.19,78621,64511,67013,269
Total OI180,988.7119,519207,582196,542130,376

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$195.83$200.0051.4%14.3%68.3%15.5%50.9%4.2%-0.1%-6.5M420.9M-6.5M0.6951.84N/AN/A6,9114,75990,244106,298
2022-01-04$186.18$200.0053.5%15.4%68.3%19.2%54.2%5.1%-0.5%-6.7M530.4M-6.0M0.9855.82N/AN/A7,2027,03691,980106,696
2022-01-05$171.25$200.0061.3%17.5%71.4%33.3%62.3%6.4%1.5%-6.2M651.6M-5.4M1.0663.34N/AN/A9,3959,98693,167108,207
2022-01-06$174.94$250.0059.8%18.0%70.3%30.5%62.0%2.7%-1.8%-6.2M591.4M-5.7M0.9050.28N/AN/A7,0356,34295,904109,923
2022-01-07$180.72$250.0058.1%17.3%67.6%27.5%62.3%6.3%-0.3%-5.9M524.4M-6.0M0.8655.97N/AN/A6,9435,97596,894110,688
2022-01-10$175.47$250.0062.1%17.9%63.2%34.6%61.7%4.9%0.9%-5.8M591.1M-5.6M1.1049.90N/AN/A5,0555,55094,337109,221
2022-01-11$181.04$250.0056.9%16.2%64.3%25.4%59.9%4.4%-1.5%-5.8M542.9M-5.8M0.9755.06N/AN/A4,9804,80694,719109,846
2022-01-12$176.96$250.0057.7%16.5%64.3%26.9%59.4%11.1%-1.1%-6.2M605.4M-5.5M1.1556.74N/AN/A4,7695,50495,314110,049
2022-01-13$171.20$250.0059.4%17.2%64.7%29.8%59.8%6.9%0.7%-7.0M674.7M-5.2M1.2655.04N/AN/A4,8366,11695,355110,896
2022-01-14$171.59$250.0060.1%17.3%55.8%31.1%61.1%5.7%-0.4%-7.6M663.6M-5.3M1.4456.02N/AN/A5,0977,31896,106111,132
2022-01-18$162.22$240.0065.9%18.9%51.4%41.5%64.9%7.7%1.8%-5.3M701.3M-4.8M1.1554.04N/AN/A4,8205,53892,362109,206
2022-01-19$157.13$240.0066.0%18.9%51.4%41.7%65.3%8.5%8.4%-4.1M729.7M-4.5M1.2553.70N/AN/A4,4655,57793,346108,842
2022-01-20$148.84$230.0070.2%19.4%50.9%49.1%67.6%8.0%13.2%-1.9M749.4M-4.1M1.5355.24N/AN/A4,7707,31093,912108,262
2022-01-21$140.88$230.0081.0%22.3%52.1%68.6%77.0%10.2%9.3%-5.7M779.6M-3.8M1.2854.39N/AN/A5,1376,59194,612109,696
2022-01-24$151.81$230.0090.9%25.5%61.5%86.3%89.4%3.6%-5.8%-4.0M557.3M-4.4M0.7547.65N/AN/A8,4736,38644,91474,605
2022-01-25$152.00$220.0094.3%25.7%61.5%92.4%88.1%4.0%-8.3%-3.7M540.5M-4.6M1.3746.97N/AN/A6,3438,68948,42976,810
2022-01-26$143.49$210.0097.1%25.7%63.5%97.4%90.8%5.3%-7.2%-4.9M593.2M-4.3M1.4748.16N/AN/A4,8697,15449,73580,434
2022-01-27$140.60$210.0097.3%25.7%63.5%100.0%88.9%9.4%-5.7%-5.3M620.4M-4.1M0.9243.79N/AN/A5,7585,29350,54182,405
2022-01-28$146.14$200.0092.6%23.6%65.9%91.5%81.7%7.4%-4.3%-5.4M602.8M-4.3M1.9247.16N/AN/A7,40914,23651,97482,337
2022-01-31$154.72$200.0087.7%22.4%70.5%82.5%80.6%5.9%-2.3%-4.3M569.0M-4.6M0.7840.81N/AN/A7,4675,80249,15781,219