W Options History — July 2022

In July 2022, W traded between $45.11 and $57.47. ATM implied volatility averaged 114.1%, placing in the 90.1% IV rank vs the trailing year. The 30-day expected move averaged 32.5%. IV traded below realized volatility by 2.6% (HV 20d: 116.6%). Max pain ranged from $50.00 to $70.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2022-07-26: Highest Volume — 37,857 contracts
  • 2022-07-05: Largest IV spike — 9.8% change
  • 2022-07-07: Highest IV Rank — 100.0%
  • 2022-07-26: Largest Expected Move — 35.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.85$45.11$57.47$45.11$53.56
Max Pain$65.75$50.00$70.00$50.00$60.00
ATM IV114.1%103.7%123.3%103.7%111.7%
Expected Move32.5%26.9%35.3%26.9%34.2%
HV 20d116.6%104.0%126.1%104.0%104.7%
HV 60d124.2%119.5%126.7%119.5%123.2%
IV Rank90.1%79.9%100.0%82.0%85.6%
IV Percentile95.3%90.1%100.0%93.3%90.5%
Term Structure-2.9%-6.5%16.9%16.9%-5.8%
VWIV115.2%95.1%128.2%95.1%115.7%
Skew 25d10.4%5.2%16.0%11.4%12.9%
Skew 10d24.5%12.8%34.8%22.8%29.2%
Call IV 25d110.8%94.1%117.8%94.1%108.4%
Put IV 25d121.2%105.4%129.2%105.4%121.3%
Bid-Ask Spread %49.9520.5463.7020.5442.82
Gamma HHI0.060.050.100.070.10
Net GEX-167.1K-1.2M1.1M-1.2M65.6K
Net DEX121.8M74.8M180.5M180.5M74.8M
Net VEX-1.5M-1.7M-1.2M-1.2M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.672.560.811.09
Total Volume18,877.112,90737,85718,24634,108
Total OI243,696.55225,775275,838238,647275,838

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$45.11$50.00103.7%26.9%104.0%82.0%95.1%11.4%16.9%-1.2M180.5M-1.2M0.8120.54N/AN/A10,0748,172137,816100,831
2022-07-05$53.20$70.00113.8%32.2%118.9%95.7%124.0%5.2%-0.7%-16.0K118.8M-1.5M1.1960.07N/AN/A6,8868,216133,72897,107
2022-07-06$52.40$70.00114.4%33.3%118.8%96.4%120.4%14.0%5.9%-33.4K118.9M-1.5M2.2659.10N/AN/A6,80515,379136,59499,427
2022-07-07$57.47$70.00118.9%32.7%122.8%100.0%111.7%16.0%-2.4%1.1M76.2M-1.7M1.5555.03N/AN/A8,05912,503138,060104,439
2022-07-08$55.18$70.00119.2%32.2%123.3%100.0%114.0%11.4%-4.9%-113.9K104.9M-1.7M1.0560.00N/AN/A8,8679,314138,587109,649
2022-07-11$50.28$70.00123.3%33.5%126.1%100.0%118.6%11.3%-4.5%-497.8K139.6M-1.5M1.1857.57N/AN/A7,7999,170136,499104,583
2022-07-12$50.16$70.00120.0%32.9%125.5%95.9%117.6%9.9%-4.6%-520.6K145.8M-1.5M1.0361.54N/AN/A6,6416,824138,637107,033
2022-07-13$50.11$70.00119.8%32.9%122.9%95.7%116.7%8.8%-4.9%-426.4K142.1M-1.5M1.4258.60N/AN/A6,3188,996139,795107,921
2022-07-14$48.91$70.00117.2%32.3%123.0%92.5%114.4%10.3%-6.3%-664.8K149.9M-1.4M1.1859.35N/AN/A6,1577,252140,703108,436
2022-07-15$51.20$70.00112.6%31.6%123.3%86.7%112.9%8.8%-3.4%-371.5K136.7M-1.4M1.0763.70N/AN/A6,8247,331141,496106,107
2022-07-18$51.98$70.00115.0%32.6%116.1%89.7%114.1%10.9%-4.2%-305.6K120.5M-1.4M1.4141.37N/AN/A5,3457,562133,11292,663
2022-07-19$54.36$70.00113.0%32.2%116.5%87.2%114.9%10.5%-5.0%-9.6K107.1M-1.5M1.1741.58N/AN/A5,9797,003135,16894,261
2022-07-20$56.25$65.00110.3%31.6%116.6%83.8%111.8%9.0%-4.2%436.5K90.1M-1.6M1.7643.90N/AN/A5,2319,190137,31195,380
2022-07-21$57.28$65.00107.1%30.9%115.8%79.9%108.3%10.1%-4.1%651.4K84.8M-1.6M1.2243.27N/AN/A7,3118,901138,46698,459
2022-07-22$51.84$65.00108.4%31.6%113.7%81.5%108.8%8.6%-5.5%-747.0K134.2M-1.4M1.5045.16N/AN/A6,6109,921139,59998,820
2022-07-25$49.49$60.00109.3%32.7%108.7%82.7%115.6%9.9%-2.8%-723.3K141.7M-1.3M1.1245.44N/AN/A7,3808,265136,29794,764
2022-07-26$45.50$60.00117.7%35.3%110.8%93.1%128.2%10.9%-6.5%-898.2K159.3M-1.2M0.6748.52N/AN/A22,63615,221142,35598,119
2022-07-27$49.84$60.00112.2%34.2%110.4%86.2%120.8%7.3%-5.2%-25.1K125.1M-1.4M1.1047.71N/AN/A10,89911,944160,246103,403
2022-07-28$52.82$60.00114.0%34.6%110.9%88.4%121.3%10.4%-5.6%950.7K85.2M-1.5M2.5643.69N/AN/A7,42819,021166,379105,843
2022-07-29$53.56$60.00111.7%34.2%104.7%85.6%115.7%12.9%-5.8%65.6K74.8M-1.5M1.0942.82N/AN/A16,31817,790166,480109,358