W Options History — September 2022

In September 2022, W traded between $32.77 and $56.27. ATM implied volatility averaged 95.3%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 27.2%. IV traded below realized volatility by 3.0% (HV 20d: 98.4%). Max pain ranged from $42.00 to $75.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.55.

Notable Days

2022-09-26: Highest Volume — 26,399 contracts
2022-09-12: Largest IV spike — 4.9% change
2022-09-30: Highest IV Rank — 77.1%
2022-09-26: Largest Expected Move — 30.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.60	$32.77	$56.27	$50.61	$32.77
Max Pain	$51.79	$42.00	$75.00	$75.00	$42.00
ATM IV	95.3%	86.1%	106.0%	90.4%	106.0%
Expected Move	27.2%	25.2%	30.0%	25.8%	29.7%
HV 20d	98.4%	76.5%	133.2%	133.1%	87.1%
HV 60d	114.8%	107.2%	118.8%	117.3%	107.3%
IV Rank	64.9%	53.6%	77.1%	59.1%	77.1%
IV Percentile	70.4%	48.4%	85.7%	61.9%	85.7%
Term Structure	1.3%	-2.9%	10.2%	0.1%	10.2%
VWIV	95.9%	89.4%	108.4%	93.2%	105.8%
Skew 25d	7.2%	4.1%	9.4%	6.3%	9.4%
Skew 10d	13.3%	6.8%	19.6%	11.3%	14.5%
Call IV 25d	93.2%	84.6%	100.2%	89.1%	99.7%
Put IV 25d	100.4%	91.6%	109.5%	95.4%	109.1%
Bid-Ask Spread %	21.42	7.98	30.14	7.98	20.46
Gamma HHI	0.12	0.05	0.69	0.11	0.06
Net GEX	-1.5M	-9.0M	-181.6K	-2.3M	-282.0K
Net DEX	134.2M	98.3M	191.2M	170.4M	117.8M
Net VEX	-896.8K	-1.1M	-651.3K	-1.0M	-651.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.67	3.81	1.50	1.59
Total Volume	18,059.714	6,297	26,399	12,382	24,377
Total OI	193,483.429	166,465	219,277	202,409	191,797

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
2022-09-01	$50.61	$75.00	90.4%	25.8%	133.1%	59.1%	93.2%	6.3%	0.1%	-2.3M	170.4M	-1.0M	1.50	7.98	N/A	N/A	4,957	7,425	102,095	100,314
2022-09-02	$49.38	$75.00	90.4%	25.4%	133.2%	59.2%	90.7%	5.4%	-0.5%	-2.2M	178.6M	-1.0M	1.46	21.17	N/A	N/A	4,968	7,270	104,764	101,916
2022-09-06	$48.48	$55.00	92.2%	26.1%	120.4%	61.3%	92.4%	5.5%	-1.0%	-2.0M	168.6M	-979.3K	2.40	23.64	N/A	N/A	5,256	12,598	101,671	96,172
2022-09-07	$50.50	$55.00	90.7%	25.8%	106.0%	59.3%	89.7%	6.6%	-0.8%	-1.9M	154.7M	-1.0M	2.63	24.04	N/A	N/A	6,901	18,157	102,802	97,408
2022-09-08	$49.09	$55.00	89.1%	25.4%	101.6%	57.3%	91.2%	6.8%	0.5%	-1.7M	165.5M	-985.0K	1.28	29.90	N/A	N/A	6,465	8,253	105,167	97,978
2022-09-09	$51.89	$50.00	86.1%	25.2%	104.5%	53.6%	89.4%	7.0%	0.1%	-896.6K	133.4M	-1.0M	1.46	25.59	N/A	N/A	9,819	14,324	109,413	101,786
2022-09-12	$56.27	$50.00	90.3%	25.7%	106.9%	58.9%	90.4%	6.9%	-0.2%	-389.8K	98.3M	-1.1M	0.79	23.19	N/A	N/A	6,543	5,146	106,851	98,186
2022-09-13	$49.54	$50.00	94.3%	26.6%	114.5%	63.8%	91.8%	6.4%	-0.6%	-1.6M	158.6M	-1.0M	1.58	24.41	N/A	N/A	9,924	15,709	110,027	100,353
2022-09-14	$50.10	$50.00	95.3%	26.5%	110.1%	65.0%	94.5%	8.5%	-2.8%	-1.9M	153.4M	-1.1M	3.81	25.87	N/A	N/A	2,560	9,756	112,147	103,880
2022-09-15	$48.70	$50.00	92.5%	26.2%	109.4%	61.6%	92.3%	6.5%	-2.9%	-2.6M	155.1M	-1.0M	0.88	30.14	N/A	N/A	4,946	4,340	113,350	103,184
2022-09-16	$45.18	$50.00	94.1%	27.0%	110.4%	63.5%	93.4%	6.8%	0.7%	-9.0M	191.2M	-911.3K	0.91	29.93	N/A	N/A	13,567	12,401	115,695	103,582
2022-09-19	$46.10	$50.00	94.3%	27.0%	80.2%	63.8%	95.2%	8.7%	-1.4%	-378.9K	101.3M	-923.3K	0.67	14.20	N/A	N/A	3,779	2,518	94,153	72,312
2022-09-20	$43.46	$50.00	97.5%	27.9%	80.9%	67.8%	97.6%	5.8%	-1.2%	-510.2K	101.0M	-865.4K	0.67	16.46	N/A	N/A	4,965	3,332	96,523	71,218
2022-09-21	$42.49	$50.00	96.0%	27.5%	80.7%	66.0%	96.9%	4.1%	-0.2%	-494.1K	101.6M	-853.4K	2.42	17.36	N/A	N/A	4,070	9,856	99,951	72,869
2022-09-22	$39.66	$50.00	96.6%	27.8%	82.0%	66.7%	95.7%	8.3%	-1.4%	-990.8K	117.1M	-760.7K	1.01	17.42	N/A	N/A	8,494	8,569	101,805	73,181
2022-09-23	$37.80	$50.00	99.0%	28.5%	80.3%	69.7%	98.1%	7.4%	-1.1%	-868.5K	119.0M	-728.4K	0.69	21.29	N/A	N/A	8,286	5,740	106,304	74,746
2022-09-26	$36.08	$45.50	103.7%	30.0%	78.3%	75.5%	108.4%	9.3%	6.2%	-403.3K	109.8M	-666.9K	1.75	22.70	N/A	N/A	9,592	16,807	98,953	70,484
2022-09-27	$35.78	$45.00	101.2%	29.5%	76.5%	71.8%	104.3%	9.2%	8.4%	-395.1K	107.5M	-695.9K	2.26	22.05	N/A	N/A	8,022	18,129	102,304	75,108
2022-09-28	$38.21	$45.00	99.1%	28.4%	82.3%	68.2%	99.5%	8.1%	4.8%	-181.6K	100.3M	-781.7K	1.83	16.16	N/A	N/A	8,886	16,292	103,929	80,985
2022-09-29	$34.59	$45.00	103.0%	29.5%	87.3%	73.3%	103.0%	9.2%	10.2%	-757.5K	115.5M	-703.9K	0.96	15.80	N/A	N/A	13,392	12,863	106,024	81,765
2022-09-30	$32.77	$42.00	106.0%	29.7%	87.1%	77.1%	105.8%	9.4%	10.2%	-282.0K	117.8M	-651.3K	1.59	20.46	N/A	N/A	9,413	14,964	109,259	82,538