W Options History — December 2022

In December 2022, W traded between $31.37 and $41.82. ATM implied volatility averaged 95.3%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 27.3%. IV traded below realized volatility by 18.6% (HV 20d: 113.9%). Max pain ranged from $39.00 to $60.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 2.68.

Notable Days

  • 2022-12-28: Highest Volume — 62,729 contracts
  • 2022-12-13: Largest IV drop — 6.5% change
  • 2022-12-12: Highest IV Rank — 65.6%
  • 2022-12-01: Largest Expected Move — 31.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.34$31.37$41.82$41.82$32.72
Max Pain$56.12$39.00$60.00$39.00$50.00
ATM IV95.3%91.5%99.9%97.4%94.4%
Expected Move27.3%26.1%31.3%31.3%27.0%
HV 20d113.9%82.7%150.7%150.7%82.7%
HV 60d113.1%111.3%115.8%115.3%111.9%
IV Rank59.7%55.1%65.6%62.5%56.6%
IV Percentile51.7%35.7%67.9%61.9%46.0%
Term Structure-0.0%-4.3%2.4%-1.1%2.4%
VWIV96.8%90.8%111.3%111.3%96.9%
Skew 25d4.2%0.3%6.9%5.0%5.1%
Skew 10d10.4%4.6%14.9%9.7%9.1%
Call IV 25d95.0%91.2%100.0%97.1%93.3%
Put IV 25d99.2%95.9%104.5%102.2%98.4%
Bid-Ask Spread %19.346.5337.8117.546.88
Gamma HHI0.170.080.330.080.24
Net GEX-1.7M-4.3M1.7M-183.4K-4.3M
Net DEX98.1M-4.4M157.6M4.3M134.4M
Net VEX-946.1K-1.0M-861.4K-984.7K-915.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.681.009.231.251.69
Total Volume23,228.197,51762,72948,86113,037
Total OI247,004.762224,336267,032224,336267,032

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$41.82$39.0097.4%31.3%150.7%62.5%111.3%5.0%-1.1%-183.4K4.3M-984.7K1.2517.54N/AN/A21,74127,120104,638119,698
2022-12-02$41.53$39.5093.7%29.9%149.8%57.8%107.0%2.0%-0.2%-229.6K-4.4M-1.0M1.0420.64N/AN/A12,39512,911113,993131,069
2022-12-05$38.03$60.0095.7%26.7%144.1%60.3%94.6%1.9%-1.2%-1.0M76.6M-970.1K1.1133.98N/AN/A7,9678,855105,036126,846
2022-12-06$37.11$60.0095.2%27.1%144.4%59.7%97.9%2.8%0.7%-1.1M89.0M-952.3K1.0028.55N/AN/A4,4374,448109,843129,595
2022-12-07$35.80$60.0095.3%26.9%145.1%59.8%95.2%3.0%0.1%-1.5M107.3M-926.0K9.2332.83N/AN/A2,48122,903111,661132,007
2022-12-08$36.91$60.0095.5%27.4%138.2%60.1%95.9%0.3%1.1%-1.1M90.9M-939.1K1.7131.29N/AN/A5,7139,745113,142131,777
2022-12-09$37.80$60.0097.0%27.3%108.4%62.0%96.2%3.5%1.6%1.7M79.4M-948.6K3.7334.97N/AN/A8,55931,892116,596133,332
2022-12-12$36.59$60.0099.9%28.1%99.0%65.6%102.3%4.6%-2.0%-2.1M110.8M-983.0K1.8433.27N/AN/A7,29813,413103,035141,349
2022-12-13$39.44$60.0093.4%26.2%103.1%57.5%93.9%6.0%-1.7%-1.2M70.7M-1.0M1.0825.83N/AN/A7,4828,091107,334145,026
2022-12-14$41.35$60.0094.1%26.3%104.3%58.4%94.6%3.6%-4.3%-853.1K42.0M-1.0M2.9937.81N/AN/A8,80426,308107,292147,084
2022-12-15$37.84$60.0093.7%26.1%100.4%57.9%94.2%4.3%-3.3%-2.0M99.0M-978.8K1.3217.79N/AN/A6,3788,391108,630150,478
2022-12-16$36.59$60.0093.5%26.8%95.2%57.6%91.7%4.7%-0.2%-3.6M111.6M-946.0K2.5314.41N/AN/A5,51213,958112,001151,213
2022-12-19$33.89$60.0094.5%26.9%98.9%58.9%97.7%3.2%1.3%-1.9M128.8M-881.8K2.1011.71N/AN/A3,6807,724100,373129,976
2022-12-20$34.33$60.0094.3%27.0%98.9%58.6%97.3%3.7%0.4%-1.9M126.1M-895.7K2.498.58N/AN/A2,1515,366103,402134,322
2022-12-21$36.80$60.0091.5%26.2%101.7%55.1%91.8%4.6%1.5%-1.4M99.6M-966.2K6.239.71N/AN/A4,51228,102104,518137,628
2022-12-22$33.87$60.0096.9%27.7%106.4%61.9%97.9%6.9%2.0%-2.2M134.2M-927.8K2.998.79N/AN/A6,59819,715105,957141,055
2022-12-23$33.59$55.0094.0%26.8%106.4%58.2%95.1%6.7%2.0%-2.1M137.5M-921.4K1.4010.82N/AN/A3,6315,085109,559144,724
2022-12-27$32.22$55.0097.8%27.5%107.4%63.0%97.1%4.1%0.0%-2.3M142.9M-871.0K1.007.09N/AN/A8,2178,229103,879137,339
2022-12-28$31.37$50.0097.5%27.5%107.7%62.7%90.8%6.6%0.7%-3.0M157.6M-861.4K7.327.18N/AN/A7,54455,185107,884144,321
2022-12-29$33.56$50.0095.0%26.9%97.9%59.5%92.9%5.0%-0.1%-2.9M122.5M-934.0K2.246.53N/AN/A6,85615,358111,013151,443
2022-12-30$32.72$50.0094.4%27.0%82.7%56.6%96.9%5.1%2.4%-4.3M134.4M-915.2K1.696.88N/AN/A4,8548,183113,798153,234