W Options History — January 2023

In January 2023, W traded between $32.48 and $64.17. ATM implied volatility averaged 95.8%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded below realized volatility by 3.3% (HV 20d: 99.2%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.92.

Notable Days

  • 2023-01-23: Highest Volume — 136,011 contracts
  • 2023-01-23: Largest IV spike — 11.6% change
  • 2023-01-30: Highest IV Rank — 65.5%
  • 2023-01-30: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.25$32.48$64.17$32.48$59.43
Max Pain$43.75$40.00$50.00$45.00$50.00
ATM IV95.8%86.5%106.5%99.4%104.8%
Expected Move26.8%24.6%29.4%28.9%28.9%
HV 20d99.2%73.8%134.2%82.7%133.0%
HV 60d114.2%104.5%127.0%111.2%126.4%
IV Rank52.6%36.3%65.5%63.3%62.6%
IV Percentile47.6%14.7%76.6%65.5%74.6%
Term Structure1.0%-5.3%12.8%-0.3%-1.7%
VWIV97.1%89.5%104.9%102.0%104.9%
Skew 25d4.7%-0.5%6.8%5.6%4.7%
Skew 10d11.0%-2.7%18.1%11.1%11.5%
Call IV 25d95.0%84.8%104.7%98.2%104.4%
Put IV 25d99.7%90.1%110.1%103.8%109.1%
Bid-Ask Spread %12.594.3334.145.809.34
Gamma HHI0.120.060.250.250.06
Net GEX-472.8K-3.8M2.7M-2.0M-119.2K
Net DEX-64.6M-393.8M125.5M125.5M-171.6M
Net VEX-1.3M-2.2M-885.0K-885.0K-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.704.360.701.01
Total Volume47,908.6511,850136,01121,99216,062
Total OI309,125.05249,593380,787249,593369,328

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$32.48$45.0099.4%28.9%82.7%63.3%102.0%5.6%-0.3%-2.0M125.5M-885.0K0.705.80N/AN/A12,9149,078108,511141,082
2023-01-04$35.61$45.0097.0%28.2%85.5%60.1%98.9%4.6%-0.3%-1.0M68.2M-961.2K1.714.83N/AN/A13,38022,841115,769143,160
2023-01-05$35.78$40.0096.4%27.6%85.1%58.2%95.7%5.5%-0.6%-794.2K56.8M-966.4K1.5825.54N/AN/A4,5897,261119,547144,607
2023-01-06$38.04$40.0092.0%26.1%86.9%49.8%96.4%6.0%0.9%-230.6K13.5M-983.9K1.1222.67N/AN/A12,95714,518121,499148,124
2023-01-09$38.17$40.0094.7%26.6%86.3%53.7%97.3%6.1%-1.6%-1.3M34.2M-977.7K3.0211.64N/AN/A9,93130,022114,563142,558
2023-01-10$39.85$40.0094.0%26.8%87.3%52.6%97.2%6.8%-0.3%-1.2M18.7M-1.1M3.7915.23N/AN/A6,11623,183118,782158,729
2023-01-11$41.37$40.0093.3%27.0%87.1%51.7%98.0%5.6%1.4%-1.4M-965.5K-1.2M1.9231.88N/AN/A12,35023,702122,767180,214
2023-01-12$42.06$40.0089.4%26.3%83.3%46.1%96.6%5.8%3.3%-848.5K-19.8M-1.2M0.8510.97N/AN/A15,18512,969127,071187,235
2023-01-13$42.95$40.0086.5%24.8%82.0%41.3%89.5%4.4%-1.0%-262.9K-59.4M-1.2M0.819.52N/AN/A22,30617,976135,554189,706
2023-01-17$43.19$40.0087.2%25.0%74.7%41.0%94.0%5.6%10.8%-362.2K-29.8M-1.2M3.5734.14N/AN/A5,97421,315128,953186,350
2023-01-18$41.30$40.0087.1%25.0%75.6%40.2%91.5%5.9%11.5%-1.8M16.0M-1.2M4.3612.93N/AN/A5,91125,801130,986194,435
2023-01-19$38.75$40.0088.2%24.6%73.8%36.3%92.8%6.4%12.8%-3.8M78.7M-1.2M1.957.41N/AN/A9,97319,495132,934203,849
2023-01-20$46.87$40.0091.6%25.4%98.5%41.8%91.0%-0.5%8.0%1.4M-125.6M-1.2M0.964.33N/AN/A68,62465,594135,773207,234
2023-01-23$59.44$45.00102.3%27.6%125.2%58.5%100.4%2.0%-5.3%668.9K-239.9M-1.3M1.256.32N/AN/A60,56275,44978,887171,480
2023-01-24$54.47$50.00103.0%27.4%125.7%59.7%98.1%1.6%-4.9%-549.9K-147.7M-1.5M1.718.09N/AN/A30,37752,026100,533206,709
2023-01-25$56.31$50.00100.7%26.6%125.1%55.9%97.5%3.3%-3.9%702.0K-182.1M-1.7M1.617.44N/AN/A21,34334,414115,043224,191
2023-01-26$55.64$50.0099.3%26.0%123.4%53.6%93.1%5.1%-3.5%866.5K-166.4M-1.8M3.988.21N/AN/A10,03839,936119,497231,711
2023-01-27$64.17$50.00103.0%28.0%128.1%59.6%102.1%2.4%-2.2%2.7M-393.8M-1.9M0.799.00N/AN/A43,71234,478122,300258,487
2023-01-30$59.05$50.00106.5%29.4%134.2%65.5%104.7%6.2%-3.3%-31.3K-166.5M-2.0M1.696.47N/AN/A17,02128,790105,981238,362
2023-01-31$59.43$50.00104.8%28.9%133.0%62.6%104.9%4.7%-1.7%-119.2K-171.6M-2.2M1.019.34N/AN/A7,9848,078114,346254,982