W Options History — July 2023

In July 2023, W traded between $56.84 and $77.73. ATM implied volatility averaged 90.8%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 20.5% (HV 20d: 70.3%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2023-07-06: Highest Volume — 32,421 contracts
  • 2023-07-05: Largest IV spike — 5.9% change
  • 2023-07-31: Highest IV Rank — 42.3%
  • 2023-07-31: Largest Expected Move — 31.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.80$56.84$77.73$68.00$77.73
Max Pain$55.20$55.00$57.00$57.00$55.00
ATM IV90.8%83.1%94.7%83.1%94.7%
Expected Move25.8%19.6%31.0%19.6%31.0%
HV 20d70.3%49.5%74.5%49.5%74.5%
HV 60d74.5%67.7%76.2%67.7%74.3%
IV Rank35.5%21.9%42.3%21.9%42.3%
IV Percentile35.5%17.1%52.8%17.1%52.8%
Term Structure-3.5%-4.8%-1.5%-1.7%-4.8%
VWIV92.0%70.1%111.6%70.1%111.6%
Skew 25d-1.4%-3.2%-0.5%-3.2%-1.4%
Skew 10d-1.3%-5.1%3.2%0.5%2.1%
Call IV 25d93.4%90.2%97.6%90.3%96.0%
Put IV 25d92.0%87.1%95.5%87.1%94.6%
Bid-Ask Spread %3.222.155.023.032.15
Gamma HHI0.060.040.110.060.07
Net GEX2.2M-998.4K5.5M2.3M3.4M
Net DEX-297.7M-418.6M-84.0M-311.7M-418.6M
Net VEX-2.5M-2.6M-2.4M-2.4M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.493.100.861.00
Total Volume19,085.059,22432,42115,36228,541
Total OI316,757.8290,121336,489290,121314,356

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$68.00$57.0083.1%19.6%49.5%21.9%70.1%-3.2%-1.7%2.3M-311.7M-2.4M0.863.03N/AN/A8,2427,120109,059181,062
2023-07-05$63.69$57.0088.0%19.9%56.3%30.6%70.9%-1.9%-1.5%855.8K-225.4M-2.5M1.573.79N/AN/A7,75912,173113,396185,558
2023-07-06$56.84$55.0092.8%25.2%69.2%39.0%89.3%-0.9%-1.5%-998.4K-84.0M-2.4M1.353.60N/AN/A13,80518,616115,834188,988
2023-07-07$61.70$55.0088.1%24.3%74.0%30.7%85.5%-0.5%-1.9%270.0K-192.3M-2.5M1.023.32N/AN/A13,97314,312120,916194,445
2023-07-10$65.07$55.0090.7%24.7%71.4%35.2%87.8%-0.7%-4.1%1.9M-261.2M-2.5M0.822.52N/AN/A8,8987,298114,134192,096
2023-07-11$68.36$55.0090.6%25.0%71.2%35.2%88.6%-0.9%-3.3%3.2M-330.5M-2.5M0.883.23N/AN/A11,3179,921117,738194,841
2023-07-12$69.22$55.0089.4%24.5%70.7%33.0%86.7%-0.8%-3.9%3.7M-343.7M-2.5M1.142.63N/AN/A8,4719,615119,509198,148
2023-07-13$71.68$55.0089.4%24.8%70.9%33.1%88.3%-1.1%-3.5%4.6M-394.7M-2.5M0.964.82N/AN/A12,06711,568121,634202,854
2023-07-14$69.39$55.0089.3%24.8%72.8%32.8%87.8%-1.8%-3.8%3.5M-340.0M-2.6M0.913.25N/AN/A10,1769,225124,610207,616
2023-07-17$71.09$55.0092.1%26.0%72.9%37.7%94.3%-1.6%-3.9%2.5M-338.3M-2.5M3.102.71N/AN/A5,65017,500114,676199,334
2023-07-18$71.69$55.0092.3%26.3%72.7%38.2%92.8%-0.9%-4.4%2.2M-341.8M-2.6M1.162.81N/AN/A6,2107,195116,739206,017
2023-07-19$72.02$55.0091.7%26.3%72.7%37.1%93.0%-2.0%-3.7%2.3M-349.6M-2.6M1.112.77N/AN/A4,3794,845118,063208,550
2023-07-20$70.48$55.0091.4%26.4%73.5%36.5%93.3%-1.6%-4.4%1.2M-308.0M-2.6M0.953.13N/AN/A8,3807,996119,097210,550
2023-07-21$71.05$55.0090.0%26.2%73.5%34.0%94.0%-2.8%-4.2%2.6M-337.5M-2.6M1.175.02N/AN/A8,3049,748124,757211,732
2023-07-24$69.76$55.0091.9%27.5%74.2%37.4%99.0%-0.6%-4.0%1.3M-263.3M-2.6M1.213.26N/AN/A4,1745,062112,521191,527
2023-07-25$68.44$55.0093.5%28.3%74.2%40.3%100.6%-1.1%-3.8%811.7K-239.4M-2.6M0.493.36N/AN/A14,4757,084114,440193,986
2023-07-26$68.16$55.0092.6%28.2%69.9%38.6%99.6%-1.0%-4.0%1.2M-245.7M-2.6M1.472.77N/AN/A4,4346,507125,916196,991
2023-07-27$68.43$55.0093.7%29.0%69.3%40.5%104.1%-2.1%-4.3%1.4M-256.8M-2.6M1.773.21N/AN/A4,1187,289127,144197,631
2023-07-28$73.14$55.0090.9%28.4%72.7%35.6%101.9%-1.6%-4.0%5.5M-372.0M-2.5M1.123.09N/AN/A11,93913,315128,251200,440
2023-07-31$77.73$55.0094.7%31.0%74.5%42.3%111.6%-1.4%-4.8%3.4M-418.6M-2.6M1.002.15N/AN/A14,26314,278120,912193,444