W Options History — September 2023

In September 2023, W traded between $56.88 and $74.61. ATM implied volatility averaged 60.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 3.2% (HV 20d: 57.2%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2023-09-01: Highest Volume — 53,032 contracts
  • 2023-09-18: Largest IV spike — 9.3% change
  • 2023-09-26: Highest IV Rank — 18.7%
  • 2023-09-26: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.31$56.88$74.61$72.20$60.83
Max Pain$60.25$60.00$65.00$65.00$60.00
ATM IV60.4%55.2%68.7%57.0%68.1%
Expected Move17.2%15.4%19.8%15.4%17.3%
HV 20d57.2%49.0%62.2%59.7%57.5%
HV 60d70.1%66.4%72.8%69.6%66.4%
IV Rank6.6%0.0%18.7%0.0%17.9%
IV Percentile5.1%0.0%14.7%0.0%14.7%
Term Structure4.3%-0.3%17.1%1.0%17.1%
VWIV60.9%55.7%69.6%55.7%61.3%
Skew 25d1.7%0.1%3.6%0.1%2.6%
Skew 10d2.9%0.4%5.3%0.4%3.0%
Call IV 25d59.9%55.8%67.7%57.3%62.0%
Put IV 25d61.7%57.0%71.3%57.4%64.6%
Bid-Ask Spread %8.734.1414.544.1814.54
Gamma HHI0.080.040.410.410.06
Net GEX-402.0K-4.7M11.3M11.3M-698.6K
Net DEX-114.2M-283.8M63.8M-283.8M-26.2M
Net VEX-2.6M-2.7M-2.5M-2.6M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.882.521.311.58
Total Volume16,8376,83553,03253,03215,603
Total OI318,858.5300,235338,955315,059338,955

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$72.20$65.0057.0%15.4%59.7%0.0%55.7%0.1%1.0%11.3M-283.8M-2.6M1.314.18N/AN/A22,91430,118130,523184,536
2023-09-05$74.57$60.0058.2%16.8%61.2%1.7%60.7%0.7%0.3%2.1M-280.6M-2.6M1.538.43N/AN/A6,2839,641124,378175,857
2023-09-06$71.87$60.0057.8%16.9%62.2%1.1%59.5%0.8%0.6%483.7K-220.9M-2.6M1.598.30N/AN/A7,32111,621126,955179,501
2023-09-07$70.55$60.0058.1%16.9%54.8%1.6%59.7%1.2%0.5%-179.7K-185.6M-2.7M1.2113.44N/AN/A4,6275,610131,549184,473
2023-09-08$70.93$60.0055.7%16.4%53.3%0.0%57.5%1.1%0.8%-1.2M-197.5M-2.7M1.0614.29N/AN/A5,7286,083132,833186,390
2023-09-11$74.61$60.0056.0%16.3%55.2%0.4%57.3%0.9%0.8%1.3M-279.6M-2.6M0.885.28N/AN/A5,8365,129126,328181,647
2023-09-12$71.45$60.0056.6%16.4%55.0%1.3%59.1%1.4%0.5%86.1K-199.8M-2.6M1.2913.78N/AN/A3,2694,205129,421184,330
2023-09-13$71.69$60.0055.2%16.2%54.9%0.0%57.3%1.2%1.3%453.1K-212.7M-2.6M1.0113.15N/AN/A3,4023,433130,239185,067
2023-09-14$71.20$60.0056.0%16.2%53.7%1.1%56.4%0.8%0.8%250.1K-200.6M-2.6M1.7710.44N/AN/A7,91113,972132,421186,968
2023-09-15$70.59$60.0056.1%16.3%49.0%1.2%57.0%1.6%0.9%2.1M-182.7M-2.6M1.1710.20N/AN/A8,3289,779135,420194,699
2023-09-18$63.66$60.0061.3%17.5%61.1%8.4%62.0%2.6%-0.3%-1.8M-55.0M-2.6M1.005.16N/AN/A15,64115,674119,995182,600
2023-09-19$63.71$60.0060.7%17.4%61.1%7.6%61.1%1.9%0.6%-1.8M-59.2M-2.6M1.574.73N/AN/A5,8479,209128,035186,753
2023-09-20$63.88$60.0060.1%17.2%57.1%6.7%60.6%2.2%0.3%-1.9M-60.7M-2.6M0.8913.33N/AN/A5,6635,056130,733189,963
2023-09-21$60.63$60.0061.9%17.7%58.2%9.3%62.8%2.1%0.6%-3.4M11.7M-2.5M1.748.04N/AN/A4,3657,594133,222190,927
2023-09-22$59.71$60.0062.3%17.8%57.7%9.8%64.6%2.4%0.8%-4.7M28.2M-2.5M1.646.92N/AN/A7,05811,567134,559191,771
2023-09-25$59.20$60.0065.5%18.8%57.6%14.3%65.8%2.2%13.6%-2.3M19.9M-2.5M1.386.89N/AN/A6,8579,458126,730189,400
2023-09-26$56.88$60.0068.7%19.8%58.8%18.7%69.6%3.6%13.6%-3.2M63.8M-2.5M2.524.14N/AN/A5,09212,840130,828194,065
2023-09-27$58.77$60.0065.6%18.7%58.3%14.4%65.9%2.7%16.1%-2.7M22.5M-2.5M1.494.69N/AN/A5,5618,282133,202196,977
2023-09-28$59.32$60.0067.6%18.1%56.9%17.2%64.4%2.9%16.1%-2.2M14.1M-2.5M1.004.65N/AN/A5,0905,073135,353199,567
2023-09-29$60.83$60.0068.1%17.3%57.5%17.9%61.3%2.6%17.1%-698.6K-26.2M-2.6M1.5814.54N/AN/A6,0599,544137,526201,429