W Options History — November 2023

In November 2023, W traded between $41.24 and $58.50. ATM implied volatility averaged 65.4%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 8.2% (HV 20d: 73.6%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2023-11-01: Highest Volume — 52,168 contracts
  • 2023-11-06: Largest IV spike — 7.9% change
  • 2023-11-16: Highest IV Rank — 25.5%
  • 2023-11-01: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.30$41.24$58.50$44.39$56.05
Max Pain$42.62$40.00$50.00$50.00$40.00
ATM IV65.4%61.7%69.6%69.6%63.2%
Expected Move19.1%18.1%20.5%20.5%19.1%
HV 20d73.6%63.0%81.5%63.0%81.5%
HV 60d67.1%62.2%71.4%62.5%71.4%
IV Rank19.1%11.3%25.5%23.9%15.3%
IV Percentile13.1%7.1%19.4%15.9%8.7%
Term Structure-0.3%-1.7%1.4%-0.2%-0.3%
VWIV67.8%64.6%71.9%71.9%67.3%
Skew 25d2.1%-0.4%5.4%5.4%0.2%
Skew 10d4.8%0.5%10.5%10.5%2.2%
Call IV 25d65.5%60.8%68.5%67.5%64.8%
Put IV 25d67.6%64.0%72.9%72.9%65.0%
Bid-Ask Spread %13.713.9029.853.9019.75
Gamma HHI0.070.040.110.060.06
Net GEX-147.3K-3.9M5.4M-372.2K2.9M
Net DEX7.2M-290.4M200.1M121.2M-205.5M
Net VEX-2.1M-2.4M-1.8M-2.0M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.382.841.360.87
Total Volume24,148.1435,19252,16852,16818,281
Total OI381,512.952350,350409,344394,497389,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$44.39$50.0069.6%20.5%63.0%23.9%71.9%5.4%-0.2%-372.2K121.2M-2.0M1.363.90N/AN/A22,12130,047167,623226,874
2023-11-02$47.31$45.0064.8%19.2%67.3%16.6%69.6%3.7%1.0%1.4M28.2M-2.1M0.9313.04N/AN/A15,61314,490168,975234,166
2023-11-03$50.03$45.0061.7%18.1%69.3%11.3%65.9%3.2%0.5%818.8K-58.4M-2.2M1.0514.35N/AN/A12,23812,874170,640238,704
2023-11-06$46.12$45.0066.6%19.3%71.0%21.8%67.5%4.2%0.5%-2.2M99.2M-2.0M0.448.74N/AN/A17,4117,674145,625219,112
2023-11-07$46.55$45.0064.7%19.0%69.4%18.2%66.1%4.2%1.4%-1.9M83.0M-2.1M2.847.50N/AN/A6,57918,689154,642221,543
2023-11-08$46.41$45.0063.2%18.4%69.5%15.3%64.8%3.7%1.0%-2.6M96.9M-2.1M1.158.95N/AN/A3,8924,465155,886232,228
2023-11-09$42.91$45.0066.3%18.9%68.8%21.2%66.7%3.7%-0.5%-3.6M181.5M-1.9M0.986.86N/AN/A7,2987,154156,791233,461
2023-11-10$43.13$45.0063.8%18.3%65.5%16.4%64.9%3.1%-0.3%-3.9M184.0M-1.9M1.6310.01N/AN/A4,1006,696159,155235,000
2023-11-13$41.24$45.0066.2%19.0%66.6%21.0%66.5%3.5%-0.7%-2.9M200.1M-1.8M0.8515.66N/AN/A7,3216,256152,912224,552
2023-11-14$45.89$45.0066.0%19.0%77.9%20.7%68.4%2.8%-0.6%-2.3M95.2M-2.0M1.3129.85N/AN/A21,02427,549156,501228,189
2023-11-15$47.63$40.0067.5%19.3%76.8%23.4%68.4%1.6%-0.6%-2.0M12.0M-2.2M1.2823.35N/AN/A19,29324,653159,090236,233
2023-11-16$45.89$40.0068.5%19.7%77.6%25.5%68.6%2.2%-1.7%-2.5M66.2M-2.0M1.2410.31N/AN/A5,8467,236160,917231,753
2023-11-17$46.90$40.0065.8%19.0%77.9%20.2%69.8%1.8%-1.2%-1.6M44.5M-2.1M0.8027.18N/AN/A18,41414,685162,840233,566
2023-11-20$49.47$40.0066.1%19.0%78.7%20.9%67.7%0.2%-1.1%900.6K-44.7M-2.1M0.5110.10N/AN/A17,5769,017145,940204,410
2023-11-21$48.22$40.0064.6%18.7%79.5%18.0%69.0%-0.1%-1.0%586.6K-22.6M-2.1M0.657.28N/AN/A6,0713,975154,763209,357
2023-11-22$48.94$40.0064.8%18.7%75.8%18.3%65.6%-0.3%-0.8%1.5M-42.1M-2.2M0.4815.17N/AN/A5,5392,669156,474210,925
2023-11-24$49.36$40.0063.9%18.4%74.3%16.6%64.6%1.5%-1.7%2.6M-48.3M-2.2M0.7115.98N/AN/A3,0442,148158,372211,572
2023-11-27$52.80$40.0065.5%19.9%76.6%19.6%69.9%-0.0%0.5%2.1M-118.6M-2.2M0.387.74N/AN/A25,2059,628151,914204,227
2023-11-28$56.59$40.0064.3%19.5%79.1%17.3%68.6%-0.4%-0.4%4.5M-231.3M-2.3M0.3814.07N/AN/A21,8998,214161,213208,583
2023-11-29$58.50$40.0066.0%20.1%79.4%20.5%71.5%0.5%-1.2%5.4M-290.4M-2.4M0.7118.15N/AN/A17,63212,595166,292211,712
2023-11-30$56.05$40.0063.2%19.1%81.5%15.3%67.3%0.2%-0.3%2.9M-205.5M-2.3M0.8719.75N/AN/A9,7518,530169,766219,274