W Options History — December 2023

In December 2023, W traded between $51.22 and $67.66. ATM implied volatility averaged 68.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 9.1% (HV 20d: 77.3%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2023-12-13: Highest Volume — 56,411 contracts
  • 2023-12-14: Largest IV spike — 4.7% change
  • 2023-12-14: Highest IV Rank — 33.3%
  • 2023-12-20: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.51$51.22$67.66$58.23$61.78
Max Pain$51.75$40.00$55.00$40.00$53.00
ATM IV68.2%62.4%72.7%62.4%67.5%
Expected Move19.4%18.6%20.5%18.7%18.8%
HV 20d77.3%70.7%81.6%79.8%76.0%
HV 60d74.7%70.7%77.7%71.9%74.6%
IV Rank24.8%13.7%33.3%13.7%23.5%
IV Percentile24.2%8.3%30.6%8.3%24.2%
Term Structure0.3%-1.2%2.2%-0.3%2.2%
VWIV69.8%66.0%77.5%66.0%67.9%
Skew 25d-1.0%-2.3%0.4%-0.6%-0.9%
Skew 10d0.1%-3.7%10.7%0.9%-2.2%
Call IV 25d70.0%63.8%75.3%63.8%68.6%
Put IV 25d69.0%63.2%72.9%63.2%67.7%
Bid-Ask Spread %53.3031.7267.9931.7242.04
Gamma HHI0.070.040.130.070.05
Net GEX4.1M445.3K7.6M5.0M1.4M
Net DEX-267.5M-442.9M-53.9M-280.0M-219.7M
Net VEX-2.3M-2.4M-2.2M-2.3M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.311.320.631.32
Total Volume21,140.57,67556,41118,52218,589
Total OI394,686.95375,276420,782398,271398,316

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$58.23$40.0062.4%18.7%79.8%13.7%66.0%-0.6%-0.3%5.0M-280.0M-2.3M0.6331.72N/AN/A11,3617,161173,618224,653
2023-12-04$58.21$55.0064.8%18.6%78.1%18.3%66.7%-0.3%0.5%4.6M-243.5M-2.4M0.9262.81N/AN/A8,0187,358165,651209,625
2023-12-05$56.09$55.0065.9%18.9%72.8%20.4%66.7%-1.6%0.9%3.4M-185.4M-2.3M0.5463.99N/AN/A8,5444,615167,228213,452
2023-12-06$53.01$55.0066.9%19.3%76.5%22.3%68.5%-0.9%1.1%1.5M-97.9M-2.2M0.6865.31N/AN/A9,8246,669169,459215,976
2023-12-07$52.70$55.0067.7%19.4%76.5%23.8%68.8%-0.5%0.4%1.4M-88.0M-2.2M0.8567.99N/AN/A6,6025,635172,725218,503
2023-12-08$55.09$55.0066.5%18.9%70.7%21.5%70.0%-0.8%0.8%3.3M-154.2M-2.2M0.4265.80N/AN/A19,1648,024175,521221,662
2023-12-11$54.86$55.0066.7%19.1%70.9%22.0%67.8%-0.6%-0.1%2.2M-148.1M-2.2M0.3164.87N/AN/A16,3185,046167,802219,606
2023-12-12$51.22$55.0066.8%19.1%73.9%22.1%68.0%-0.9%-0.2%445.3K-53.9M-2.2M0.6463.21N/AN/A12,3197,887174,419221,481
2023-12-13$57.66$55.0069.4%19.7%75.9%27.1%77.5%0.4%-0.7%4.5M-236.0M-2.3M0.8267.16N/AN/A30,96625,445177,013225,464
2023-12-14$63.62$50.0072.7%20.5%81.6%33.3%72.1%-2.3%-1.1%7.6M-442.9M-2.4M0.4862.68N/AN/A35,98417,357180,974232,352
2023-12-15$63.84$50.0069.6%19.8%79.4%27.5%73.9%-2.3%-1.2%7.4M-411.6M-2.4M0.4464.31N/AN/A18,2408,070181,545239,237
2023-12-18$63.18$50.0069.2%19.8%80.0%26.7%70.0%-1.7%0.7%4.0M-308.5M-2.3M1.1645.05N/AN/A8,90710,374164,965215,330
2023-12-19$66.88$50.0069.3%19.8%80.2%26.8%70.6%-2.0%0.6%5.6M-400.2M-2.4M0.5844.71N/AN/A14,2678,292167,357221,510
2023-12-20$65.33$50.0071.6%20.5%80.1%31.3%73.1%-1.0%1.2%5.0M-351.6M-2.4M0.5938.27N/AN/A10,2216,019171,238224,567
2023-12-21$67.66$50.0069.9%20.0%80.4%28.0%71.4%-0.9%0.8%6.6M-412.4M-2.4M0.4645.06N/AN/A11,1685,088172,799226,181
2023-12-22$66.84$50.0069.1%19.7%81.0%26.5%69.6%-0.4%1.1%5.8M-393.9M-2.4M0.6945.65N/AN/A11,5307,969178,431227,985
2023-12-26$65.20$50.0070.5%19.7%79.7%29.2%70.8%-1.1%-1.1%4.3M-326.2M-2.3M0.7543.45N/AN/A6,6564,984168,997217,332
2023-12-27$64.47$50.0069.3%19.3%76.9%27.0%68.1%-0.9%-0.7%4.0M-301.5M-2.3M0.4340.42N/AN/A7,2983,166172,928220,768
2023-12-28$64.27$52.0068.5%19.0%76.3%25.4%67.8%-0.4%1.6%3.8M-295.2M-2.3M0.5441.47N/AN/A4,9822,693175,162221,907
2023-12-29$61.78$53.0067.5%18.8%76.0%23.5%67.9%-0.9%2.2%1.4M-219.7M-2.2M1.3242.04N/AN/A8,00710,582175,200223,116