WATT Options History — November 2014 In November 2014, WATT traded between $5250.00 and $5904.00. ATM implied volatility averaged 96.2%. The 30-day expected move averaged 28.3%. IV traded above realized volatility by 47.9% (HV 20d: 48.3%). Max pain ranged from $6000.00 to $7500.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.63.
Notable Days 2014-11-19 : Largest IV spike — 2051.3% change2014-11-20 : Largest Expected Move — 41.8%Monthly Statistics Metric Avg Min Max Open Close Price $5590.74 $5250.00 $5904.00 $5904.00 $5496.00 Max Pain $7421.05 $6000.00 $7500.00 $7500.00 $7500.00 ATM IV 96.2% 5.4% 195.6% 77.1% 172.5% Expected Move 28.3% 20.8% 41.8% 22.4% 33.7% HV 20d 48.3% 35.2% 56.1% 48.5% 53.8% HV 60d 71.1% 68.3% 73.8% 69.6% 73.5% Term Structure 60.6% -102.2% 139.4% 74.5% 100.8% VWIV 90.2% 67.0% 170.5% 70.4% 116.9% Skew 25d -18.1% -165.1% 47.6% 0.4% -2.8% Skew 10d 12.0% -145.7% 58.5% 5.3% -145.7% Call IV 25d 137.2% 59.5% 199.5% 95.0% 150.1% Put IV 25d 119.1% 29.2% 222.4% 95.4% 147.3% Bid-Ask Spread % 123.65 96.39 156.67 96.39 156.67 Gamma HHI 0.38 0.28 0.54 0.30 0.45 Net GEX 506 -604 1.5K 113 1.1K Net DEX 2.8K -103.1K 61.5K 43.0K -97.5K Net VEX -520 -749 -247 -427 -722 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 0.00 3.06 2.64 0.18 Total Volume 0 0 0 0 0 Total OI 0.368 0 1 0 1
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-11-03 $5904.00 $7500.00 77.1% 22.4% 48.5% 0.0% 70.4% 0.4% 74.5% 113 43.0K -427 2.64 96.39 N/A N/A 0 0 0 0 2014-11-04 $5868.00 $7500.00 93.0% 22.4% 47.1% 0.0% 69.9% 3.1% 109.5% 312 40.3K -424 2.64 97.99 N/A N/A 0 0 0 0 2014-11-05 $5790.00 $7500.00 86.9% 22.1% 47.2% 0.0% 67.3% 25.7% 139.4% 369 41.1K -414 2.64 109.81 N/A N/A 0 0 0 0 2014-11-06 $5700.00 $7500.00 96.5% 22.4% 43.1% 0.0% 69.3% 25.3% 94.1% 287 43.1K -406 2.59 101.34 N/A N/A 0 0 0 0 2014-11-07 $5616.00 $7500.00 83.8% 27.8% 43.0% 0.0% 106.6% 47.6% 64.9% -604 56.4K -390 2.59 114.08 N/A N/A 0 0 0 0 2014-11-10 $5706.00 $7500.00 102.6% 22.2% 36.0% 0.0% 72.6% 23.7% 74.5% 209 47.2K -385 2.59 102.69 N/A N/A 0 0 0 0 2014-11-11 $5718.00 $6000.00 93.1% 23.3% 35.2% 0.0% 68.7% 21.6% 55.3% 576 4.0K -247 2.59 101.85 N/A N/A 0 0 0 0 2014-11-12 $5250.00 $7500.00 135.8% 20.8% 46.0% 0.0% 77.1% -13.7% 2.1% 192 49.3K -345 3.06 102.59 N/A N/A 0 0 0 0 2014-11-13 $5592.00 $7500.00 181.4% 22.8% 49.9% 0.0% 67.0% 5.7% -102.2% -139 61.5K -377 3.06 106.33 N/A N/A 0 0 0 0 2014-11-14 $5388.00 $7500.00 195.6% 22.6% 51.3% 0.0% 0.0% 23.1% 13.2% -105 57.1K -347 0.00 111.85 N/A N/A 0 0 0 0 2014-11-17 $5406.00 $7500.00 33.8% 33.4% 50.1% 0.0% 104.3% 24.6% 96.9% -111 57.1K -362 0.42 136.58 N/A N/A 0 0 0 0 2014-11-18 $5490.00 $7500.00 5.4% 32.3% 50.2% 0.0% 92.5% 27.8% 100.8% 1.1K -8.0K -709 0.42 141.60 N/A N/A 0 0 1 0 2014-11-19 $5556.00 $7500.00 116.2% 33.3% 50.2% 0.0% 0.0% -0.0% 39.5% 1.3K -9.2K -708 0.00 147.05 N/A N/A 0 0 1 0 2014-11-20 $5790.00 $7500.00 145.6% 41.8% 50.0% 0.0% 102.8% -161.3% -17.7% 609 -37.0K -739 0.42 131.90 N/A N/A 0 0 1 0 2014-11-21 $5802.00 $7500.00 45.0% 31.7% 50.0% 0.0% 170.5% -133.6% 76.8% 1.5K -22.2K -749 0.18 144.96 N/A N/A 0 0 1 0 2014-11-24 $5394.00 $7500.00 72.1% 32.4% 56.1% 0.0% 97.2% -27.7% 108.2% 1.1K -70.3K -674 0.00 153.21 N/A N/A 0 0 0 0 2014-11-25 $5316.00 $7500.00 18.4% 36.2% 56.0% 0.0% 116.9% -165.1% 13.9% 827 -99.4K -726 0.18 145.46 N/A N/A 0 0 1 0 2014-11-26 $5442.00 $7500.00 73.0% 33.5% 54.8% 0.0% 0.0% -68.8% 107.4% 1.0K -103.1K -723 0.00 147.00 N/A N/A 0 0 1 0 2014-11-28 $5496.00 $7500.00 172.5% 33.7% 53.8% 0.0% 0.0% -2.8% 100.8% 1.1K -97.5K -722 0.00 156.67 N/A N/A 0 0 1 0
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