WATT Options History — December 2014

In December 2014, WATT traded between $4332.00 and $6576.00. ATM implied volatility averaged 68.4%. The 30-day expected move averaged 25.0%. IV traded below realized volatility by 9.4% (HV 20d: 77.8%). Max pain ranged from $6000.00 to $7500.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2014-12-24: Highest Volume — 1 contracts
  • 2014-12-22: Largest IV spike — 7191.9% change
  • 2014-12-18: Largest Expected Move — 57.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5072.73$4332.00$6576.00$5190.00$6576.00
Max Pain$6818.18$6000.00$7500.00$7500.00$6000.00
ATM IV68.4%1.2%118.7%91.0%81.1%
Expected Move25.0%0.2%57.7%49.5%23.6%
HV 20d77.8%56.8%103.3%56.8%98.0%
HV 60d63.3%55.4%73.1%67.8%72.7%
Term Structure24.9%-167.8%202.4%160.2%13.8%
VWIV114.2%72.1%167.7%153.7%85.6%
Skew 25d-8.9%-104.2%84.6%-11.5%-6.6%
Skew 10d-61.2%-160.3%62.8%-110.1%4.9%
Call IV 25d136.2%64.8%199.5%146.4%102.0%
Put IV 25d127.3%22.4%204.6%134.9%95.4%
Bid-Ask Spread %133.5493.85154.04137.9693.85
Gamma HHI0.400.300.580.370.34
Net GEX1.6K-1.7K7.1K1.0K6.9K
Net DEX-82.8K-319.0K28.4K-9.4K-319.0K
Net VEX-630-1.4K-337-529-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.060.190.19
Total Volume0.0450100
Total OI11111

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$5190.00$7500.0091.0%49.5%56.8%0.0%153.7%-11.5%160.2%1.0K-9.4K-5290.19137.96N/AN/A0010
2014-12-02$4884.00$7500.0076.8%34.7%59.9%0.0%83.5%2.1%-35.4%895-41.0K-5790.18133.25N/AN/A0010
2014-12-03$4830.00$7500.00114.4%36.4%59.9%0.0%139.2%-104.2%-110.2%1.1K-78.0K-6360.13137.53N/AN/A0010
2014-12-04$4974.00$7500.0096.2%50.2%61.4%0.0%0.0%-14.8%0.0%8211.4K-5030.00142.25N/AN/A0010
2014-12-05$4962.00$7500.0091.9%34.5%61.4%0.0%85.5%63.0%202.4%1.3K-40.9K-5690.13128.09N/AN/A0010
2014-12-08$4536.00$7500.00118.7%56.2%68.1%0.0%167.7%14.9%189.2%299-56.1K-6000.16143.54N/AN/A0010
2014-12-09$4920.00$7500.00113.9%14.4%75.0%0.0%72.1%-81.7%-0.6%135-106.0K-6330.14140.45N/AN/A0010
2014-12-10$4500.00$7500.0080.8%6.5%80.3%0.0%91.1%-42.9%-167.8%-609-104.1K-6000.14136.07N/AN/A0010
2014-12-11$4488.00$7500.0083.3%25.5%75.5%0.0%134.3%14.1%5.4%-25825.3K-3940.14144.12N/AN/A0010
2014-12-12$4332.00$7500.001.4%1.2%71.2%0.0%152.1%-30.4%2.7%-393-112.2K-5620.14154.04N/AN/A0010
2014-12-15$4440.00$7500.0093.3%27.2%71.8%0.0%141.5%-76.1%0.0%-8917.3K-4070.14148.46N/AN/A0010
2014-12-16$4512.00$7500.002.8%0.8%72.2%0.0%145.2%16.2%0.0%-873-3.2K-4540.15149.10N/AN/A0010
2014-12-17$4488.00$6000.005.3%33.6%71.7%0.0%112.1%84.6%111.9%-1.7K28.4K-3370.15145.43N/AN/A0010
2014-12-18$4980.00$6000.002.0%57.7%82.1%0.0%134.7%-17.0%0.0%1.2K-85.8K-5790.13147.11N/AN/A0010
2014-12-19$4794.00$6000.001.2%2.6%81.0%0.0%129.6%-25.2%0.0%1.1K-95.5K-5971.00149.85N/AN/A0010
2014-12-22$4776.00$6000.0089.7%0.2%80.9%0.0%148.1%-10.0%0.0%1.1K-70.9K-5200.09149.93N/AN/A0010
2014-12-23$4800.00$6000.0073.9%2.4%77.5%0.0%80.0%-14.9%0.0%1.2K-76.9K-5560.09148.93N/AN/A0010
2014-12-24$5676.00$6000.0072.3%21.4%98.8%0.0%80.1%33.7%-4.7%2.2K-14.3K-4020.06107.19N/AN/A1010
2014-12-26$6210.00$6000.0065.1%26.2%103.3%0.0%88.3%20.5%26.2%5.5K-169.0K-7460.1194.74N/AN/A0010
2014-12-29$6204.00$6000.0080.3%21.6%103.3%0.0%80.3%-16.1%0.9%6.5K-237.9K-9330.16100.42N/AN/A0010
2014-12-30$6528.00$6000.0068.8%22.6%101.7%0.0%93.0%7.3%4.6%7.1K-273.6K-1.3K1.06105.50N/AN/A0010
2014-12-31$6576.00$6000.0081.1%23.6%98.0%0.0%85.6%-6.6%13.8%6.9K-319.0K-1.4K0.1993.85N/AN/A0010