WATT Options History — January 2015

In January 2015, WATT traded between $5178.00 and $7296.00. ATM implied volatility averaged 86.7%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 12.3% (HV 20d: 99.0%). Max pain ranged from $6000.00 to $6000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.90.

Notable Days

2015-01-06: Highest Volume — 2 contracts
2015-01-27: Largest IV spike — 38.2% change
2015-01-27: Highest IV Rank — 49.8%
2015-01-27: Largest Expected Move — 28.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5955.60	$5178.00	$7296.00	$6750.00	$5640.00
Max Pain	$6000.00	$6000.00	$6000.00	$6000.00	$6000.00
ATM IV	86.7%	65.6%	124.7%	81.3%	77.8%
Expected Move	24.6%	20.7%	28.6%	21.6%	22.3%
HV 20d	99.0%	81.3%	108.6%	97.6%	81.3%
HV 60d	79.3%	72.7%	81.8%	72.7%	81.8%
IV Rank	42.7%	35.9%	49.8%	45.9%	38.7%
IV Percentile	44.5%	22.6%	63.4%	56.3%	30.7%
Term Structure	-1.9%	-16.0%	13.7%	4.0%	-5.0%
VWIV	88.3%	66.2%	115.6%	90.3%	90.7%
Skew 25d	10.5%	-8.1%	39.3%	28.6%	30.2%
Skew 10d	13.9%	-21.7%	48.8%	34.5%	40.0%
Call IV 25d	83.1%	64.0%	102.3%	86.1%	75.8%
Put IV 25d	93.5%	72.4%	114.7%	114.7%	105.9%
Bid-Ask Spread %	101.57	92.71	109.21	93.41	109.18
Gamma HHI	0.40	0.33	0.46	0.33	0.42
Net GEX	9.3K	5.5K	12.4K	8.2K	9.9K
Net DEX	-113.5K	-605.2K	156.6K	-362.8K	69.0K
Net VEX	-3.4K	-4.3K	-1.6K	-1.6K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.00	2.23	0.52	0.98
Total Volume	1.25	0	2	0	2
Total OI	3.6	1	4	1	4

Daily Data (20 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
2015-01-02	$6750.00	$6000.00	81.3%	21.6%	97.6%	0.0%	90.3%	28.6%	4.0%	8.2K	-362.8K	-1.6K	0.52	93.41	N/A	N/A	0	0	1	0
2015-01-05	$7296.00	$6000.00	65.6%	23.1%	99.9%	0.0%	66.2%	7.0%	6.2%	9.7K	-481.1K	-1.7K	0.18	97.64	N/A	N/A	1	0	1	0
2015-01-06	$6792.00	$6000.00	78.4%	27.9%	104.8%	0.0%	101.4%	17.9%	-16.0%	9.0K	-605.2K	-2.0K	0.93	99.92	N/A	N/A	1	1	2	0
2015-01-07	$6096.00	$6000.00	80.5%	24.8%	107.4%	0.0%	86.0%	-8.1%	1.2%	10.0K	-175.1K	-4.3K	0.14	104.20	N/A	N/A	0	0	3	1
2015-01-08	$6456.00	$6000.00	90.1%	25.7%	105.8%	0.0%	80.0%	39.3%	7.2%	10.2K	-324.0K	-4.3K	0.65	96.01	N/A	N/A	1	1	3	1
2015-01-09	$6468.00	$6000.00	85.7%	22.0%	98.8%	0.0%	81.6%	26.9%	13.7%	12.0K	-276.1K	-4.3K	0.85	97.92	N/A	N/A	1	1	3	1
2015-01-12	$6114.00	$6000.00	99.0%	25.7%	102.0%	0.0%	94.3%	4.3%	-10.9%	11.0K	-211.0K	-4.1K	0.89	92.77	N/A	N/A	1	1	3	1
2015-01-13	$5634.00	$6000.00	124.7%	27.1%	106.3%	0.0%	93.8%	-1.8%	-5.4%	9.0K	-40.9K	-3.5K	0.97	98.88	N/A	N/A	1	1	3	1
2015-01-14	$5610.00	$6000.00	92.1%	26.4%	106.4%	45.9%	93.1%	-7.8%	-14.8%	9.5K	-20.2K	-3.5K	0.99	104.56	N/A	N/A	1	1	3	1
2015-01-15	$5388.00	$6000.00	82.2%	23.6%	108.0%	40.9%	88.2%	1.0%	3.8%	7.3K	102.3K	-3.3K	1.02	105.71	N/A	N/A	1	1	3	1
2015-01-16	$5244.00	$6000.00	74.9%	21.5%	108.6%	37.2%	0.0%	5.2%	13.0%	6.0K	156.6K	-2.9K	0.79	105.94	N/A	N/A	0	0	3	1
2015-01-20	$5178.00	$6000.00	78.2%	22.4%	102.7%	38.9%	115.6%	23.3%	-1.7%	5.5K	41.9K	-3.2K	2.23	102.64	N/A	N/A	0	0	3	1
2015-01-21	$5628.00	$6000.00	89.4%	25.6%	105.4%	44.5%	90.1%	11.9%	-5.8%	7.5K	61.9K	-3.4K	1.81	102.49	N/A	N/A	0	0	3	1
2015-01-22	$5700.00	$6000.00	91.0%	26.1%	105.3%	45.3%	87.4%	-1.1%	-2.9%	8.6K	59.6K	-3.7K	1.14	92.71	N/A	N/A	1	1	3	1
2015-01-23	$5868.00	$6000.00	92.5%	26.5%	105.6%	46.1%	86.4%	2.7%	-6.8%	9.8K	11.7K	-3.7K	1.03	99.35	N/A	N/A	1	1	3	1
2015-01-26	$5970.00	$6000.00	72.3%	20.7%	87.8%	35.9%	72.9%	8.4%	13.4%	12.4K	-46.8K	-3.7K	0.00	106.33	N/A	N/A	0	0	3	1
2015-01-27	$6006.00	$6000.00	99.9%	28.6%	81.5%	49.8%	0.0%	0.3%	-15.7%	11.0K	-99.7K	-3.8K	0.00	106.84	N/A	N/A	0	0	3	1
2015-01-28	$5676.00	$6000.00	99.7%	28.6%	83.8%	49.7%	85.2%	2.9%	-9.9%	9.5K	-107.7K	-3.9K	0.98	105.62	N/A	N/A	1	1	3	1
2015-01-29	$5598.00	$6000.00	79.2%	22.7%	81.3%	39.4%	86.1%	18.3%	-4.6%	9.3K	-22.1K	-3.7K	0.97	109.21	N/A	N/A	1	1	3	1
2015-01-30	$5640.00	$6000.00	77.8%	22.3%	81.3%	38.7%	90.7%	30.2%	-5.0%	9.9K	69.0K	-3.4K	0.98	109.18	N/A	N/A	1	1	3	1