WATT Options History — February 2015

In February 2015, WATT traded between $5508.00 and $6090.00. ATM implied volatility averaged 79.8%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded above realized volatility by 21.5% (HV 20d: 58.3%). Max pain ranged from $3000.00 to $6000.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.71.

Notable Days

2015-02-04: Highest Volume — 3 contracts
2015-02-23: Largest IV drop — 25.0% change
2015-02-02: Highest IV Rank — 45.4%
2015-02-02: Largest Expected Move — 26.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5819.68	$5508.00	$6090.00	$6066.00	$6048.00
Max Pain	$3631.58	$3000.00	$6000.00	$6000.00	$3000.00
ATM IV	79.8%	66.9%	91.2%	91.2%	73.8%
Expected Move	23.4%	19.2%	26.1%	26.1%	21.1%
HV 20d	58.3%	46.2%	85.4%	85.4%	46.6%
HV 60d	81.4%	79.5%	83.2%	83.2%	79.5%
IV Rank	39.7%	33.2%	45.4%	45.4%	36.6%
IV Percentile	35.9%	13.2%	55.1%	55.1%	23.7%
Term Structure	-0.4%	-28.1%	18.4%	-6.2%	7.8%
VWIV	81.4%	68.1%	91.2%	91.2%	78.6%
Skew 25d	7.7%	-18.0%	44.0%	12.9%	14.9%
Skew 10d	19.0%	-23.3%	66.3%	14.7%	21.9%
Call IV 25d	85.0%	63.4%	102.4%	80.0%	69.3%
Put IV 25d	92.7%	72.8%	110.1%	92.8%	84.2%
Bid-Ask Spread %	104.52	91.39	113.27	108.63	101.85
Gamma HHI	0.54	0.33	0.85	0.44	0.37
Net GEX	9.8K	1.8K	18.1K	12.8K	3.2K
Net DEX	221.0K	17.0K	424.0K	17.0K	284.4K
Net VEX	-3.4K	-4.0K	-2.9K	-3.8K	-3.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.71	0.16	3.67	0.64	0.77
Total Volume	0.947	0	3	0	0
Total OI	4.737	4	5	5	4

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
2015-02-02	$6066.00	$6000.00	91.2%	26.1%	85.4%	45.4%	91.2%	12.9%	-6.2%	12.8K	17.0K	-3.8K	0.64	108.63	N/A	N/A	0	0	3	2
2015-02-03	$6090.00	$6000.00	73.1%	21.0%	79.7%	36.3%	73.3%	5.4%	18.4%	14.5K	29.1K	-3.9K	1.02	109.01	N/A	N/A	1	1	3	2
2015-02-04	$5946.00	$6000.00	83.9%	24.1%	76.5%	41.7%	83.6%	-10.3%	-8.7%	12.2K	81.8K	-4.0K	0.65	108.31	N/A	N/A	2	1	3	2
2015-02-05	$6000.00	$3000.00	74.3%	25.3%	66.5%	36.9%	82.8%	15.8%	9.9%	13.3K	108.2K	-3.8K	0.63	100.94	N/A	N/A	2	1	3	2
2015-02-06	$6000.00	$3000.00	76.7%	24.9%	62.9%	38.1%	86.8%	-15.7%	6.6%	12.9K	111.0K	-3.9K	0.94	107.82	N/A	N/A	1	1	3	2
2015-02-09	$5958.00	$3000.00	78.0%	24.3%	62.9%	38.8%	87.1%	9.2%	6.1%	13.0K	164.5K	-3.4K	2.83	95.56	N/A	N/A	0	1	3	2
2015-02-10	$5940.00	$3000.00	79.7%	24.6%	59.8%	39.6%	82.9%	21.0%	10.3%	13.4K	124.8K	-3.6K	2.85	103.61	N/A	N/A	0	1	3	2
2015-02-11	$5550.00	$3000.00	88.2%	25.3%	57.5%	43.9%	88.8%	0.7%	2.3%	9.8K	172.6K	-3.5K	3.20	93.27	N/A	N/A	0	1	3	2
2015-02-12	$5658.00	$3000.00	74.8%	21.4%	57.9%	37.2%	83.1%	21.2%	-1.6%	10.0K	248.9K	-3.5K	2.95	113.27	N/A	N/A	0	1	3	2
2015-02-13	$5700.00	$3000.00	84.3%	24.2%	55.9%	42.0%	81.6%	3.6%	3.4%	11.9K	301.3K	-3.3K	2.74	103.28	N/A	N/A	0	1	3	2
2015-02-17	$5820.00	$3000.00	83.1%	23.8%	55.0%	41.3%	78.0%	-18.0%	1.0%	14.8K	250.5K	-3.4K	3.62	109.88	N/A	N/A	0	1	3	2
2015-02-18	$5778.00	$3000.00	78.8%	22.6%	54.8%	39.2%	77.6%	-0.3%	9.9%	14.1K	308.5K	-3.3K	3.67	105.06	N/A	N/A	0	1	3	2
2015-02-19	$5742.00	$4500.00	87.8%	25.2%	46.6%	43.7%	84.7%	10.5%	-2.8%	18.1K	335.2K	-3.2K	0.16	110.30	N/A	N/A	0	0	3	2
2015-02-20	$5508.00	$4500.00	89.2%	25.6%	48.7%	44.4%	68.1%	-0.1%	-2.0%	1.8K	424.0K	-3.0K	0.74	108.42	N/A	N/A	0	0	3	2
2015-02-23	$5640.00	$3000.00	66.9%	19.2%	48.3%	33.2%	69.3%	-7.1%	-2.5%	1.8K	314.4K	-2.9K	2.95	91.39	N/A	N/A	0	1	2	2
2015-02-24	$5550.00	$3000.00	83.3%	23.9%	48.0%	41.4%	81.5%	20.3%	-28.1%	2.5K	258.9K	-3.2K	0.70	104.18	N/A	N/A	0	0	2	2
2015-02-25	$5694.00	$3000.00	76.0%	21.8%	49.0%	37.8%	80.8%	18.7%	-18.6%	2.8K	333.7K	-3.0K	0.71	109.73	N/A	N/A	0	0	2	2
2015-02-26	$5886.00	$3000.00	73.2%	21.0%	46.2%	36.3%	86.7%	44.0%	-13.2%	3.3K	331.0K	-3.0K	0.76	101.35	N/A	N/A	0	0	2	2
2015-02-27	$6048.00	$3000.00	73.8%	21.1%	46.6%	36.6%	78.6%	14.9%	7.8%	3.2K	284.4K	-3.3K	0.77	101.85	N/A	N/A	0	0	2	2