WATT Options History — March 2015

In March 2015, WATT traded between $5544.00 and $6666.00. ATM implied volatility averaged 74.9%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 16.9% (HV 20d: 58.0%). Max pain ranged from $3000.00 to $6000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2015-03-26: Highest Volume — 1 contracts
  • 2015-03-26: Largest IV drop — 26.9% change
  • 2015-03-03: Highest IV Rank — 46.8%
  • 2015-03-03: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5974.09$5544.00$6666.00$5868.00$5664.00
Max Pain$5590.91$3000.00$6000.00$3000.00$6000.00
ATM IV74.9%56.1%94.0%78.0%63.3%
Expected Move20.8%16.1%26.9%22.4%18.1%
HV 20d58.0%41.8%69.6%48.1%67.9%
HV 60d74.0%66.2%80.1%78.7%66.4%
IV Rank37.2%27.7%46.8%38.8%31.3%
IV Percentile28.9%8.0%65.8%32.5%10.1%
Term Structure5.6%-14.1%44.0%8.1%7.7%
VWIV62.9%38.9%92.1%85.1%72.3%
Skew 25d-9.7%-42.9%41.8%15.4%-42.9%
Skew 10d7.2%-57.5%53.3%25.1%-36.9%
Call IV 25d74.7%58.9%102.2%75.6%102.2%
Put IV 25d65.0%43.7%104.8%90.9%59.3%
Bid-Ask Spread %103.6392.09116.01108.7599.69
Gamma HHI0.340.250.580.340.25
Net GEX5.4K3.3K9.3K3.3K4.5K
Net DEX166.2K-31.1K330.1K280.7K227.8K
Net VEX-3.5K-3.9K-2.8K-3.3K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.003.330.630.73
Total Volume0.1360101
Total OI4.7734545

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$5868.00$3000.0078.0%22.4%48.1%38.8%85.1%15.4%8.1%3.3K280.7K-3.3K0.63108.75N/AN/A0022
2015-03-03$5670.00$3000.0094.0%26.9%41.8%46.8%83.5%6.0%-14.1%3.3K233.4K-3.4K0.65110.77N/AN/A0022
2015-03-04$5700.00$3000.0085.0%24.4%41.9%42.3%92.1%-5.3%-10.9%3.3K330.1K-2.9K0.62116.01N/AN/A0022
2015-03-05$6126.00$6000.0076.7%20.8%48.9%38.1%63.7%28.1%17.0%4.7K319.8K-3.1K0.62101.27N/AN/A0022
2015-03-06$6432.00$6000.0068.1%19.5%51.7%33.8%52.1%41.8%20.4%3.6K74.8K-3.7K0.66104.09N/AN/A0022
2015-03-09$6486.00$6000.0083.0%19.5%51.7%41.3%70.5%-0.9%7.9%4.9K76.4K-3.4K0.0099.11N/AN/A0032
2015-03-10$6666.00$6000.0090.5%16.7%52.1%45.1%39.3%-9.3%44.0%6.5K-31.1K-3.9K0.1592.09N/AN/A0032
2015-03-11$6120.00$6000.0076.9%22.1%61.3%38.2%75.5%-22.9%-0.3%6.6K98.8K-3.5K0.24104.63N/AN/A0032
2015-03-12$6060.00$6000.0072.6%20.8%55.9%36.0%47.4%-5.7%-4.8%7.1K113.1K-3.5K0.3896.02N/AN/A0032
2015-03-13$5844.00$6000.0077.5%22.2%57.4%38.5%38.9%-23.0%-0.2%7.0K43.6K-3.9K0.28100.57N/AN/A0032
2015-03-16$5760.00$6000.0077.1%22.1%57.6%38.3%39.4%-24.6%-11.2%9.3K139.2K-3.3K0.10105.70N/AN/A0032
2015-03-17$5634.00$6000.0077.9%22.3%57.6%38.7%41.3%-32.0%1.9%5.9K188.3K-3.3K0.15112.84N/AN/A0032
2015-03-18$5544.00$6000.0081.5%23.4%57.8%40.5%0.0%-33.4%5.0%4.1K211.5K-3.3K0.00111.98N/AN/A0032
2015-03-19$5838.00$6000.0073.1%21.0%60.8%36.3%59.1%-16.8%1.6%7.1K250.4K-2.8K0.11102.27N/AN/A0032
2015-03-20$5904.00$6000.0065.8%18.9%58.8%32.6%0.0%-15.4%18.5%5.2K216.2K-3.2K0.00102.03N/AN/A0032
2015-03-23$6408.00$6000.0065.6%18.8%64.8%32.5%70.1%3.3%4.6%6.6K-18.9K-3.9K0.3896.98N/AN/A0032
2015-03-24$6150.00$6000.0063.2%18.1%66.5%31.3%62.2%6.2%13.3%7.8K85.3K-3.7K0.74101.42N/AN/A0032
2015-03-25$5808.00$6000.0076.7%22.0%69.6%38.1%0.0%-37.7%-2.3%5.3K168.6K-3.6K3.3399.24N/AN/A0032
2015-03-26$5880.00$6000.0056.1%16.1%68.7%27.7%59.9%-18.8%15.0%4.5K222.8K-3.9K0.72101.40N/AN/A1032
2015-03-27$5958.00$6000.0068.2%19.6%68.1%33.8%66.7%-13.6%2.0%4.6K226.5K-3.6K0.18106.36N/AN/A0032
2015-03-30$5910.00$6000.0076.1%21.8%67.3%37.8%76.1%-11.3%-0.3%4.5K199.9K-3.8K0.76106.58N/AN/A1032
2015-03-31$5664.00$6000.0063.3%18.1%67.9%31.3%72.3%-42.9%7.7%4.5K227.8K-3.9K0.7399.69N/AN/A1032