WATT Options History — April 2015

In April 2015, WATT traded between $4722.00 and $5574.00. ATM implied volatility averaged 74.2%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 23.6% (HV 20d: 50.6%). Max pain ranged from $6000.00 to $7500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2015-04-27: Highest Volume — 1 contracts
  • 2015-04-02: Largest IV spike — 34.6% change
  • 2015-04-06: Highest IV Rank — 47.2%
  • 2015-04-10: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5280.86$4722.00$5574.00$5526.00$4746.00
Max Pain$6357.14$6000.00$7500.00$6000.00$7500.00
ATM IV74.2%59.7%94.6%59.7%80.6%
Expected Move21.0%17.1%23.8%17.1%23.1%
HV 20d50.6%32.8%68.4%68.4%42.4%
HV 60d55.3%50.7%64.4%64.4%51.6%
IV Rank36.8%29.5%47.2%29.5%40.1%
IV Percentile29.8%8.4%70.2%8.4%48.7%
Term Structure3.0%-12.3%20.5%17.4%11.4%
VWIV80.0%68.8%90.5%68.8%78.1%
Skew 25d8.3%-20.8%33.2%-9.3%8.9%
Skew 10d29.1%-35.1%56.6%30.4%12.4%
Call IV 25d79.3%64.8%110.6%64.8%84.2%
Put IV 25d87.6%55.5%106.6%55.5%93.1%
Bid-Ask Spread %99.1789.67111.50111.50107.79
Gamma HHI0.270.240.340.250.28
Net GEX3.8K9945.1K4.2K994
Net DEX314.9K137.2K521.5K264.1K488.5K
Net VEX-3.2K-4.0K-2.2K-3.6K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.301.071.040.71
Total Volume0.0480100
Total OI55555

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$5526.00$6000.0059.7%17.1%68.4%29.5%68.8%-9.3%17.4%4.2K264.1K-3.6K1.04111.50N/AN/A0032
2015-04-02$5352.00$7500.0080.4%23.5%63.3%40.0%76.1%-6.1%-4.0%3.8K352.8K-3.3K1.0694.59N/AN/A0032
2015-04-06$5334.00$7500.0094.6%21.4%59.9%47.2%78.9%15.1%-11.9%4.1K303.9K-3.2K1.0799.83N/AN/A0032
2015-04-07$5220.00$6000.0078.2%21.3%59.7%38.9%79.4%7.5%9.1%4.0K281.9K-3.4K1.0199.21N/AN/A0032
2015-04-08$5466.00$6000.0079.0%22.7%61.6%39.3%0.0%21.5%3.2%4.5K248.4K-3.5K0.3094.31N/AN/A0032
2015-04-09$5424.00$6000.0075.0%21.5%54.8%37.3%78.6%22.2%-5.7%4.6K242.9K-3.5K0.4798.14N/AN/A0032
2015-04-10$5574.00$6000.0082.9%23.8%56.0%41.2%76.0%30.3%-10.4%5.1K256.6K-3.4K0.5597.90N/AN/A0032
2015-04-13$5430.00$6000.0077.6%22.3%55.3%38.6%77.7%-9.1%-2.9%4.9K213.8K-3.5K0.5298.70N/AN/A0032
2015-04-14$5466.00$6000.0070.6%20.2%55.3%35.0%79.4%26.9%-7.1%4.0K329.7K-3.1K0.5995.53N/AN/A0032
2015-04-15$5382.00$6000.0070.5%20.2%55.0%35.0%84.7%-11.1%-12.3%3.9K137.2K-4.0K0.5389.67N/AN/A0032
2015-04-16$5430.00$6000.0072.0%20.6%54.9%35.7%86.3%21.3%-7.7%4.4K323.0K-3.1K0.54102.83N/AN/A0032
2015-04-17$5406.00$6000.0072.1%20.7%51.3%35.8%80.7%19.2%-0.9%4.3K315.5K-3.2K0.81102.17N/AN/A0032
2015-04-20$5382.00$6000.0068.1%19.5%50.9%33.8%87.9%7.8%13.7%4.4K258.0K-3.3K0.7495.79N/AN/A0032
2015-04-21$5358.00$6000.0065.8%18.9%39.4%32.6%79.2%30.3%2.9%4.0K293.8K-3.4K0.73100.87N/AN/A0032
2015-04-22$5370.00$6000.0067.4%19.3%37.7%33.4%90.5%33.2%14.1%4.3K295.2K-3.3K0.73100.33N/AN/A0032
2015-04-23$5406.00$6000.0071.6%20.5%32.8%35.5%77.5%6.4%20.5%4.3K295.3K-3.3K0.71102.58N/AN/A0032
2015-04-24$5292.00$6000.0066.2%19.0%32.9%32.8%80.4%7.8%7.4%4.4K268.3K-3.3K0.7497.14N/AN/A0032
2015-04-27$4842.00$6000.0071.5%20.5%43.5%35.5%76.3%-19.2%9.2%2.3K408.5K-2.7K0.47100.97N/AN/A1032
2015-04-28$4722.00$7500.0076.5%21.9%43.8%38.0%83.3%-9.3%17.5%2.0K521.5K-2.2K0.6792.38N/AN/A0032
2015-04-29$4770.00$7500.0077.7%22.3%42.8%38.6%78.1%-20.8%0.4%2.0K513.6K-2.3K0.70100.40N/AN/A0032
2015-04-30$4746.00$7500.0080.6%23.1%42.4%40.1%0.0%8.9%11.4%994488.5K-2.3K0.71107.79N/AN/A0032